Study on Influence of Investor Sentiment on Price Discovery Function of CSI 300

In recent years, as an important tool of macro-control, fiscal policy has played a key role in shaping the dynamic relationship of financial market prices and regulating market operation mechanism. Because of its high information transmission efficiency and flexible trading mechanism, the stock index spot market has become an important platform to study the impact effect of policy. Whether the stock index futures can effectively and stably play its function is the foundation of its establishment in the capital market, which is far more worthy of attention than its own price and yield changes. This paper discusses the investor sentiment of csi 300 stock index futures and spot market prices the influence of the dynamic relationship, focus on fiscal policy issued to the futures market price discovery ability and volatility spillover effect adjustment. Taking the fiscal policy announcement event on September 24, 2024 as the core node, combined with the 5-minute high-frequency data of CSI 300 index and stock index futures, a multidimensional sentiment index reflecting the changes in market sentiment was constructed, and the VAR-VECM model was used to analyze the dynamic changes of price discovery function. The results showed that: (1) fiscal policy issue cause market mood significantly, promote rapid reflect of the futures market to the policy information, and through the information transmission reinforcement on the spot market price guide, the futures market price discovery ability significantly increased. (2) There is a significant difference in the correlation between the market before and after the fiscal policy. After the policy is released, the asymmetry of sentiment is further highlighted. High sentiment accelerates the absorption and diffusion of information in the futures market by increasing trading activity and enhancing liquidity, while low sentiment can reduce volatility and improve price equilibrium.

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Publication Details

Journal
International Journal of Finance and Investment
Published
2025-03-27
DOI
https://doi.org/10.54097/8myp2s97
Primary Topic
Financial Markets and Investment Strategies
Type
article
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article

Study on Influence of Investor Sentiment on Price Discovery Function of CSI 300

Z S Li
International Journal of Finance and Investment
Financial Markets and Investment Strategies
article

Study on Influence of Investor Sentiment on Price Discovery Function of CSI 300

Z S Li
article en

Abstract

In recent years, as an important tool of macro-control, fiscal policy has played a key role in shaping the dynamic relationship of financial market prices and regulating market operation mechanism. Because of its high information transmission efficiency and flexible trading mechanism, the stock index spot market has become an important platform to study the impact effect of policy. Whether the stock index futures can effectively and stably play its function is the foundation of its establishment in the capital market, which is far more worthy of attention than its own price and yield changes. This paper discusses the investor sentiment of csi 300 stock index futures and spot market prices the influence of the dynamic relationship, focus on fiscal policy issued to the futures market price discovery ability and volatility spillover effect adjustment. Taking the fiscal policy announcement event on September 24, 2024 as the core node, combined with the 5-minute high-frequency data of CSI 300 index and stock index futures, a multidimensional sentiment index reflecting the changes in market sentiment was constructed, and the VAR-VECM model was used to analyze the dynamic changes of price discovery function. The results showed that: (1) fiscal policy issue cause market mood significantly, promote rapid reflect of the futures market to the policy information, and through the information transmission reinforcement on the spot market price guide, the futures market price discovery ability significantly increased. (2) There is a significant difference in the correlation between the market before and after the fiscal policy. After the policy is released, the asymmetry of sentiment is further highlighted. High sentiment accelerates the absorption and diffusion of information in the futures market by increasing trading activity and enhancing liquidity, while low sentiment can reduce volatility and improve price equilibrium.

International Journal of Finance and InvestmentVol. 2(2)
Hunan University of Science and Technology (CN), Hunan University of Science and Engineering (CN), Hunan University of Technology (CN)
Openalex Percentile: Top 75%
Financial Markets and Investment Strategies
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Study on Influence of Investor Sentiment on Price Discovery Function of CSI 300 — Z S Li · International Journal of Finance and Investment (2025) | TGRS Research Map | TGRS