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The Pricing Bias of CSI 300 Index Futures and Investor Sentiment

ZHENG Zhen-long;LIN Jing;Department of Finance,Xiamen University;  
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.
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