融资融券与股指期货在投资者情绪中的应用研究

Research on the Application of Margin and Stock Index Futures in Investor Emotion

沪深股市的投资者情绪及其与沪深300指数序列之间关系的测度结果表明:融资融券、股指期货和其他六个指标一起,能够较好地刻画出沪深股市的投资者情绪;投资者情绪和沪深300指数序列互为格兰杰原因;本期的投资者情绪每变化1%,能够导致指数变动0.148%,滞后两期的投资者情绪每变动1%,能够导致指数变动0.063%。融资融券和股指期货的投资者情绪指标反映出市场上投资者的参与意愿,也侧面说明了衍生品市场与股票市场的投资者情绪具有相互传染性。

A study of the relationship between investor emotion and 300 index series of Shanghai and Shenzhen stock markets show that：margin trading,stock index futures and other six indicators together can better describe the investor emotions in Shanghai and Shenzhen stock markets;investor emotions and the Shanghai and Shenzhen 300 index series are each other＇s Granger reasons;1%change in the investor emotions can lead to an index change of 0.148%,and 1% two-day delayed change of investor emotions can lead to an index change of 0.063%.In general,the investor sentiment index including the margin and stock index futures reflects more comprehensively the investors＇ willingness of participation,and suggests the mutual contamination of financial derivative market and stock market investor emotions.