Abstract：Taking the implementation of trading restrictions in stock index futures market as a natural experiment, this paper aims to investigate how investor sentiment affects the functions of CSI300 index futures in different market conditions, including risk management and price discovery ability. The empirical results show that: In the market without trading restrictions, investor sentiment has an adverse impact on the risk management and short-term price discovery ability of CSI300 stock index futures. In the market with trading restrictions, the adverse impact on the price discovery ability of futures market is further intensified, while the impact of investor sentiment on the risk management is reversed. A possible explanation of this phenomenon is that after the implementation of trading restrictions, the extreme lack of liquidity and market depth in futures market leads to the enhancement of adverse selection effect. The findings may reveal the reasons for the differences impact of investor sentiment on the financial market more effectively, and the results remain robust in a variety of tests.
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2020, Vol. 40 
