Investor Sentiment and the Basis of CSI 300 Stock Index Futures: An Empirical Study Based on QVAR Model and Quantile Regression
Table 4
Result of the regression estimation based on the control function.
First stage (Stable market)
Second stage (Turbulent market)
Explanatory variable
25%
50%
75%
25%
50%
75%
-0.16557
-0.11369
-0.06448
-0.16217
-0.10287
-0.13471
(-2.27769)
(-1.27907)
(-2.69299)
(-2.27290)
(-2.45963)
(-2.15698)
r
-0.01112
-0.00385
-0.00193
0.00340
0.06320
0.12280
(-0.83031)
(-0.36070)
(-0.23227)
(0.02250)
(0.92401)
(1.53992)
Impact-F
-0.15937
-0.42612
-0.51004
-0.00584
0.08853
0.04291
(-0.15427)
(-0.49928)
(-0.88732)
(-0.09762)
(1.71316)
(0.48510)
Impact-S
-0.02997
-0.01418
-0.00387
0.01871
0.01134
0.00223
(-1.82102)
(-0.73461)
(-0.23216)
(0.26946)
(0.24403)
(0.03874)
Impact-ETF
0.09271
0.07069
0.01602
0.01965
-0.05050
-0.01540
(2.87755)
(1.86775)
(0.63691)
(0.45562)
(-1.16406)
(-0.19722)
frsigma
0.02915
0.02646
0.06791
0.02114
0.07014
0.15580
(0.55109)
(0.63738)
(1.52442)
(0.26064)
(1.19412)
(1.78095)
rsigma
-0.05966
-0.03489
-0.06694
0.01102
-0.08675
-0.09587
(-1.44361)
(-0.96732)
(-1.52094)
(0.13923)
(-1.16397)
(-0.92189)
reversion
0.00117
0.00261
0.01200
-0.00343
0.00162
0.00295
(0.09298)
(0.18037)
(0.80610)
(-1.04246)
(0.68540)
(0.35990)
structure
0.17619
0.09032
-0.00286
-0.13268
-0.19102
-0.10445
(1.81114)
(1.80714)
(-0.08643)
(-1.77757)
(-2.19664)
(-1.87666)
Structure
0.07950
0.10961
0.05691
0.07628
0.09819
0.09208
(2.42821)
(3.09761)
(1.81072)
(1.11018)
(1.95420)
(1.91860)
Intercept
-0.17200
-0.29884
-0.26534
0.30836
0.66830
0.46606
(-0.36064)
(-0.78357)
(-1.01895)
(3.18539)
(4.62874)
(4.87156)
Table 4 reports the result of the regression estimation based on the control function. The values in parentheses are t statistics value. ,, and stand for statistical significance at the 1%, 5%, and 10% level, respectively.
