The Term Structure of Investor Behavior Effect in Stock Index Futures Market

In this paper, we construct spot market behavior index and futures market behavior index at daily, weekly, and monthly frequencies. We empirically study the contribution to stock index returns and stock index futures returns of the related spot market behavior index and futures market behavior index. By compare the annualized coefficient of daily, weekly, and monthly frequencies, the empirical results show that the term structure character of spot market behavior index and futures market behavior index, i.e., behavior aggregate effect and behavior spillover effect are both monotonous decreasing function of the time term and behavior aggregate effect is more significant than behavior spillover effect to the futures returns at daily frequencies. Our results could help to understand how irrational behavior affects investment decision in Chinese derivatives market.