中国波指、股指期货与投资者情绪

Chinese IVIX,Stock Index Futures and Investor Sentiment

选取2016年12月至2017年4月间的中国波指、股指期货升贴水、换手率及波动率的所有小时级别数据作为研究对象,测度沪深股市的投资者情绪,并研究投资者情绪指标与指数序列之间的关系。结果表明:中国波指、股指期货升贴水和换手率及波动率一起,能够较好地刻画出沪深股市的投资者情绪;投资者情绪指标与上证指数序列具有显著的负向相关关系,相关系数为-0.7;投资者情绪每变化1个单位,能够导致指数下跌59个点。总体上,所构建的包含了中国波指和股指期货的投资者情绪指标具有一定的有效性。

This paper chooses all the hourly data of Chinese IVIX,stock index futures premium,turnover rate and volatility between December 2016 and April 2017 as the research object,and measures the investor sentiment of Shanghai and Shenzhen stock market. The relationship between investor sentiment index and exponential sequence is also studied. The results show that： the Chinese IVIX,stock index futures premiums,together with the turnover rate and volatility,can better describe the investor sentiment of the Shanghai and Shenzhen stock markets; the investor sentiment indicator has a significant negative correlation with the Shanghai index series,with the correlation coefficient of-0. 7; each unit 1 change of investor sentiment,can lead to an index fell 59 points. In general,this paper constructs the investor sentiment index including Chinese IVIX and stock index futures,which has certain validity.