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Jun Li

DBA Graduate - 2015

Thesis title

A Study on the Influences of Investor Sentiment upon China’s Index Futures Market


Weifeng Ma
Standard finance is under wide skepticism due to its inner contradictions and lame explanation over many anomalies. As more and more anomalies occur and the inconformity between the 80’s classic financial models and investor behaviors becomes wider, investor sentiment theory, as a branch of behavioral finance, starts to gain broader recognition from researchers and scholars worldwide. As an important indicator of investor’s mental process, sentiment has become a hot topic for finance studies. At present, researchers and scholars around the globe mainly focuses on studying its influences upon stock market while barely touching its impacts on index futures market. Based on references of researchers’ study on the influences of investor sentiment upon index futures market, this paper establishes an according theoretical model, which takes trading volume, transaction amount, inventory, price volatility and closed-end fund discount rate as initial indexes. Also, it grabs the A share market data between Nov. 1, 2010 and Oct. 31, 2013 as data samples and creates an aggregative indicator based on PCA (Principle Component Analysis). Further more, it verifies the connections between investor sentiment and index futures market price through GJR-GARCH model. Though empirical study, this paper concludes that investor sentiment has positive influences upon index futures price. This has been confirmed in 5-min data analysis, 15-min data analysis and 30-min data analysis. The magnitude of the influences reach top under 30-min coefficients, take second place under 5-min coefficients and are lowest under 15-min coefficients, which indicates the irregularity of investor sentiment’s influences upon index futures price. In analysis on investor’s reaction to bad news and good news, the 5-min coefficients are minus, which explains that investor has a stronger reaction to bad news; while the positive coefficients for 15-min and 30-min analysis indicate that investor tends to have a stronger reaction to