投资者情绪与期货市场功能——基于沪深300股指期货的研究

本文以2015年股指期货市场实行交易限制措施事件作为自然实验样本，研究了不同市场环境下投资者情绪对沪深300股指期货风险管理功能和价格发现功能的影响及其差异.研究结果表明，在无交易限制的市场环境下，投资者情绪对沪深300股指期货的风险管理能力和短期动态价格发现能力有显著的负面影响；而在有交易限制的市场环境下，投资者情绪对沪深300股指期货市场风险管理能力的影响出现反转，但其对股指期货市场价格发现能力的负面影响却进一步加剧，本文分析这一现象是由于交易限制规则实施后股指期货市场流动性和市场深度极度匮乏、逆向选择效应增强所致.与现有研究相比，本研究可以更有效地从市场微观结构角度揭示投资者情绪对金融市场的影响存在差异的原因.此外，本研究结果在以双重差分模型和以互联网搜索指数作为投资者情绪代理变量的检验中同样稳健.

Investor sentiment and futures market functions: Evidence from CSI300 index futures market

Taking the implementation of trading restrictions in stock index futures market as a natural experiment, this paper aims to investigate how investor sentiment affects the functions of CSI300 index futures in different market conditions, including risk management and price discovery ability. The empirical results show that: In the market without trading restrictions, investor sentiment has an adverse impact on the risk management and short-term price discovery ability of CSI300 stock index futures. In the market with trading restrictions, the adverse impact on the price discovery ability of futures market is further intensified, while the impact of investor sentiment on the risk management is reversed. A possible explanation of this phenomenon is that after the implementation of trading restrictions, the extreme lack of liquidity and market depth in futures market leads to the enhancement of adverse selection effect. The findings may reveal the reasons for the differences impact of investor sentiment on the financial market more effectively, and the results remain robust in a variety of tests.