投资者情绪影响股指期现货市场的价格动态关系吗?  

Does Investor Sentiment Affect the Price Dynamic Relationship of Stock Index Futures-spot Market?

作　　者：朱莉[1] 刘向丽[2] 杨晓光[3] ZHU Li;LIU Xiang-li;YANG Xiao-guang(School of Finance,Xinjiang University of Finance and Economics,Urumqi 830012,China;School of Finance,Central University of Finance and Economics,Beijing 100081,China;Academy of Mathematics and Systems Science,Chinese Academy of Science»Beijing 100190,China)

机构地区：[1]新疆财经大学金融学院,新疆乌鲁木齐830012 [2]中央财经大学金融学院,北京100081 [3]中国科学院数学与系统科学研究院/中国科学院大学,北京100190

出　　处：《中国管理科学》2022年第4期52-62,共11页Chinese Journal of Management Science

基　　金：国家自然科学基金资助项目(71661028,71850008,71471182);中国博士后基金资助面上项目;新疆维吾尔自治区“天山英才计划”第三期(2021-2023)项目资助。

摘　　要：本文借鉴Baker和Wurgler的思路构建了投资者情绪指数,在套利、投机交易与投资者情绪的互动关系分析框架下,利用DY溢出指数,对比分析了2015年8月限制性政策实施前后不同投资者情绪对股指期现货两个市场交易风险、价格动态关系的影响。研究发现:(1)情绪高涨时,期货市场交易风险增加,现货市场交易风险变化不显著或者降低;情绪低落时,期货市场交易风险在限制性政策前后截然相反,实施前降低期货市场交易风险,实施后增加期货市场交易风险,而对现货市场则前后均表现为交易风险增加。(2)高涨的情绪降低期现的关联度和期货市场的价格发现能力,低落的情绪增加期现的关联度和期货市场的价格发现能力,情绪的影响程度存在非对称性,引起下降的幅度大于上涨的幅度。(3)股指期货市场严格的交易管制没有改变投资者情绪对期现货市场相关关系、期货价格发现能力的影响。The ideas of Baker and Wurgler are used toconstruct the investor sentiment index.Under the analysis framework of the interaction between arbitrage,speculative trading and investor sentiment,DY spillover index is utilized,comparative analysis of the trading risks and price dynamics of stock index futures and spot markets before and after the implementation of the restrictive policy in August 2015 is affected by different investor sentiments.It is found that:(1)When the mood is high,the trading risk in the futures market is increased,and the trading risk in the spot market does not change significantly or is reduced;When the mood is low,the trading risk of the futures market is completely opposite before and after the restrictive policy.Before the implementation,the trading risk of the futures market is reduced,after the implementation,the trading risk of the futures market is increased,and the trading risk of the spot market is increased before and after the implementation.(2)The correlation between futures-spot markets and the price discovery ability of the futures market are reduced by the rising emotion,and the correlation between futures-spot markets and the price discovery ability of the futures market are increased by the low emotion.The influence degree of emotion is asymmetric,the decreasing range is greater than the rising range.(3)The influence of investor sentiment on the relationship between futures and spot markets and the ability to discover futures prices has not been changed by the strict trading controls in the stock index futures market.

关 键 词：行为金融 投资者情绪 沪深300股指 溢出指数 

分 类 号：F830.91[经济管理—金融学]