不同市态下投资者情绪对沪深300股指期货基差的影响——基于分位数回归的实证研究  

Influence of Investor Sentiment on the Basis of CSI 300 Index Futures in Different Market States——An Empirical Study Based on the Quantile Regression

作　　者：刘晨[1] 安毅[1] LIU Chen;AN Yi(College of Economics and Management,China Agricultural University,Beijing 100083,China)

机构地区：[1]中国农业大学经济管理学院,北京100083

出　　处：《华南理工大学学报（社会科学版）》2019年第1期48-60,共13页Journal of South China University of Technology(Social Science Edition)

摘　　要：基于分位数回归方法,研究不同市场态势和不同投资者结构下,投资者情绪对沪深300股指期货基差的非对称影响,发现我国期货基差变动中蕴含了大量的投资者情绪因素,两者呈现负相关关系;在股市动荡阶段,投资者情绪会对基差产生更强的影响,并且存在显著的非对称效应。投资者的机构化发展在股市平稳的状态下会减轻投资者情绪对基差的影响,但在股市动荡阶段并没有起到稳定资本市场的作用。总体上,机构化程度低、机构散户化和做空机制不完善仍是我国资本市场不成熟的症结所在。The asymmetric effects of investment sentiment on the basis of CSI 300 index futures in different market situations and investor structures were investigated using quantile regression method. The changes in the CSI 300 stock index futures basis in China are induced by numerous factors relating investor sentiment and show negative correlation. Investor sentiment has stronger and significant asymmetric effects on the basis in the chaotic period of the stock market. The institutionalized proportion of investors can lead different asymmetric effects of investor sentiment on the basis in different stock market states. As a whole,low level and individualization of institution,as well as the imperfection of short-sales mechanism are the cruxes of immature capital market in China.

关 键 词：投资者情绪 基差 分位数回归 

分 类 号：F832.5[经济管理—金融学]