Investor Sentiment, Mispricing, and Limited Arbitrage in the Futures Market
研究了投资者情绪如何在不同市场条件下影响KOSPI 200期货的错误定价，发现高波动性和卖空限制会加剧情绪与错误定价的关系，而减少散户交易的监管改革则能提升市场效率。
ABSTRACT We examine how investor sentiment influences KOSPI 200 futures mispricing under varying market conditions, including volatility, short‐sale restrictions, and regulatory changes. The sentiment–mispricing relationship intensifies during high volatility, as arbitrageurs face greater constraints in correcting price distortions, leading to increased mispricing. Short‐sale restrictions further amplify mispricing and the impact of pessimistic sentiment. Regulatory reforms reducing domestic trading activity also shape sentiment–mispricing dynamics, suggesting that lower participation by irrational investors enhances market efficiency. Our findings underscore the importance of market‐specific factors—arbitrage constraints and regulations—in understanding sentiment‐driven mispricing.