摘要
论文将投资者情绪和异质信念同时引入HAR模型,基于跳跃、好坏波动率、投资者情绪和异质信念提出HAR改进模型,进一步结合Realized GARCH模型,实证研究揭示股指期货波动运行规律。论文研究发现:1)异质信念和投资者情绪显著提高了沪深300股指期货波动率的样本内预测能力;2)投资者情绪和异质信念对沪深300股指期货的收益率及其波动率具有显著的正向溢出效应。
This paper introduces investor sentiment and heterogeneous beliefs into HAR model for the first time. In this paper,we establish improved HAR-type models involving jumps,realized semivariances, and investor sentiment also heterogeneous beliefs.Further, combining with Realized GARCH model, we research on the volatility of stock index futures empirically. The results show that: 1)Heterogeneous beliefs and investor sentiment significantly improve the sample prediction ability of the volatility of the stock index futures;2)The investor sentiment and heterogeneous beliefs have a significant positive spillover effect on on the yield and volatility of the stock index futures.
出处
《投资研究》
CSSCI
北大核心
2021年第1期117-136,共20页
Review of Investment Studies
基金
国家社会科学基金项目“基于行为金融视角的房地产平稳健康发展研究”(项目编号:18CJY016)
关键词
投资者情绪
异质信念
已实现波动率
股指期货高频数据
Investor Sentiment
Heterogeneous Beliefs
Realized Volatility
the Data of High-frequency Stock Index Futures
作者简介
刘金娥,厦门理工学院经济与管理学院,副教授;陈国进,厦门大学经济学院与王亚南经济研究院双聘教授。
