Global Economic Policy Uncertainty,Investor Sentiment And Systemic Risk Of Capital Market In China

Special events such as political changes,terrorism,military wars and natural disasters,or common problems such as climate change,trade frictions escalating and imbalance in the international crude oil market have brought uncertainties to the global economy.In particular,the pandemic that spread around the world from 2020 is the biggest uncertainty for the global economy.Shaky global economic slow recovery has brought serious challenges for the national macroeconomic regulation and control;fiscal policy,monetary policy and all other macroeconomic policies also has the difference and the uncertainty,and at least in the present or in the short term cannot be predicted,even for a long time is not a clear trend,and developed economies' loose monetary policy spillover effect sustained.At the same time the current global financial markets unprecedentedly integrate,a variety of financial assets has formed a complex and huge financial market network,close contact and complex time-varying interaction relations between the stock market is changeable,risk isolation is becoming more and more difficult,security and stability in the capital markets is facing serious challenges.Negative impact or tail risk events will accelerat the outbreak of systemic risk,even lead to the overall collapse of the entire market and systemic financial crisis.Risk prevention has always been the focus of financial governance and the focus of policy areas in China.It is well known that systemic risk is related to the country's financial management modernization and financial security,the pace of reform has never stopped,our country has many times in the important meetings or reports made clear that holding the bottom line of clear objectives and basic requirement of systemic risk.In recent years,preventing and resolving systemic risk has been a hot issue in academic research,and it is also a great demand of the country,which has theoretical value and practical significance.China's financial market is gradually moving from independent opening to high-level opening,and the capital market is no longer immune from the situation.The severe internal and external environment makes the "uncertainty" gradually high,and the prevention of the impact of uncertainty is also a kind of prevention of risks.China's stock market is accelerating the integration with the global financial market.As an important transmission channel of uncertainty and extreme external risks,the stock market may suffer from all-round,multi-angle and continuous external shocks,so it is necessary to recalibrate risk factors and even reset risk concepts.In addition,China is moving towards the logic of capital market reform from the perspective of investors.Different from developed countries,the proportion of natural person investors in China's investor group is relatively high,and their behavior characteristics may have an important impact on the stability of the stock market.Institutional investors are not necessarily risk stabilizers.Emotional factors in the Investor behavior may be one of the cause of the capital market systemic risk upgrading,and important link that cannot be ignored in the process of spreading risks,and economic policy uncertainty is likely to make investors heterogeneous expectations or belief intensified,or Shared between the superimposed effect of the risk,so the investor sentiment is also important risk factors of my academic dissertation.Therefore,this paper takes global economic policy uncertainty,investor sentiment and systemic risk in China's capital market as the research objects,and takes the process of accumulation,release,outbreak,association,contagion and spillover of systemic risk as the core characteristics,mainly according to the following levels:There have been abundant studies on economic policy uncertainty,investor sentiment and systemic risk in financial markets.By reviewing and sorting out relevant literature on economic policy uncertainty,investor sentiment and systemic risk in financial market,it is found that there are only a few researches covering the influence mechanism and evolution mechanism of global economic policy uncertainty and investor sentiment on systemic risk in Chinese capital market so far.With the advent of the post-epidemic era,the causes of systemic risk will become more complex.Uncertainty of global economic policies may be both the source of risks and risks themselves,which is also the background and impact variable selected in this paper.Investor sentiment itself is also an uncertain factor in the financial market.It is of higher theoretical,academic and practical significance to research the influence of the two factors on systemic risk based on and rooted in China's local characteristic capital market.The theoretical part(Chapter 3)elaborates the uncertainty of global economic policy,investor sentiment and systemic risk of capital market and their relationship:The theoretical basis includes efficient market hypothesis in traditional finance,investor sentiment in behavioral finance,adaptive market hypothesis,mean reversion theory and market efficient cycle theory.Around the systemic risk of systemic,relevance and negative externality from the market point,share price mean reversion,invalid cycle regression on effective and investor sentiment analysis based on the thought of zone system transformation the systemic risk generated by the internal logic and the evolution process,filtering method is used to try to look for mean reversion in stock market of our country,the long-term trend and short-term It also verifies the uncertainty of the cycle of systemic risk accumulation and release,explains the institutional cause of risk from the perspective of China's capital market itself,and the impact of exogenous,major,extreme and sudden uncertain events as a fuse is easy to shorten the process of risk release and accelerate the outbreak of risk.The theoretical part also lays the foundation for the empirical research of the following paper: Analyzed with investor sentiment as the center,with price bubble accumulation and release for the formation of the capital market systemic risk in the process of logic and evolution path,explained the sentiment characteristic and the relationship between stock price bubbles,the perspective of system transformation based on area reveals the risk itself is a continuous variable,both latent,accumulation stage and into the process of reality,Finally or reach the critical value in the form of bubble burst suddenly concentrated outbreak,spread,infection,or in the form of soft landing of asset prices slowly released and resolved,so the speed and time of risk release is very important,need to timely deal with the risk state transition caused by investor sentiment;Analysis of the global economic policy uncertainty and currency more under the background of the global financial market integration is likely to cause the global financial market volatility and the imported risk on Chinese stock market and uncertain global economic policy and global investor sentiment on the impact of China's capital market systemic risk is,will be in the process of considering the schematics of the empirical comparison,The theoretical part also analyzes the uncertainty of US economic policy which has an important influence on the global stock market.The selection of subsequent econometric models corresponds to the process of empirical research and the theoretical basis of this chapter.The empirical arrangements in chapters 4,5 and 6 are based on the ideas of zone transition,dynamic correlation,volatility spillover and time-varying impact respectively.According to the investor sentiment nonlinear effect mechanism and regime transformation effect on systemic risk of the capital market(national level),in the context of the global economic policy uncertainty the global financial market volatility imported risk to capital market in China(international level),and then to the uncertainty of global economic policy and global investor sentiment's dynamic double charged Strike on China's capital market systemic risk(international level)to study the train of thought,respectively from the stock price bubble risk(chapter 4),the dynamic related risk and risk of price fluctuating(chapter 5),the time-varying liquidity risk(chapter 6)four dimensions explain the accumulation and release,overflow,or infection,systemic and correlation characteristics of the capital market systemic risk.Specifically,first of all,in chapter 4 Using SADF and GSADF model test the index whether there is bubble in our country,by comparing the statistical test results using GSADF model after the share price of every bubble identify sample interval,inspection result has better fitting effect,according to the capital market in China,through analysis of the typical reality From the Angle of time sequence data generation process,and share price bubble generation,expansion and the process of rupture on behalf of systemic risk accumulation and release,implementation,and the outbreak of the process,suggesting that the risk itself is a continuous variable,through the vector error correction model is constructed to extract the share price bubble sequence of the capital market systemic risk index,Filtering method is applied to test whether the systemic risk has the accumulation and release cycle,the result proved that systemic risk accumulation and release cycle,but the feature of uncertainty of cycle length,principal component analysis method is used to build the Chinese investor sentiment index,decomposition out rational emotional and irrational emotions at the same time,The MS(M)-VAR(P)model is constructed to empirically study the internal driving mechanism,nonlinear influencing mechanism and zone conversion effect of investor sentiment on the systemic risk of China's capital market,and the empirical results are analyzed according to the zone structure attribute,typical zone structure breakpoint and impulse response function.The research findings can be summarized as follows:(1)The bubbles formed by the continuous price rise caused by investor sentiment are self-fulfilling and self-inflating,and investor sentiment is one of the factors that magnify market risks;(2)The degree of stock price bubble driving investor sentiment is greater than that of investor sentiment driving stock price bubble,and the influence and driving degree of stock price bubble change on irrational sentiment is greater than that of rational sentiment;(3)The influence and driving degree of irrational emotion on stock price bubble is greater than that of rational emotion;(4)Irrational emotion is an important factor influencing investors' trading behavior when facing the change of bubbles,but irrational emotion has limited promoting and catalyzing effect on the inflation of stock price bubbles;(5)The linkage effect of investor sentiment and stock price bubble does not necessarily lead to systemic risk.The "high" zone system sends out risk warning signals.As the causes of systemic risk become diversified and complicated,a single investor sentiment factor does not constitute a huge impact.This chapter verifies the characteristics of systemic risk accumulation,release and outbreak,and provides policy ideas for effective risk mitigation,expectation management and financial stability communication.Secondly,chapter 5 constructs an empirical research framework of imported financial market risk based on five dimensions of dynamic correlation,marginal risk spillover,aggregate risk spillover,risk contribution and systemically important financial market,and uses TGARCH model to monitor the volatility of global financial market.DCC-GARCH model is used to measure the dynamic correlation between global financial market and Chinese stock market,and the marginal and aggregate spillover effects of imported risks in global financial market and their dynamic changes are captured by the ?Co Va R model at different time periods and points.It is found that the sources of risk input from the global financial market are characterized by multiplicity,mutability and risk-taking,and the outbreak and transmission of risks are characterized by time-varying,interactive and systematic;the cross-market linkage at key risk points and extreme shocks increases significantly,and the risk spillover effect increases significantly.In time-varying correlation size,direction and intensity of the risk overflow,systemically important financial market,the five types of financial market order are not the same,and that explain and verify non-linear and dynamic process of the external input type transmission and risk impact,to some extent,this revealed and prompted the weak stability of the capital market in our country.This chapter verifies the infectious or spillover characteristics of systemic risk.Again,chapter 6 in the theory part(chapter 3)analysis of the global economic policy uncertainty and the economic policy uncertainty time development situation and trend of fluctuation characteristics,based on the reflections,global economic policy uncertainty and global investor sentiment on China's capital market systemic risk may impact mechanism and the influence of the path,Further through the SV-TVP-VAR model based on time distribution,the difference of phase,the special triple point identification perspective empirical test of the global economic policy uncertainty,the U.S.economy uncertainty and global investor sentiment on China's capital market systemic risk nonlinear impact effect,four typical point and different impact on ahead of time,Research results show that the three impact to China's capital market systemic risk has significantly time-varying characteristics and obvious random fluctuation characteristics of different periods of different impact effect,mainly shows the characteristics of negative impact,and the impact effect has not weakened in recent years,uncertainty and the external events has strong affinity;Global economic policy uncertainty and investor sentiment both promote the rise of systemic risk in China's capital market in the short term,and the medium-term impact is positive and weak,but it does not have long-term durability.Due to better policy communication,the impact of us economic policy uncertainty and global investor sentiment converged to zero in the long run,but the impact of global economic policy uncertainty did not converge.On the one hand,this chapter confirms the global economic policy uncertainty is one of the important factors affecting China's capital market systemic risk,relatively short and the influence of the global investor sentiment weak,on the other hand from the Angle of uncertainty based on guard against external shocks to verify the effectiveness of the China's capital market systemic risk "systematic" and correlation characteristics.Finally,according to the theoretical and empirical conclusions,corresponding policy suggestions are put forward.The government,the central bank and other policy-making and regulatory departments,as well as investors and other market subjects,all play an important role in the construction of high-quality capital market:From the perspective of investors and other market subjects,improve the central bank's financial stability communication,forward guidance and other expectations management mechanism;In order to guard against imported risks,China also needs to strengthen macro-prudential supervision of capital market and cross-border capital flow.From the Angle of organic combination of efficient government and efficient market,improve the effectiveness of market,shorten the period of market return to effective,establish strict standard lender of last resort mechanism;From the perspective of capital market as a whole,China still needs to deepen the construction,transformation and reform of capital market basic system,and improve the infrastructure of capital market.The ultimate goal is to reduce the degree of risk accumulation,slow down the speed of risk release,prolong the time of risk release,effectively defuse systemic risks,prevent their realization in advance,and make asset prices "soft landing".