摘要
2007-2009年的金融危机之后,金融机构的系统性风险受到广泛关注,本文利用CoVaR方法度量了我国上市金融机构的系统性风险。考虑到投资者的非理性行为可能会对上市金融机构系统性风险产生影响,本文考察了投资者情绪对系统性风险的影响。研究结果表明,投资者情绪对未来的系统性风险有显著的正向影响,这意味着较高的投资者情绪往往伴随着较高的系统性风险,这种正向影响在熊市中表现更为明显,引入投资者情绪这一指标也有助于提高模型对金融机构系统性风险的预测能力。
After the financial crisis in 2007-2009, the systemic risk is widely concerned. In this paper, the CoVaR method is used to measure the systemic risk of listed financial institutions in China, and the factors influencing systemic risk are studied.In particular, we examine the relationship between investor sentiment and systemic risk. The findings suggest that investor sentiment has a significant positive impact on future systemic risk, which means that higher investor sentiment is often accompanied by higher systemic risk. The impact is more likely to be seen in the bear market. The introduction of investor sentiment also helps to improve the model’s ability to predict systemic risk.
作者
佟孟华
于建玲
朱芳燕
Tong Menghua;Yu Jianling;Zhu Fangyan
出处
《投资研究》
CSSCI
北大核心
2018年第11期4-15,共12页
Review of Investment Studies
基金
辽宁省社科规划基金项目“东北地区产业结构转型升级与变迁的影响机制及对策研究”(项目编号:L17BJY045)的资助.感谢匿名审稿人中肯的审稿意见，文责作者自负。
