The Behavior and Impact of Heterogeneous Investors in China’s Stock Index Futures Market: An Agent-Based Model on Cross-Market Trades

Table 7

The impact of speculator sentiment on the quality of the stock index futures market.

	Liquidity (yuan)	Volatility (bps)	MAE	MRE (%)
0	4,602,322	47	1,680	0.58
0.001	5,323,527	47	1,687	0.59
0.002	5,417,582	48	1,752	0.62
0.005	7,302,046	47	2,432	0.85
0.01	4,091,684	49	3,587	1.24
0.02	3,548,942	52	5,842	2.02
0.03	3,456,699	61	8,867	3.06
0.04	3,281,070	63	11,998	4.13
0.05	3,277,045	66	14,398	4.97