投资者情绪对股指期现货市场关系影响研究

国内尚缺乏有关投资者情绪对期现货市场间相关性及价格发现关系的研究,基于情绪因素对股指期货市场效率展开分析,已经成为推动资本市场发展的重要研究内容。通过DCCGARCH、分位数回归和分位信息份额模型(Quantile-IS)定量分析投资者情绪对我国股指期现货市场间动态相关性和价格发现功能的影响。结果表明我国股指期货市场整体上存在一定的价格发现功能,投资者情绪能够降低期现货市场信息传递效率。分位信息份额模型和动态Granger因果检验结果表明,在市场平稳状态下投资者情绪能够抑制期货市场价格发现功能,但在市场极端行情下具有增强市场价格发现效率的作用。研究结论解读了投资者情绪对我国期现货市场关系影响取决于市场行情走向,也从投资者情绪视角为监管思路调整提供实证依据,以全面增强股指期货市场整体运行效率。     

投资者关注度对股票收益的影响——基于百度指数的研究

本文基于百度指数,以2012年4月至2013年3月的沪市A股日数据为研究样本,采用组合分析法和面板回归分析法,研究投资者关注度对股票收益的影响。研究结果显示:关注度与同时期股票收益成正比,且关注度高的股票收益明显大于关注度低的股票;关注度在当期对市场造成的正向价格压力将很快发生反转,且关注度的反转效应比较稳定,不会因为时间的改变或大环境的变化而发生变化。     

普通投资者关注对股市交易的量价影响——基于百度指数的实证研究

搜索引擎的广泛应用促使互联网成为普通投资者获取信息的重要渠道。百度指数体现关键词被搜索的频率,在一定程度上表征着投资者对信息的关注程度。本文以上证180指数样本股为研究对象,以百度指数用户关注度衡量普通投资者关注度,揭示普通投资者关注对股票流动性及股票收益的影响机制。实证结果表明:在控制其他影响因素后,普通投资者高关注度将伴随高市场流动性,注意力会驱动投资者进行交易;对信息的当期关注会对股票收益产生正向影响,但这一现象将在一段时间后发生反转。     

基于极端分位回归的股市收益与交易量相依性研究

依据中国行业股市收益和交易量时间序列数据,引入政策效应变量,运用分位数回归理论时间序列模型,考量股市收益与交易量相依性关系.结果显示,中国行业股市收益与交易量之间相关关系存在差异,且在高分位点呈现正相关,在低分位点呈现负相关.结果表明,中国股市投资者存在显著的羊群效应,政策效应对不同行业收益和交易量相依性的影响存在异质性.鉴此,投资者宜减少部分行业股票配置,政府应建立高效的风险管理机制,尽量减缓股市波动.     

投资者关注、股市表现与套利策略——来自百度搜索量的经验证据

本文采用百度指数作为衡量投资者关注度的代理变量,以股票收益率、成交量和股价波动率来描述股票市场的表现,考察投资者关注对当期和下一期股市表现的影响。实证研究发现投资者关注的增加对当期股票成交量和股价波动率有显著的正向影响,而这种影响在下一期会明显减弱。对收益率而言,投资者关注对其的影响具有反转性和非对称性。此外,通过买入关注度低增长股票、卖出关注度高增长股票构建零投资套利组合,并运用Carhart四因素模型进行分析,发现零投资套利组合能够获得显著的超额收益。     

开放条件下原油期货市场投机和套利行为的风险度量

期货市场与投资者行为紧密联系,并相互影响。投机者和套利者是提供流动性的重要力量,投机和套利也是期货市场的主要交易行为类型。基于投资者行为对市场的影响具有一致性的特点,本文以开放市场的原油期货为研究对象,通过考虑便利收益和自适应预期条件,进一步完善了传统的投机与套利分析模型,并定量分析了投资者的投机和套利行为对原油期货价格形成机制的影响。市场不同的参与主体应采取符合自身特色的交易和风险防范策略。     

机构投资者共同持股与内部人交易收益

本文基于2010-2020年中国A股上市公司数据,实证考察机构投资者共同持股对内部人交易收益的影响及其作用机制。研究发现,机构投资者共同持股可以通过降低企业内部人员信息优势、强化外部监督以及降低股价波动风险对企业内部人交易行为产生治理作用。进一步研究表明,在信息不对称程度较高、投资者关注度较低以及内部人持股比例较高的企业当中,机构投资者共同持股对内部人交易收益的抑制作用更强。     

网络关注度对我国股票市场信息不对称程度的影响

以2013-2016年391支股票的360搜索指数中的投资者关注度和媒体关注度的指数作为网络关注度度量指标,同时基于股票市场交易数据采用多种信息不对称计算方法构建了信息不对称性度量指标,并进一步构造了信息不对称主成分综合指标。通过建立横截面回归模型,探究投资者和媒体关注度对我国股票市场的信息不对称程度的影响作用。实证分析及稳健性检验结果表明：投资者关注度的增加会减少知情交易及信息不透明程度,从而减少了股票市场的信息不对称程度,提高了股票市场的流动性;媒体关注度对不同的信息不对称性度量指标的影响存在着不一致性。本研究通过探索投资者关注度及媒体关注度在新兴市场中的应用,对于我国证券市场监管层制定政策以及对于普通投资者优化投资策略都具有重要的参考意义。     

金砖国家证券市场稳定性研究

金砖国家的经济发展越来越受到国际社会的广泛关注,尤其是其资本市场在次贷危机期间的收益表现更受到了国际投资者的青睐。本文通过建立分位数回归模型,选取2008年3月至2014年3月金砖国家股指日收益数据作为被解释变量,选取MSCI世界指数作为系统性风险因子,分析系统性冲击对不同分位点金砖国家各市场收益的影响以判别其稳定性。研究发现:金砖国家证券市场在极端条件下和在正常条件下受系统性冲击的影响都不同。投资时应根据不同的市场表现选择不同的投资策略。     

国际原油期货市场无偏预期假说的分位数协整检验

本文基于1986年1月到2017年5月的WTI原油现货价格与1月、2月、3月和4月期的期货价格,使用分位数协整检验方法,研究国际原油期货市场上的无偏预期假说是否成立。实证研究结果显示,在本文所研究的1月、2月、3月和4月期货合约上,原油的期价与现价在每个分位点上都存在协整,随着期价的上涨,期价对现价的引导功能在消退。基于分位数wald检验的结果表明,1月期货合约在0.5以下的分位数上满足无偏预期假说,而2月、3月和4月期货合约只有在0.3以下的分位数上才满足无偏预期假说,也就是说只有当期货价格较低时,原油期货市场才满足无偏预期假说,期货市场才是有效的。     

Investor attention and cryptocurrency: Evidence from wavelet-based quantile Granger causality analysis

This paper investigates the relationship between investor attention and the major cryptocurrency markets by wavelet-based quantile Granger causality. The wavelet analysis illustrates the interdependence between investor attention and the cryptocurrency returns. Multi-scale quantile Granger causality based on wavelet decomposition further demonstrates bidirectional Granger causality between investor attention and the returns of Bitcoin, Ethereum, Ripple and Litecoin for all quantiles, except for the medium. Among them, the Granger causality from investor attention to the returns is relatively very weak for Ethereum. In the short term, the Granger causality from these cryptocurrency returns to investor attention seems symmetric, but in the medium- and long- term, the causality shows some asymmetry. The Granger causality from investor attention to these cryptocurrency returns is asymmetric and varies across cryptocurrencies and time scales. Specifically, investor attention has a relatively stronger impact on the cryptocurrency returns in bearish markets than that in bullish markets in the short term.     

Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors

Using one-minute intraday data and wavelet decomposition of stochastic processes we obtain realised VCOV matrices with and without price discontinuities in the U.S. Treasuries and precious metals futures. Our work provides determinants of co-jumps in gold, silver and U.S. Treasuries across the yield curve and empirically demonstrates impact of price discontinues on hypothetical investor through realised correlations, hedging effectiveness ratios and several portfolio settings. We find that co-jumps in gold and silver have similar monetary characteristics to co-jumps in gold or silver with U.S. Treasuries futures. We further unpack investor choices between precious metals and U.S. bonds under the presence of high-frequency risks. We show that behaviour puzzle of simultaneous demand for safety and quality during market turmoils disappears if investors are seeking maximum diversification. We also find that runs to safety do not offer statistically significant improvements in diversification benefits unlike runs to short-term quality. Other results uncover higher investments to gold due to the shifts in the U.S. yield curve and potential gains in realised hedging effectiveness for the end of the yield curve investors through asymmetry in co-jumps of gold and U.S. Treasuries during periods of extreme market volatility such as beginning of the COVID-19 pandemic.     

Investor Trading Behavior and Sentiment in Futures Markets

This study investigates the effects of investor trading behavior and investor sentiment on futures market return. We find that the spot investor trading behavior, futures investor trading behavior, spot market sentiment, and futures market sentiment all have positive effects on daily futures returns in Chinese financial market. More importantly, we show that the effect of (spot) futures investor trading behavior has better explanatory power than (spot) futures market sentiment on futures returns. Further supporting our results, high investor trading behavior and high investor sentiment strengthen the positive relation between sentiment-returns and behavior-returns.     

Beyond Basis Basics: Liquidity Demand and Deviations from the Law of One Price

Deviations from the law of one price between futures and spot prices—the futures-cash basis—capture information about liquidity demand for equity market exposure in global markets. We show that the basis comoves with dealer and investor futures positions, is contemporaneously positively correlated with futures and spot market returns, and negatively predicts futures and spot returns. These findings are consistent with the futures-cash basis reflecting liquidity demand that is common to futures and cash equity markets. We find persistent supply-demand imbalances for equity index exposure reflected in the basis, giving rise to an annual premium of 5% to 6%.     

Arbitrage, Risk Premium, and Cointegration Tests of the Efficiency of Futures Markets

This article provides a new perspective on the efficiency of futures markets in a cointegration framework. Under the conventional risk premium hypothesis, if futures and spot prices are non-stationary, they must be cointegrated if futures markets are efficient. Alternatively, the cost-of-carry model implies that there should be a cointegration relationship among spot prices, futures prices and interest rates assuming all the series contain a unit root. Market efficiency further implies specific parameter restrictions under these two models. Using data on the futures markets for gold, silver, palladium and platinum, this article first establishes that interest rates, spot and futures prices are unit root non-stationary. The evidence on cointegration is somewhat mixed: the gold futures market is consistent with the cost-of-carry model, and the silver futures market satisfies the risk premium hypothesis, but the evidence for the other two markets is inconclusive.     

Investor Attention and Stock Returns: International Evidence

This article examines the asymmetric/discriminative effects of investor attention on expected stock returns among 15 markets through economic expansions and recessions. The predictive power of attention tends to be short-lived and weakens the autocorrelation within returns. Accounting for business cycles not only confirms that the predictability of attention endures with volatility but also explicates the asymmetric effects that underlying pessimism functions better. International evidence contributes to the literature on investor attention and reveals the discrepant effects of attention with three levels of market efficiency: semi-strong, stronger than semi-strong, and weak.     

Causal relationship between spot and futures prices with multiple time horizons: A nonparametric wavelet Granger causality test

This study investigates the causal information flow between 45 major daily spot returns and their corresponding futures in developing, emerging, and commodity indices through a novel nonparametric wavelet Granger causality test (NWGC) that is capable of detecting causality patterns in various time scales without any stationarity assumption or multivariate autoregressive modeling requirement. We provide new evidence for a complex causality pattern phenomenon. First, there may not be just one dichotomous answer about the Granger causality test for each market data in a time domain, as markets exhibit different causal information flows for different time scales. Second, each market may show distinct causality patterns compared to other markets.     

An empirical investigation of large trader market manipulation in derivatives markets

Using account-level transaction data in options and futures markets, we investigate the existence of market manipulation, which is the ability of large traders to trade strategically, impacting prices and making abnormal profits. First, large trader’s option positions have a quantity impact on the underlying asset’s price. Second, large traders generate significantly positive alphas from trading options and futures. Among the different investor types, proprietary dealers generate the largest positive alphas. Third, these abnormal returns are consistent with strategic trading and cross-market manipulation. The evidence supports market manipulation across the options and futures markets, but not within the futures market itself.     

Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis

This paper examines the relationship between the Australian stock and futures markets over various time horizons. In contrast to methods employed in previous studies, wavelet analysis allows us to decompose data into various time scales. Using this technique and the Hurst exponent, we find that the Australian stock and futures markets are antipersistent. The wavelet correlation between the two markets varies over investment horizons, but remains very high. Furthermore, the magnitude of the correlation increases as the time scale increases, indicating that the stock market and the futures market of the All Ordinaries Index are found to be not fundamentally different. The hedge ratio increases as the wavelet time scale increases. In addition, the effectiveness of hedging strategies initially increases with the hedging horizon.     

The volatility dynamics of spot and futures gold prices: Evidence from Russia

We examine the long memory property and structural break in the spot and futures gold volatility in Russia from 2008 through 2013. We find strong evidence of long memory in the volatility of both spot and futures gold series. The break dates are associated with the recent global financial crisis. Moreover, we investigate the volatility spillover effect between the Russian spot and futures gold markets using the corrected Dynamic Conditional Correlation model (cDCC). The findings show relatively high level of conditional correlation between spot and futures gold returns. This outcome decreases the portfolio diversification benefits for gold investors.