The term structure of sentiment effect in stock index futures market

•Sentiment aggregate effect is monotonous decreasing function of time term.•Sentiment spillover effect is also monotonous decreasing function of time term.•We find sentiment factors have more effect in short-term investor.•It can interpret the reason of the short-term deviation in futures pricing.

In this paper, we construct stock index futures sentiment and stock index sentiment at daily, weekly, and monthly frequencies. We empirically study the contribution to stock index futures returns of the related stock index futures sentiment and stock index sentiment. The empirical results show the term structure character of stock index futures sentiment and stock index sentiment, i.e., sentiment aggregate effect and sentiment spillover effect are both monotonous decreasing function of the time term and sentiment aggregate effect is more significant than sentiment spillover effect to the futures returns. Short maturity contract is more significantly affected by stock index futures sentiment and stock index sentiment than long maturity contract. Our results are helpful for understanding the financial phenomena that irrational factors have more effect in short-term decision-making and broaden the sentiment research perspective.