Research On The Relationship Between Investor Emotion Fluctuation And Systematic Risk In Securities Market

With the rapid development of China's economy,China's securities market is constantly improving and growing.At the same time,risk management has been paid more and more attention.The Nineteenth National Congress has pointed out a new direction of China's financial development,which calls for unswerving adherence to the bottom line of non-occurrence of systemic financial risks.Systematic risk,as an indivisible risk,will affect the whole economic environment once it occurs.Therefore,the analysis and measurement of systemic risk in securities market is extremely important.With the rise of behavioral finance,investor sentiment and financial markets are increasingly closely linked.In November 2014,ECB officials mentioned the impact of investor sentiment on financial market stability in their routine financial stability review report.He believed that investor complacency,especially when the pursuit of higher returns than the low returns of financial assets,could easily lead to financial market instability and create the possibility of systemic risk.Therefore,it is of practical significance to study the relationship between investor sentiment and systemic risk in securities market.This paper collects the relevant monthly data of 126 months from January 2008 to June 2018 and classifies them,and constructs 14 indicators of systemic risk in the securities market and 6 direct indicators of investor sentiment,including psychological indicators(PSY),volume ratio indicator(VR),activity index(AR),trading intention indicator(BR),consumer confidence index(CCI)and investor confidence index(ICI).Through principal component analysis,a comprehensive index of systemic market risk and investor sentiment is constructed,and investor sentiment after difference is taken as an index of investor sentiment fluctuation.The Granger causality test,VAR model and impulse response function are analyzed to study the relationship and dynamic relationship between them.Empirical research finds that the systemic risk of the securities market increased significantly between 2008 and 2009 and between 2015 and 2017 due to the impact of economic crisis and stock market disasters.There is an inverse relationship between systemic risk and investor sentiment fluctuation in securities market.Investor sentiment fluctuation is the Granger cause of systemic risk,but systemic risk is not the Granger cause of investor sentiment fluctuation.Investor sentiment volatility has a lagging effect on systemic risk.When investor emotional volatility and systemic risk are given a shock respectively,the response and persistence of both are different after the shock.Compared with the initial response of systemic risk,investor sentiment has a larger response and a shorter time to be affected by the shock.Specifically,when a positive impact is given to the systemic risk of the market,the investor sentiment will have a positive fluctuation in the current period and recover soon after the first period,while the systemic risk of the market will need to continue for a period of time before the impact of the impact will disappear;on the contrary,when an impact is given to the investor sentiment,the systemic risk of the market will not respond in the current period,and the systemic risk will increase slightly in the opposite direction and gradually recover after a period of time.