投资者情绪与沪深300股指期货定价偏差关系研究  

Research on the Relationship between the Pricing Deviation of Shanghai and Shenzhen 300 Stock Index Futures and Investor Sentiment

作　　者：唐志武[1] 刘欣[1] 

机构地区：[1]长春大学经济学院

出　　处：《价格理论与实践》2020年第1期111-114,共4页Price:Theory & Practice

摘　　要：股指期货已发展成为全球金融衍生品主流品种,股指期货定价问题事关市场套利行为,一直备受投资者关注。本文基于投资者情绪视角,运用VAR模型、脉冲响应、方差分解等方法,深入探讨沪深300股指期货定价偏差与投资者情绪的关系。研究发现:投资者情绪与沪深300股指期货定价偏差之间构成因果关系,且呈现正向影响;股指期货定价偏差受投资者情绪影响而长期存在,其对投资者情绪的影响短期效果显著。Stock index futures have developed into the mainstream of global financial derivatives.The issue of stock index futures pricing is related to market arbitrage and has always attracted the attention of investors.Based on the investor sentiment perspective,this article uses the VAR model,impulse response,variance decomposition and other methods to deeply discuss the relationship between the pricing bias of the Shanghai and Shenzhen 300 stock index futures and investor sentiment.The study found that:Investor sentiment and the CSI 300 stock index futures pricing deviation constitute a causal relationship and have a positive effect;stock index futures pricing deviation is affected by investor sentiment for a long time,and its short-term effect on investor sentiment is significant.

关 键 词：沪深300股指期货 股指期货定价 投资者情绪 

分 类 号：F832.51[经济管理—金融学]