Investor Sentiment and the Basis of CSI 300 Stock Index Futures: An Empirical Study Based on QVAR Model and Quantile Regression
Table 3
Result of the regression estimation considering investors’ structure.
First stage (Stable market)
Second stage (Turbulent market)
Explanatory variable
25%
50%
75%
25%
50%
75%
-0.08743
-0.04192
-0.05550
-0.08393
-0.10100
-0.10155
(-4.23043)
(-4.38351)
(-3.86572)
(-2.21789)
(-1.78345)
(-2.35179)
r
-0.01342
-0.00432
-0.00485
-0.04817
0.10072
0.09509
(-0.93107)
(-0.40926)
(-0.59169)
(-0.27588)
(1.21478)
(1.25509)
Impact-F
-0.64312
-0.35835
-0.30577
-0.00956
-0.01519
-0.05584
(-0.75737)
(-0.43484)
(-0.46250)
(-0.17924)
(-0.37509)
(-1.34429)
Impact-S
-0.02083
-0.01507
-0.00397
0.02021
-0.02122
-0.03463
(-1.39984)
(-0.79281)
(-0.23122)
(0.28662)
(-0.36004)
(-0.62744)
Impact-ETF
0.07377
0.06707
0.03344
0.01376
0.03331
0.06455
(2.67012)
(2.21958)
(1.35567)
(0.33060)
(0.76813)
(1.32247)
frsigma
0.03401
0.03057
0.04518
0.03208
0.06545
0.12111
(0.69870)
(0.73495)
(1.03438)
(0.38646)
(0.69189)
(1.17760)
rsigma
-0.04960
-0.03862
-0.03177
0.01714
0.01722
-0.00237
(-1.25115)
(-1.03519)
(-0.78892)
(0.21168)
(0.23797)
(-0.03858)
reversion
0.00121
0.00326
0.00554
-0.00298
-0.00022
0.00093
(0.10323)
(0.22396)
(0.39898)
(-0.87293)
(-0.07527)
(0.37368)
structure
0.05964
0.08180
0.03544
-0.01597
-0.04100
-0.05175
(2.26087)
(2.72718)
(1.24361)
(-0.23068)
(-0.82039)
(-1.29275)
Structure
0.09101
0.11225
0.04722
0.00673
0.05757
0.07131
(2.79851)
(3.20395)
(1.59309)
(0.09844)
(1.15699)
(1.61321)
Intercept
-0.42035
-0.27074
-0.18529
0.14605
0.32032
0.42930
(-1.11143)
(-0.73668)
(-0.61618)
(1.08549)
(3.53903)
(5.43184)
Table 3 reports the result of the regression estimation considering investors’ structure. The values in parentheses are t statistics value. ,, and stand for statistical significance at the 1%, 5%, and 10% level, respectively.
