沪深300股指期货定价偏差与投资者情绪
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摘要
本文通过对沪深300股指期货定价偏差的统计分析、定价偏差与市场流动性和投资者情绪间的回归分析和VAR模型分析,发现我国期货市场上存在显著的正向的定价偏差,并且表现出一定的持续性;投资者情绪是最重要的影响因素;在中国股票市场缺乏卖空机制的条件下,投资者情绪主要通过非理性买入行为对定价偏差造成影响,并且在情绪高的时期影响更为显著。这些结论在一系列稳健性检验后仍然显著。说明我国金融市场还不够成熟和有效,市场上的套利行为无法有效减少噪声交易者对市场的影响,投机氛围较重,市场定价效率有待提高。
This paper looks into the pricing bias of CSI 300 index futures.By doing research about the statistical analysis of pricing bias,the regression and VAR model analysis of the relation between pricing bias and market liquidity and investor sentiment,we found that there are significant positive pricing errors in the future market,which show some lasting pattern,and we found that investor sentiment is the most important influence factor.Since there is selling restriction in stock market in China,the pricing bias of future market is influenced by buying behavior of noise traders more,especially during high investor sentiment periods.These conclusions are still stand after several robustness tests.It means that the financial market in our country is not efficient enough,the arbitragers cannot reduce the impact on the market of noise traders effectively,which all means the market pricing efficiency needs to be improved.
This paper looks into the pricing bias of CSI 300 index futures.By doing research about the statistical analysis of pricing bias,the regression and VAR model analysis of the relation between pricing bias and market liquidity and investor sentiment,we found that there are significant positive pricing errors in the future market,which show some lasting pattern,and we found that investor sentiment is the most important influence factor.Since there is selling restriction in stock market in China,the pricing bias of future market is influenced by buying behavior of noise traders more,especially during high investor sentiment periods.These conclusions are still stand after several robustness tests.It means that the financial market in our country is not efficient enough,the arbitragers cannot reduce the impact on the market of noise traders effectively,which all means the market pricing efficiency needs to be improved.
引文
[1]Cornell B,French K R.Taxes and the pricing of stock index futures[J].The Journal of Finance,1983,38(3):675-694.
[2]Kumar P,Seppi D J.Information and index arbitrage[J].Journal of Business,1994:481-509.
[3]Roll R,Schwartz E,Subrahmanyam A.Liquidity and the law of one price:The case of the 19futures-cash basis[J].The Journal of Finance,2007,62(5):2201-2234.
[4]Kadapakkam P R,Kumar U.Impact of liquidity on the futures-cash basis:Evidence from the Indian market[J].Journal of Futures Markets,2013,33(3):266-298.
[5]Bessembinder H,Seguin P J.Price volatility,trading volume,and market depth:Evidence from futures markets[J].Journal of financial and Quantitative Analysis,1993,28(1):21-39.
[6]Thomas S.Interdependence and dynamic linkages between S&P CNX nifty futures and spot market:With specific reference to volatility,expiration effects and price discovery mechanism[D].Unpublished PhD Thesis,Department of Management Studies,IIT Madras,2006.
[7]Lee H C,Chien C Y,Liao T H.Commonality in trading activity and futures-cash basis:Evidence from the Taiwan futures and stock markets[J].Journal of Futures Markets,2012,32(10):964-994.
[8]Baker M,Wurgler J.Investor sentiment and the cross-section of stock returns[J].The Journal of Finance,2006,61(4):1645-1680.
[9]Han B.Investor sentiment and option prices[J].Review of Financial Studies,2008,21(1):387-414.
[10]Amihud Y.Illiquidity and stock returns:Cross-section and time-series effects[J],Journal of financial markets,2002,5(1):31-56.
[11]Pastor L,Stambaugh R F.Liquidity risk and price discovery[J].Journal of Political Economy,2003,111(3):642-685.
[12]Baker M,Stein J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[13]Brown G W,Cliff M T.Investor sentiment and asset valuation[J].The Journal of Business,2005,78(2):405-440.
[14]王丹枫,梁丹.从投资情绪角度看股票市场流动性—来自B股向境内居民开放的研究[J].数理统计与管理,2012,31(2):363-373.
[15]Kumar A,Lee C.Retail investor sentiment and return comovements[J].The Journal of Finance,2006,61(5):2451-2486.
[16]Kurov A.Investor sentiment,trading behavior and informational efficiency in index futures markets[J].Financial Review,2008,43(1):107-127.
[17]Brown G W,Cliff M T.Investor sentiment and the near-term stock market[J].Journal of Empirical Finance,2004,11(1):1-27.
[18]Chow Y F,Yung H H M,Zhang H.Expiration day effects:The case of Hong Kong[J].20 Journal of Futures Markets,2003,23(1):67-86.
[19]Vipul.Futures and options expiration-day effects:The Indian evidence[J].The Journal of Futures Markets,2005a,25(11),1045-1065.
[20]孙培源,施东晖.基于CAPM的中国股市羊群行为研究—兼与宋军,吴冲锋先生商榷[J].经济研究,2002,2(2):2.
[21]魏平,梁晨.股指期货冲击成本测算与实证研究[J].数理统计与管理,2013,32(4):727-739.
[2]Kumar P,Seppi D J.Information and index arbitrage[J].Journal of Business,1994:481-509.
[3]Roll R,Schwartz E,Subrahmanyam A.Liquidity and the law of one price:The case of the 19futures-cash basis[J].The Journal of Finance,2007,62(5):2201-2234.
[4]Kadapakkam P R,Kumar U.Impact of liquidity on the futures-cash basis:Evidence from the Indian market[J].Journal of Futures Markets,2013,33(3):266-298.
[5]Bessembinder H,Seguin P J.Price volatility,trading volume,and market depth:Evidence from futures markets[J].Journal of financial and Quantitative Analysis,1993,28(1):21-39.
[6]Thomas S.Interdependence and dynamic linkages between S&P CNX nifty futures and spot market:With specific reference to volatility,expiration effects and price discovery mechanism[D].Unpublished PhD Thesis,Department of Management Studies,IIT Madras,2006.
[7]Lee H C,Chien C Y,Liao T H.Commonality in trading activity and futures-cash basis:Evidence from the Taiwan futures and stock markets[J].Journal of Futures Markets,2012,32(10):964-994.
[8]Baker M,Wurgler J.Investor sentiment and the cross-section of stock returns[J].The Journal of Finance,2006,61(4):1645-1680.
[9]Han B.Investor sentiment and option prices[J].Review of Financial Studies,2008,21(1):387-414.
[10]Amihud Y.Illiquidity and stock returns:Cross-section and time-series effects[J],Journal of financial markets,2002,5(1):31-56.
[11]Pastor L,Stambaugh R F.Liquidity risk and price discovery[J].Journal of Political Economy,2003,111(3):642-685.
[12]Baker M,Stein J C.Market liquidity as a sentiment indicator[J].Journal of Financial Markets,2004,7(3):271-299.
[13]Brown G W,Cliff M T.Investor sentiment and asset valuation[J].The Journal of Business,2005,78(2):405-440.
[14]王丹枫,梁丹.从投资情绪角度看股票市场流动性—来自B股向境内居民开放的研究[J].数理统计与管理,2012,31(2):363-373.
[15]Kumar A,Lee C.Retail investor sentiment and return comovements[J].The Journal of Finance,2006,61(5):2451-2486.
[16]Kurov A.Investor sentiment,trading behavior and informational efficiency in index futures markets[J].Financial Review,2008,43(1):107-127.
[17]Brown G W,Cliff M T.Investor sentiment and the near-term stock market[J].Journal of Empirical Finance,2004,11(1):1-27.
[18]Chow Y F,Yung H H M,Zhang H.Expiration day effects:The case of Hong Kong[J].20 Journal of Futures Markets,2003,23(1):67-86.
[19]Vipul.Futures and options expiration-day effects:The Indian evidence[J].The Journal of Futures Markets,2005a,25(11),1045-1065.
[20]孙培源,施东晖.基于CAPM的中国股市羊群行为研究—兼与宋军,吴冲锋先生商榷[J].经济研究,2002,2(2):2.
[21]魏平,梁晨.股指期货冲击成本测算与实证研究[J].数理统计与管理,2013,32(4):727-739.