Journal of Banking and Finance ·Volume 90· MAY 2018

投资者情绪和价格发现：来自期货和现货市场之间动态定价的证据

作者：Lin Chu-Bin (Department of Finance, School of Economics and Management , Southwest Jiaotong University)

Chou Robin K. (Department of Finance and Risk and Insurance Research Center, College of Commerce, National Chengchi University)

Wang George H.K. (Department of Finance, School of Business, George Mason University)

摘要：本研究考察了投资者情绪在现货和期货市场之间定价动态中的作用。实证研究表明，投资者情绪对现货和期货市场的价格波动和买卖价差具有正面影响，在投资者情绪高的期间内会诱发更高的套利风险和交易成本。因此，在投资者情绪高的期间内，知情交易者变得较不愿意在期货市场上利用其信息优势，这会降低期货市场的信息领先作用和价格发现功能。我们的研究结果为套利限制理论提供了支持。

关键词：信息共享；投资者情绪；先导滞后关系；套利限制；价格发现

Investor sentiment and price discovery: Evidence from the pricing dynamics between the futures and spot markets

Lin Chu-Bin (Department of Finance, School of Economics and Management , Southwest Jiaotong University) Chou Robin K. (Department of Finance and Risk and Insurance Research Center, College of Commerce, National Chengchi University) Wang George H.K. (Department of Finance, School of Business, George Mason University)

ABSTRACT

This study examines the role of investor sentiment in the pricing dynamics between the spot and futures markets. The empirical evidence suggests that investor sentiment has a positive impact on price volatility and the bid–ask spread on both the spot and futures markets, which induces higher arbitrage risk and trading costs during high sentiment periods. Consequently, during high sentiment periods, informed traders become less willing to leverage their information advantages on the futures market, which diminishes the futures markets’ leading informational role and contributions to price discovery. Our findings provide support for the theory of limits to arbitrage.

Keywords: Information shares; Investor sentiment; Lead–lag relation; Limits to arbitrage; Price discovery

原文链接：

https://www.sciencedirect.com/science/article/pii/S0378426618300451

翻译：张展