Investor Sentiment and the Basis of CSI 300 Stock Index Futures: An Empirical Study Based on QVAR Model and Quantile Regression

Table 1

Variables descriptive statistics and variance analysis.

variables	unit	Stable market		Turbulent market		variance analysis
		mean	Std.	mean	Std.	F	Pr
Explained variable/Endogenous variable
Basis	300 yuan/point	-0.03	0.08	0.2	0.21	84.144	2.95E-16
Explanatory variable/Endogenous variable
	%	2.54	0.44	3.56	0.54	166.84	2.20E-16
Moderator variable
structure	%	53.1%	1.45	54.3%	2.34	13.904	2.70E-04
Control variables
r	%	5.3	3.57	2.27	1.05	45.431	3.03E-10
impact-F	300 yuan/point	5.35	3.9	3.2	2.92	14.188	0.000236
impact-S	300 yuan/point	1.44	2.98	23.93	32.66	41.334	1.55E-09
impact-ETF	300 yuan/point	4.39	3.56	6.92	9.56	5.2287	0.02359
rsigma	%	0.01	0.01	0.02	0.01	29.168	2.49E-07
frsigma	%	0.01	0.01	0.02	0.02	29.168	2.49E-07
psigma	%	26.71	22.33	62.43	55.21	30.359	1.49E-07
fpsigma	%	29.04	27.85	72.26	62.77	33.197	4.44E-08
reversion	300 yuan/point	0.03	0.61	-0.84	7.22	1.2798	0.2597
Original indicators for the composite index of the investor sentiment
num	%	0.01	0.28	-0.01	0.15	0.3452	0.5577
prem	%	-0.15	0.03	-0.12	0.06	18.638	2.83E-05
turnover	%	0.04	0.03	0.06	0.04	16.534	7.62E-05
PE	%	9.55	1.67	13.41	2.04	167.06	2.20E-16
buyrate	%	0.11	0.95	0.06	0.04	2.1311	0.1464

Table 1 reports the summary descriptive statistics of price series. The explained variable (basis) is the basis of CSI 300 index futures. The regulated variable (structure) is the percentage of stock held by institutional investors. Market interest rate, arbitrage cost, and mean-reversion characteristic are the control variables. We use the weekly interest rate of bond repurchase as the risk-free interest rate. “Impact-F,”, “impact-S,” and “impact-ETF” are adopted as the impact costs and “rsigma,” “frsigma,” “psigma,” and “fpsigma” represent the waiting cost, and reversion is used to interpret the mean-reversion characteristic. The “PE” is the average price-earnings ratio of the A share, “num” is the number of investors newly participating in the trade, “prem” means closed-end fund premium rate, turnover represents market turnover, and “buyrate” is the active buying rate in the spot market. The index above is taken as the original indicators for the composite index of the investor sentiment. is the composite index of the investor sentiment in the th week calculated using the sentiment original index by the PLS model.