Investor Sentiment and the Basis of CSI 300 Stock Index Futures: An Empirical Study Based on QVAR Model and Quantile Regression

摘要

The asymmetrical mutual influence of investor sentiment and the basis of CSI 300 stock index futures under conditions in different market situations was investigated using the quantile vector autoregressive model (QVAR). The article also discussed asymmetrical influence of investor sentiment on the basis under conditions in different investor structures using the quantile regression method. On this basis, we obtained several important conclusions 1 There exists a one-way causal relationship where investor sentiment has a significant impact on the CSI 300 stock index futures basis in China; the investor sentiment is likely to exert stronger influences on the basis in the chaotic period of the stock market and imposes significant asymmetrical effects. 2) The institutionalized development of investors can reduce the influences of investor sentiment on the basis when the stock market is stable, while it does not play its function in stabilizing the capital market when the stock market is in turmoil. 3) The low institutionalization level, the individualization of institutional investors, and the imperfect short-sales mechanism as a whole are still the sticking problems in the immature capital market of China.