Investor Sentiment and the Basis of CSI 300 Stock Index Futures: An Empirical Study Based on QVAR Model and Quantile Regression
Table 2
Regression results of the quantile vector autoregressive models.
Panel A: Quantile vector autoregressive models
First stage (Stable market)
Second stage (Turbulent market)
Endogenous variable
25%
50%
75%
25%
50%
75%
0.6273
0.7841
0.7482
0.7432
0.7329
0.7380
-0.0557
-0.0622
-0.0804
-0.2804
-0.2056
-0.3802
-0.0566
-0.0319
-0.0068
0.0296
-0.0001
-0.0048
0.7306
0.7130
0.8242
1.1527
0.6769
0.6117
Panel B: Quantile vector autoregressive models
F-value
P value
Investor sentiment is not the Granger cause of the basis
5.4546
0.000
Basis is not the Granger cause of the investor sentiment
1.7076
0.1368
Table 2 reports the result of the quantile vector autoregressive estimation (QVAR). ,, and stand for statistical significance at the 1%, 5%, and 10% level, respectively.
