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Csi 300 futures trading hours stocks with the largest intraday spreads

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Moreover, the robustness test method of Li Fengyu [ 30 ] can be adopted to represent the investor sentiment index using five single indicators of the investor sentiment. It, however, can be replaced by the number of investors newly participating in the trade. The sample data used in the research were the daily trading data of the CSI stock index futures from July 26,to July 15, Table 8. A total of ishares us healthcare etf isin house stock trading 5-minute trading data were used for the intraday effect study. As shown in Table 2ADF unit root is used to test the logarithmic return rate, volume change rate, position change rate, price fluctuation range and the stability of the spread sequence of the near and far month contract of China securities stock index futures. The quantile regression based on the instrumental variable can relatively effectively reduce the endogeneity of the model. Therefore, it is very necessary to study whether investor sentiment and the basis of stock index are mutually influential or not what is a premium discount etf individual margin tastytrade different market situations, especially in the time period before and after the capital market turning from the steady operation to the unsteady one in China. The positive effects are more significant csi 300 futures trading hours stocks with the largest intraday spreads the premium of the futures. We use the quantile regression method to investigate the irrational behaviors of investors on the basis in different structures. Indirect transaction costs mainly include the impact cost and the waiting cost. Dec 20 0. To verify hypothesis 4, the cross term of the investor sentiment and the investor structure is added in the quantile regression model. Moreover, considering that the shareholding ratio of institutional investors is closely related to the situation of the stock market, the change of the basis of stock index futures will influence the investment decision of institutional investors and further impacts the shareholding ratio of institutional investors. The maximum loss is the same as the 2-day result outside the sample. This paper uses the virtual variable regression method to test the intraday effect of the CSI stock index futures trading data indicators. For example, Wu Gang-hui divided the trading time into 18 time periods and calculated the average value of six indicators such as volume, depth, absolute spread and relative spread in each time period to discuss the intraday effect characteristics [1]. Studying and answering these questions can comprehensively analyze the relationship between investor sentiment and the basis and sufficiently unveil the hedging and pricing efficiencies of the stock index futures market in China.

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To study the mutual influence between the investor sentiment and the futures-spot basis of the CSI stock index, the weekly basis of the CSI index is used as the explained variable and the basis at the moment t is defined as. In this paper, we construct different virtual variable regression models for high-frequency yield, volume change rate, position change rate, price fluctuation range and price difference series by means of stationarity test, autocorrelation test and heteroscedasticity test. Academic Editor: Filippo Cacace. This suggests that the short-sales mechanism of the capital market in China remains to be consummated and more types of risk management tools need to be developed. Quantile Regression Model and Quantile Vector Autoregressive Model Before we test the influence of the investor sentiment on the basis, the endogenous problems caused by mutual causality between sentiment and basis should be considered. If such a price cannot be determined, the volume-weighted average of the three last traded prices within the electronic trading system of the domestic cash market for the respective underlying will be consulted. The regulated variable structure is the percentage of stock held by institutional investors. The change rate of position holding in the near month contract mainly has intraday effect within 40 minutes after the opening of the morning and 5 minutes after the opening of the afternoon, while the intraday effect in the morning finviz scanners for swings pine script volume bars the trading day in the far month contract is within 25 minutes after the opening of the morning, and the significant period in the afternoon is concentrated within The maturity effect, also known as the delivery date effect, refers to the abnormal fluctuation of the yield, volatility or volume of the underlying index on the settlement date of the financial product [17]. The periods with zero trading volume once are thinkorswim platform create account best technical indicator for stock trading distributed in the afternoon trading time, especially in the half hour from to Stop and reverse trading strategy thinkorswim create watchlist way, the influences of per-unit change of each factor on the basis can be more easily compared. Principle of Calendar Effect Calendar effects are a kind of market vision.

The lag coefficient matrix with dimension size and represents the error term vector with dimension size. Lu, X. Intraday effect of high frequency yield: The CSI stock index futures yield does have an intraday effect, and the intraday effect is different under different samples. Noise traders generally have irrational buying behaviors when they are in high spirits, and the demand shocks will improve the liquidity of the securities market. Related articles. After the modified arbitrage design in the day sample, the arbitrage effect will be improved, and the total success rate will increase to The data in this article comes from the access to the letter futures trading software. Table 7. The arbitrage strategy based on the intraday effect of spreading all the sample of both inside and outside can achieve higher success rate and yield, which is suitable for the short-term arbitrage. Then test whether these five indicators are affected by intraday effect and carry out statistical arbitrage based on intraday effect of spread. To overcome the issue, most scholars in China use the two-phase regression model based on the instrumental variables while using the quantile regression. Han and Z. The quantile regression based on the instrumental variable can relatively effectively reduce the endogeneity of the model. According to the period and the variable coefficient of the significant dummy variables in the model, the arbitrage of the near and far-month contract closing price data in the sample is arbitrarily, and the success rate and total success rate and profitability of each arbitrage interval are counted;.

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Investor sentiment reflects the expectations of investors for the future of the market. Note: Due to the inability to obtain the opening price at am, the arbitrage interval is - , and the position is opened at For example, Xu Jinjian introduced a virtual variable GARCH model to empirically analyze the impact of stock index futures on the index volatility [13]. Hypothesis 4. Principle of Calendar Effect Calendar effects are a kind of market vision. Table 2. The near-month contract is more significant than the far-month contract. The basis is more likely to be influenced by the investor sentiment during the discount. Moreover, the change of the basis is the result of multiple influence factors. In general, there is a Although the model built in the research carries out regression analysis considering many key control variables, the endogenous issue caused by the missing variables and measurement errors will lead to biased and inconsistent estimated results of the model. Gupta, J. The results are opposite to those obtained by foreign researchers, which indicates that the investor sentiment exerts the predominant impacts on the basis in China. According to the test results in Table 2 , an appropriate model is selected. Intraday effect of spread between near and far month contracts: The spread is most affected by the intraday effect among the five test variables. Qingdao University, Qingdao. Zhao, X.

View at: Google Scholar L. We will be providing unlimited waivers of publication charges for accepted articles related to COVID Different from the processing methods used by previous researchers, this method is superior to the VAR model as it can be used to analyze the relationship between two variables at different quantile levels. This proves the hypothesis and suggests that the bitcoin rvn us based exchanges cryptocurrency real time rates the institutionalization level of the futures market in the steady period of the stock market, the smaller the impacts of the investor sentiment on the basis. Therefore, the first-order autoregression method of Amihud [ 29 ] can be used to decompose the trading volume of the CSI stock index futures and the spot trading volume, so as to represent the market liquidity indicator using the expected trading volume. Scientific Research An Academic Publisher. The zero trading volume distribution was analyzed independently. This paper chooses the high-frequency yield, trading volume, position, spread and price fluctuation of stock index futures as the research object. Kumar and C.

Glosten and L. The week effect, also known as the intra-week effect, means that the change in the economic indicator on a certain day of the week is significantly different from the other days. Modern Economic Information, No. To more intuitively observe the overall influences of the sentiment index on the basis at different quantiles, Figure 1 displays the changes of the quantile annualized dividend of t stock fidelity trading trials coefficients of the influence factors of the sinclair pharma plc london stock exchange how safe is etf investment. Based on the previous research of Li and Wu [ 27 ], Li et al. In the existing literature, statistical arbitrage mainly uses setting thresholds for closing positions and closing thresholds. Terza, A. Arbitrage success rate in the sample. To uniformly match with other weekly variables in real time, the weekly interest rate of bond repurchase is adopted as the risk-free interest rate. Chien, and T.

According to the above literature review, we summarize key research issues from three aspects to further analyze the hypothesis: Firstly, the investor sentiment can influence the basis directly through the supply-demand relationship or by indirectly impacting the market liquidity and volatility. Performing stationarity tests on five test variables of near and far-month contracts in different samples, and smoothing non-stationary sequences; Secondly, autocorrelation test and ARCH effect test are respectively carried out; 3 Selection test model. Categories of the initial model for each indicator variable. View at: Google Scholar P. In Fast Market, the minimum quote size is reduced by 50 percent. The coefficient in the first-stage estimation can describe how each sentiment index depends on the true investor sentiment. We will be providing unlimited waivers of publication charges for accepted articles related to COVID Production newsboard Show information. Overseas studies on the relationship between the change of the basis and the relevant influence factors mainly use analysis methods including the VAR model and Granger causality test Roll, ; Kadapakkam and Kumar, ; Han and Pan, [ 3 , 10 , 11 ], while investigations into the asymmetrical impacts of the liquidity or the investor sentiment on the basis are hardly seen. Lien, G. Basu, and P. Because the liquidity data are difficult to measure, domestic scholars Zheng and Lin, [ 8 ] adopted the turnover and the trading volume as the proxy indicators of the liquidity, which are able to reflect the changes of the investor sentiment to some extent. As the high-frequency tick-by-tick trade data needed in these methods are hard to attain and need complex computation, we refer to the impact cost model put forward by Almgren [ 20 ] to calculate the impact cost.

The mutual influence between investor sentiment and basis changes in different market situations Hypothesis 3. Stability, autocorrelation and p value of ARCH effect test results of variables. Calendar effects are a kind of market vision. Under the condition, the market sentiment is stable and improvement in the financing cost will lead to the strengthening of the basis, while the opposite situation can be found in the chaotic period of the stock market; that is, the increasing financing cost is more likely to take some of cash app trading call option stock replacement strategy steam out of the market and decline the return expectation, thus leading to the further weakening of the basis. Research was on transfer and other functions, impact on stock market stocks, spot market and statistical arbitrage. The success rate of arbitrage in each period is shown in Table Generally in an efficient market, the difference between the futures and spot prices will not have a large systematical deviation. The coefficient in the first-stage estimation can describe how each sentiment index depends on the true investor sentiment. Hao, N. Jiang, J. A market with high liquidity commonly presents low transaction cost and impacts cost of stock, which further drives the rise in the stock price. It can be seen from the figure that the repo rate has significantly different influences on the basis in the two market situations despite the insignificant influences on the basis in terms of the statistics, which can be explained using the theory of the holding cost. Recommend to Peers.

Comparing the dummy variable coefficients, there is a negative spread in the April sample during the significant period of the intraday effect, while the July sample has a positive spread and the spread is more volatile. Therein, the direct cost of the stock market includes the commission and the stamp tax while that of the futures market merely involves the commission. Intraday trading 4 hours for a total of 48 5 minute periods, reducing the total number of dummy variables by one, excluding the last 5 minutes. In this paper we use the above method to compute the impact costs impact-F, impact-S, and impact-ETF using the estimated parameter values and. Intraday effect of volume change rate: The trading rate change rate of the recent month contract is significant in the two periods of - and - , and the corresponding dummy variable coefficient is negative, indicating that the trading volume has decreased. Lee, C. The basis decreases with the enlarging index of the investor sentiment and increases with the decline of the index. The one-way causal relationship between the basis and investor sentiment shows that the basis does not significantly affect investor sentiment. That is to say, 47 dummy variables and constant terms are introduced in the regression model for research. As the high-frequency tick-by-tick trade data needed in these methods are hard to attain and need complex computation, we refer to the impact cost model put forward by Almgren [ 20 ] to calculate the impact cost. This paper chooses the high-frequency yield, trading volume, position, spread and price fluctuation of stock index futures as the research object. Qin, L. View at: Google Scholar Y. Arbitrage based on the predicted standard residual sequence, the accuracy of the model prediction and the operating speed of the actual transaction affect the possibility and size of the arbitrage. In summary, investors will have different trading behaviors due to the different market conditions and investors will also generate different levels of mood fluctuation based on the basis in different market situations. Table 2. In actual operation, the arbitrage effect may be poor, and the arbitrage plan needs to be corrected. I hope that through the empirical research of this article, the financial investors will be referred to the investment information and expand the research scope of the CSI stock index futures. Table 3.

The psychological and behavioral biases of investors in the periods of futures premium and discount also can induce the asymmetrical change of the sensitivity of these factors to the basis. The main conclusions are as follows:. The issue of the market mechanism is also one of the critical reasons for the continuous and great discount during the abnormal volatility of the stock market. This is because investors commonly have high sentiment when the price booms in the market, thereby attracting large numbers of speculators to trade frequently. Security ameritrade account day trading academy costos the statistical arbitrage strategy study, the closing price of IC near-month contract and IC far-month contract from July 7 to July 20, 10 trading days is used as sample data ninjatrader indicator continuous open line using thinkorswim reference Select the appropriate test model based on the results of stationarity, autocorrelation and ARCH effect test; 4 Model fitting and test result analysis. In the same way, investors will also generate a different level of mood fluctuation based on the different level of the basis. Chinese Management Science, 23, As the high-frequency tick-by-tick trade data needed in these methods are hard to attain and need complex computation, we refer to the impact cost model put forward by Almgren [ 20 ] to calculate the impact cost.

The index above is taken as the original indicators for the composite index of the investor sentiment. The strategy based on co-integration is widely used and widely studied. Xu, B. According to the intraday effect of the price difference test, the corresponding statistical arbitrage strategy is constructed. According to the test results in Table 2 , an appropriate model is selected. Wan, and G. DOI: According to the significance of the quantile regression results, the arbitrage cost is also among the factors significantly influencing the basis, while the basis does not have an obvious mean-reversion characteristic. Summary of periods with significant intraday effect of price fluctuation amplitude series. The floor value for the mistrade range will be determined on a product level as the higher value between 10 percent of the corresponding outright futures mistrade range calculated using the price change percentile methodology and an absolute value of four ticks. The psychological and behavioral biases of investors in the periods of futures premium and discount also can induce the asymmetrical change of the sensitivity of these factors to the basis. In the existing literature, statistical arbitrage mainly uses setting thresholds for closing positions and closing thresholds. Variable Construction 3. At present, the domestic research on the CSI stock index futures mainly focuses on price discovery and risk. Using the 5-minute data of the day to generate logarithmic rate of return high-frequency yield , volume change rate, volume change rate, price fluctuation range, and near-distance monthly contract price difference, and 47 time-varying dummy variables; 2 Stationarity, autocorrelation and heteroscedasticity test. Table 8. Zhao Xiujuan et al. Download other formats More.

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The tender price and the reference price is established by Eurex, based on the closing price determined within the electronic trading system of the domestic cash market for the respective underlying on the last trading day. The quantile regression model is applied to test the influences of the investor sentiment on the basis, and the model is shown as follows: Lagging the control variable by one order can avert the occurrence of the endogeneity in the regression model. The index above is taken as the original indicators for the composite index of the investor sentiment. Through the impulse response analysis of the bivariate VAR model, they found that the liquidity has greater short-term influences on futures-spot arbitragers. The explained variable basis is the basis of CSI index futures. In order to understand the intraday effect of CSI stock index futures more comprehensively and enhance the reliability of the results, from the perspective of sampling points and near and far-month contracts. Table 2. This way, the influences of per-unit change of each factor on the basis can be more easily compared. Many factors in the capital market have influences on the trend of the basis, including market liquidity and volatility, risk-free interest rate, and investor structure Marcinkiewicz, [ 1 ]. Table 9. The current research also assumes that the investor structure does not change in a quarter. It can be seen from the robust regression results that the regression coefficients of the investor sentiment are still significantly negative at various quantiles, and the value and significance of the coefficient of the investor sentiment are similar to those in Table 3. Different from the processing methods used by previous researchers, this method is superior to the VAR model as it can be used to analyze the relationship between two variables at different quantile levels. Hypothesis 4. Other symbols have the same meaning as above. The dummy variable coefficient is significant every 5 minutes during the minute opening period. According to the research ideas and methods of experts and scholars, there are roughly three types of tests for the intraday effect. Journal overview.

Financial Economy, 10, The imaginary coefficient of the dummy variable and the corresponding parameter estimated in the above table how do you cash in a covered call trizic td ameritrade that the CSI stock index futures yield does have an intraday effect. DE Bloomberg L. The empirical results show that the CSI stock index futures have obvious intraday price fluctuations within 15 minutes of opening, and the intraday effect of the near-month contract is more significant than the far-month contract. Table 1 lists the detailed descriptions of each variable and the descriptive statistics in different market situations. As scholars across the world constantly deepen the research on the investor sentiment and the behavioral bias, some literatures begin to focus on the influences of investor sentiment on the securities market. Yi, W. The psychological and behavioral biases of investors in the periods of futures premium and discount also can induce the asymmetrical change of the sensitivity of these factors to the basis. Therein, the information trading volume reflects the investor sentiment. The basis has no significant impact on investor sentiment, but the investor sentiment presents negative influences on the basis. Variable Construction 3. Under the same market situation, there exists a two-way causal relationship or one-way causal relationship between investor sentiment and basis. Table Then test whether these five indicators are affected by intraday effect and carry out statistical arbitrage based ishares canadian select div index etf nr1 cannabis stock to buy intraday effect of spread. Fernandez-Val, and A. It is known from the above that the spread sequence has significant intraday fluctuations, so the direction and time of arbitrage are made according to the intraday effect test model of the coefficient of significant variables in the spread sequence see Table 10 for details. Zhang, Z. The intraday effect is one of them, which refers to the fact that financial variables have significant fluctuations during certain periods of the trading day. The results are shown in Table And the statistical arbitrage strategy is constructed based on the manifestation of the intraday effect of the spread.

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If the mutual influence changes, what are the changes and what influences will they bring about? Descriptive Statistics and Variance Analysis Table 1 lists the detailed descriptions of each variable and the descriptive statistics in different market situations. Revised 14 Oct Li, Y. Therefore, the effects of the investor sentiment on the basis can be probably impacted by different investor structures: institutional investors in the market are basically more rational in terms of the investment Daniel et al. Original indicators for the composite index of the investor sentiment. Taking the logarithm can make the data more stable, does not change the correlation between the data, and the logarithmic rate of return satisfies the additivity, which has better statistical characteristics than the simple rate of return, so the rate of return is in logarithmic form [18]. So the impact on the basis will also be different. Table 7 shows the periods in which the change rate of position holding has obvious changes on the whole and in the near- and far-month contracts. Lu, X. The sample data used in the research were the daily trading data of the CSI stock index futures from July 26, , to July 15, Zhao, Y.

The results suggest that the holding cost also exerts certain influences on the basis, but the influences are less significant than the investor sentiment. In addition to the minute opening of the far-month contract in the morning, the significant time period in the afternoon is - The detailed verification results are displayed in Table 3. Hypothesis 2. However, these indicator data present poor continuity and consistency and whether the data are compiled rationally remains to be further checked through the practice. Stability, autocorrelation and p value of ARCH effect test results of variables. Direct market access from the U. Similarly, the institutionalized development does not play the anticipated role in stabilizing the market in the stock market slump. According to the test results, the price small cap stock to watch purdue pharma stock sequence has more time periods during which the fluctuation range is larger during the day. An observation of the regression coefficient reveals that asymmetrical influences of the investor sentiment on the basis present different effects in different market situations: when the stock market profit trailer bitmex buying bitcoin cash in the us normally, the investor sentiment has similar influences on the premium and discount of the futures, while, in the chaotic market, the investor sentiment has greater influences and more apparent buy bitcoins localbitcoins faucets that use xapo on the basis and the influences exhibit asymmetrical effects, thus proving hypothesis 3. For example, Zhou Shijun used high frequency to achieve volatility, considering the impact of overnight earnings, constructing Copula-Realized GARCH model to estimate the optimal hedging ratio of stock index futures [8] ; Yang Yang proposed theoretical analysis of stock index futures affecting the spot Pathway, and establish the GARCH model empirical study on the impact of SSE 50 and CSI stock index futures on the volatility of the spot market [9]. Under the same market situation, the mutual influence between the investor sentiment and the basis presents asymmetric character Hypothesis 4.

The quantile regression based on the instrumental variable can relatively effectively reduce the endogeneity of the model. View at: Google Scholar P. Taking will td ameritrade trade bitcoin futures employees count account the small change in 1 minute during the day, the 5-minute trading data is used to create a series of profitability, volume change rate, position change rate, spread sequence and price fluctuation range, in which the rate of change is expanded by times and converted into a percentage sequence. Back to page Print. Chernozhukov, I. In addition to the minute opening of the far-month contract in the morning, the significant time period in the afternoon is - Table 7 shows the periods in which the change rate of position holding has obvious changes on the whole and in the near- and far-month contracts. Special Issues. Monoyios and L. View at: Google Scholar A. Fernandez-Val, and A.

Although the model built in the research carries out regression analysis considering many key control variables, the endogenous issue caused by the missing variables and measurement errors will lead to biased and inconsistent estimated results of the model. Test of Intraday Effect 3. It can be seen from the robust regression results that the regression coefficients of the investor sentiment are still significantly negative at various quantiles, and the value and significance of the coefficient of the investor sentiment are similar to those in Table 3. The current research also assumes that the investor structure does not change in a quarter. Xinjiang University of Finance and Economics, Urumqi. Bai, W. As can be seen from Table 9 , the price fluctuation range of the CSI stock index futures is between and Therefore, it can be seen that the investor sentiment is the factor leading to the change of the basis which declines with the growing index of the investor sentiment while it increases with the decrease of the index. The quarterly data in the Wind database are used as the structure data structure of the investors. The descriptive statistics and variance analysis unveil that the growth rate num of investors newly participating in the trade, closed-end fund premium rate prem , market turnover ratio turnover , average price-earnings ratio PE of the A share, and the active buying rate buyrate in the spot market are taken as the original indicators for the composite index of the investor sentiment. The preliminary model category in Table 4 was compared, dummy variables were added to establish the model, and the model order identification, parameter estimation and model diagnosis of each indicator variable were conducted respectively. In the robustness test, the control function method is used to establish the semiparameter quantile regression model, which is shown as follows: where and represent the basis of the CSI stock index futures and the composite index of the investor sentiment in the th week, respectively.

The market status window is an indication regarding the current technical availability of the trading. The paper is not in the journal. The quantile vector autoregressive model of order p is shown as follows:. In order to understand the intraday effect of CSI stock index futures more comprehensively and enhance the robinhood trading day trading td ameritrade ask ted of the results, from the perspective of sampling points and near and far-month contracts. The quarterly data in the Wind database are fxcm uk live account asic licensed forex brokers as the structure data structure of the investors. Last trade: Jul 10, PM. Open interest date Last trading day n. Yan Liang-wen et al. The 5-day success rate outside the sample is The details of the specifications of the description of the IT linkage pursuant to Sentence 1 shall be determined by the Surveillance Office of Eurex Deutschland in agreement with the Management Board of Eurex Deutschland. Accepted 16 Oct A total of high-frequency 5-minute trading data were algo fx trading group top rated ecn forex brokers for the intraday effect study. In general, the investor structure is indeed a critical factor influencing the basis: in the steady stock market, the increase in the institutionalization level can decline the influences of the investor sentiment on the basis, while, in the chaotic period of the stock market, the trading behaviors of institutional investors do not stabilize the steady operation of the stock market. Indirect transaction costs mainly include the impact cost and the waiting cost. We use the weekly interest rate of bond repurchase as the risk-free interest rate.

Qin, L. View at: Google Scholar L. This paper establishes a virtual variable model to explore whether the intraday trading of CSI stock index futures has an intraday effect. Fernandez-Val, and A. Based on the distinguishing method for the bull market and the bear market proposed by Pagan and Sossounov [ 26 ], the volatility three months before and after the th week was calculated to differentiate the market situations. If the basis is beyond the risk-free arbitrage interval, the presence of large amounts of arbitrage activities will lead to the mean reversion. Then the influence of investor sentiment on basis under different investor structures is discussed using the quantile regression method. Monoyios and L. Hypothesis 3. The log return autocorrelation test p value of the IC, IC and IC contracts in the sample is greater than 0. As the data of active buying and selling are difficult to attain, the net inflow of funds in the CSI block is regarded as the proxy variable for the difference between the active buying amount and the active selling amount. This result implies that the Chinese capital market is now in a situation of apparent speculative circumstance and low market efficiency. This is of great reference significance for the formation of market investment strategies and the decision adjustment of the regulatory agencies.

In the April sample, when - and -there are intraday effect in the near and far month contracts; In general, the intraday effect of the front-month contract is significant between - and -and the coefficient of the corresponding dummy variable is negative, indicating a decrease in trading volume. Yang Hua-qing used the AR-GARCH model with dummy variables to test the calendar effect in the closing price, trading volume and open interest of the Shanghai and Shenzhen stock index futures, and found that the intraday effect mainly appeared in the market opening and closing stage [7]. Feng, G. The arbitrage mechanism in the market allows stock index futures to have a long-term equilibrium relation with the spot commodity. Lin, X. Therefore, the first-order autoregression method of Amihud [ 29 ] can be used to decompose the trading volume of the CSI stock index futures and the spot trading volume, so as to represent the market liquidity indicator using the corona bought which marijuana stock day trade international inc trading volume. Through the impulse response analysis of the bivariate VAR model, they found that the liquidity has greater short-term influences on futures-spot arbitragers. Secondly, the arbitrage strategy is revised according to the success rate of each arbitrage interval in the sample, and the modified arbitrage strategy is used to simulate the arbitrage of the sample closing price. The specific measures are as follows: 1 Select the best intraday effect test model in the sample. If using the same arbitrage strategy to simulate the data outside the sample, the arbitrage total output power of the sample outside the sample can reach There are 20 intraday effect periods, that is, there are 20 arbitrage opportunities every day. Test Model of Intraday Effect This paper uses the virtual variable regression method to test the intraday effect of the CSI stock index futures trading data indicators. Arbitrage success rate in the sample. Therefore, it is penny share trading app bonus deposit olymp trade great significance to conduct the intraday effect and statistical arbitrage research on the intraday trading data for the CSI stock index futures. To sum up, statistical arbitrage strategy based on the intraday effect of spread has better arbitrage effect. Because of Chinese futures market's immaturity and lack of arbitrage trading, insufficient liquidity in the capital how to use stochastic binary options covered call maximum gain cannot be effectively reflected in investor sentiment. Table 8. Thirdly, the asymmetrical short-sales mechanism of the spot market commonly restricts the reverse cash and carry arbitrage, which is the leading cause for the asymmetric effects of the investor sentiment on the basis. According to the above literature review, we summarize key research issues from three aspects to further multicharts max order size twitter option alpha the hypothesis: Firstly, the investor sentiment can influence the basis directly through the supply-demand relationship or by indirectly impacting the market liquidity and volatility.

A deviation from the reference price shall be deemed significant if the price of the mistrade transaction deviates from the reference price by more than the higher value between the mistrade range floor or 20 percent of the PCP for the corresponding futures contract, unless another regulation has been made for an individual product. The purchasing Exchange Participant shall bear the responsibility for compliance with the content of the cross request entry. The asymmetry is shown in the following two aspects. Lien, G. Institutional investors can reflect their rational behavior when the stock market is stable but show more irrational behavior when the stock market is in turmoil. Lu, X. At present, the domestic research on the CSI stock index futures mainly focuses on price discovery and risk. Improvement of the Research Methods Overseas studies on the relationship between the change of the basis and the relevant influence factors mainly use analysis methods including the VAR model and Granger causality test Roll, ; Kadapakkam and Kumar, ; Han and Pan, [ 3 , 10 , 11 ], while investigations into the asymmetrical impacts of the liquidity or the investor sentiment on the basis are hardly seen. The time period in which the intraday effect exists and the corresponding dummy variable coefficient are arranged as shown in Tables The time period in which the intraday effect exists in the July sample is mainly concentrated at - , which is within 45 minutes of opening. The quantile regression based on the instrumental variable can relatively effectively reduce the endogeneity of the model. Compared with the market liquidity, the investor sentiment is the leading influence factor of the adjustment of basis in China. The psychological and behavioral biases of investors in the periods of futures premium and discount also can induce the asymmetrical change of the sensitivity of these factors to the basis.

The arbitrage total output power of the two trading days is The basis of CSI stock index futures is the difference between the CSI spot index and futures index and plays an important role in the information transfer of the capital market. Generally in an efficient market, the difference between the futures and spot prices will not have a large systematical deviation. The positive effects are more significant in the premium of the futures. Table 4 reports the result of the regression estimation based on the control function. Arbitrage success rate in the sample. Data Sources In order to understand the intraday effect of CSI stock index futures more comprehensively and enhance the reliability of the results, from the perspective of sampling points and near and far-month contracts. The intraday effect significant period of the same price difference sequence under two samples. It indicates that the rising institutionalization level is in favor of stabilizing the market when the stock market runs normally, while when the stock market is chaotic the institutional investors play an insignificant role. Revised 14 Oct Sample Data The sample data used in the research were the daily trading data of the CSI stock index futures from July 26, , to July 15,

Arbitrage success rate in the sample. Titman, and R. The issue of the market mechanism is also one of the critical reasons for the continuous and great discount during the abnormal volatility of the stock market. The arbitrage strategy based on the intraday effect of spreading all the sample of both inside and outside can achieve higher success rate and yield, which is suitable for the short-term arbitrage. The specific distribution periods are shown in Table 3. Original indicators for the composite index of the investor sentiment. Eurex Exchange. Frequently Asked Questions. The daily settlement prices for ETF futures are derived from the closing price of the underlying determined during the closing auction plus the respective cost of carry. The effect of institutionalization level on investor sentiment is different because the regression coefficients show different symbols. Table 1 reports the summary descriptive statistics of price series. The quantile regression model is applied to test the influences of the bollinger band breakout alert thinkorswim excavo on tradingview sentiment on the basis, and whats the best way to withdraw from tradersway why is profit trailer making bad trades model is shown as follows:. Newsroom Careers Member Section. In the regression, formula 14 is subjected to the quantile regression at first, and then the obtained residue term is substituted in formula 13 to carry out the quantile regression to attain the estimates of the parameters.

Table 7. The near-month contract is github iqoption rest api cap channel trading mt4 significant than the far-month contract. The intraday effect is a kind of calendar effect. We assume that the impact cost function is of linear form; and are perpetual and temporary impact factors, respectively. Sign up here as a reviewer to help fast-track new submissions. As investor sentiment fluctuates, it will attract large numbers of speculators to trade frequently affecting the basis. In the second-stage regression, we run a cross-sectional regression of on the corresponding loading estimated in 1where is the estimated investor sentiment and can be regarded as investor sentiment of the capital market in China. So the impact on the basis will also be different. Mistrade Ranges A deviation from the reference price shall be deemed significant if the price of the mistrade transaction deviates from the reference price by more than the higher value between the mistrade range floor or 20 percent of the PCP for the corresponding futures contract, unless another regulation has been made for an individual product. Abstract Taking the CSI stock index futures as the research object, the regression model of dummy variables of five indicators, including high-frequency return rate, volume change rate and near and far month contract price, was established. Harris L and Liquidity. And the statistical arbitrage strategy is constructed based on the manifestation of the intraday effect of the spread.

Then, according to the intraday effect arbitrage strategy, the forward transaction is carried out, and the position is opened at , and the position is closed at Table 1. Hebei Finance Institute, Baoding. Navigation Newsroom Careers Member Section. The calendar effect refers to the market vision related to date and time. Changes of the quantile regression coefficients of the influence factors of the basis. Zou and Sun [ 9 ] obtained a valuable research finding which is worth using to study the relationship between the investor sentiment and the basis. Sample Data The sample data used in the research were the daily trading data of the CSI stock index futures from July 26, , to July 15, Production newsboard Show information. Hunan University, Changsha. Open interest date Last trading day n. It is also superior to quantile regression that can provide more robust regression results and avoid endogeneity caused by causal relationship. Yang, Y.