| In view of the close relationship between international financial markets,the spread effects of various markets are becoming more and more obvious.Therefore,we should consider the relationship between international oil price volatility and investor sentiment.In this paper,the principal component analysis method is used to construct the investor's emotional factor and the TVP-FAVAR model of time-varying parameterbased augmented-type vector regression model is further applied to analyze the contagion effect of the fluctuation of international crude oil prices on the sentiment of Chinese stock market investors.First,I select 53 variables and use the monthly data from January 2005 to May 2017 in order to conduct principal component analysis and obtain investor sentiment factors.Then I construct an investor sentiment index based on investor sentiment factors obtained from principal component analysis.And then through the cointegration test,I consider the impact of international oil price fluctuations on the investor sentiment index.Secondly,I use the TVP-FAVAR model to combine the 53 variables with the international three benchmark oils to analyze the different impacts of the three major benchmark oils on the sentiment of Chinese stock investors and I select April 2007,November 2012 and April 2015 to analyze at the time of of this year and consider the characteristics of time-varying.Finally,we conclude that the fluctuation of international oil prices has a long-term negative impact on investor sentiment,but in the short term,international oil price volatility has just begun to have a positive impact on investor sentiment,but over time,negative influences dominate.Among them,the Brent benchmark oil had the largest impact on investor sentiment in the previous period,while WTI and Dudai showed lagging influence.The impact of international oil price fluctuations on investor sentiment is different in the rising stage,stable stage,and continuous decline stage.In the upcoming phase,investors have just begun to take a good look at the Chinese market,and continuous rising prices will bring negative sentiment to investors until the impact of international oil price fluctuations on investor sentiment getting smaller and smaller.In the stable stage,the investor's emotional performance is more complex and the investor's mood also alternates from positive reaction to negative reaction.In the period of continued decline,the early stage performance is similar to that of the upcoming time and the latter period is different.Specifically,investors are just beginning to favor the market and because of the decline in international oil prices,many costs have fallen,which is an indicator for investors.In a very profitable period,we are still optimistic about the Chinese stock market and thus present positive emotions.In response to the impact of international oil price fluctuations on investor sentiment in the Chinese stock market,recommendations were made.First,due to the spreading effect of the international market,it is recommended that government policy makers should adopt countermeasures to stabilize stock market sentiment as soon as international crude oil prices rise and fall.Second,when investing in international oilrelated stocks,it is necessary to seize the opportunity,such as the stage when international oil prices will rise.At this time,negative emotions will make the stock down,and investing in the corresponding stocks is equivalent to grabbing the lowest point.In the short-term,investor should wait for the stock to rise,sell it as soon as possible to gain profits.Finally,when investing in the oil sector of China's stock market,it is recommended to pay close attention to the changes in the three major benchmark oils and make accurate investment operations in favorable times. |
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