Abstract: The ideas of Baker and Wurgler are used toconstruct the investor sentiment index. Under the analysis framework of the interaction between arbitrage, speculative trading and investor sentiment, DY spillover index is utilized,comparative analysis of the trading risks and price dynamics of stock index futures and spot markets before and after the implementation of the restrictive policy in August 2015 is affected by different investor sentiments. It is found that:(1) When the mood is high, the trading risk in the futures market is increased, and the trading risk in the spot market does not change significantly or is reduced; When the mood is low, the trading risk of the futures market is completely opposite before and after the restrictive policy. Before the implementation, the trading risk of the futures market is reduced, after the implementation, the trading risk of the futures market is increased, and the trading risk of the spot market is increased before and after the implementation. (2) The correlation between futures-spot markets and the price discovery ability of the futures market are reduced by the rising emotion, and the correlation between futures-spot markets and the price discovery ability of the futures market are increased by the low emotion. The influence degree of emotion is asymmetric, the decreasing range is greater than the rising range. (3) The influence of investor sentiment on the relationship between futures and spot markets and the ability to discover futures prices has not been changed by the strict trading controls in the stock index futures market.

Key words: behavioral finance; investor sentiment; CSI 300 stock index; spillover index