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

摘要

The asymmetricalmutual 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 autoregressivemodel (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 theCSI 300 stock index futures basis inChina; 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 stockmarket is stable, while it does not play its function in stabilizing the capital market when the stockmarket 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.