Research On The Construction Of International Investor Sentiment Index And Information Spillover Effect

In recent years,with the obvious acceleration of economic integration,the links between financial markets in various countries have gradually strengthened.At present,an important trend of world economic development is economic globalization,which also promotes the deepening of economic dependence among countries,and at the same time,causes frequent linkage of financial markets among countries.After the outbreak of the subprime mortgage crisis in the United States,it quickly spread to other countries around the world,bringing heavy losses to global stock markets,and the transmission mechanism of the crisis is also the focus of scholars from all over the world.On the basis of studying investors’ psychology and emotions,finance found that investors’ emotional responses to market changes and investment behaviors in different countries deepened the volatility of financial markets,and investors’ emotions in different countries’ stock markets influenced each other more and more.Therefore,it is of great significance for a country to correctly understand the transnational contagion effect of emotions to prevent the adverse effects of other countries’ stock markets when a major crisis occurs.In order to quantify investors’ emotions in various countries,based on the previous research,this paper selects five emotional proxy indicators and their lagging items,uses the principal component analysis method to construct the monthly investor sentiment index in 10 countries including China,the United States and Japan,and then selects three macro indicators to get the final investor sentiment index after eliminating the influence of macroeconomic factors.At the same time,in order to study the contagion mechanism of emotions among countries,this paper uses Diebold and Yilmaz information spillover model to build the total spillover index and directional spillover index of investors’ emotions on the basis of generalized variance decomposition,studies the direction and level of investors’ emotional information spillover from January 2003 to November 2020,and analyzes the static and dynamic characteristics of spillover and the network structure characteristics of contagion among sample countries.The results show that investors’ emotions have obvious cross-border contagion effect,and the intensity of emotional information spillover has obvious time-varying characteristics,and the total emotional spillover index has obviously increased under the impact of extreme events,such as subprime mortgage crisis,European debt crisis and COVID-19 epidemic.On the whole,investors’ emotional spillover and spillover levels in developed countries such as Britain,the United States and Germany are higher than those in developing countries.Distinguishing the spillover level from the spillover level,the directional spillover level of each country fluctuates more frequently than the spillover level,and the fluctuation characteristics of both are similar to that of the total spillover index,that is,the spillover effect is significantly enhanced under the impact of extreme events;From the dynamic level characteristics of emotional spillovers in various countries,except for the obvious net spillovers of investors’ emotional information in 2007,2015 and 2019,China is in a state of accepting the spillover effects of emotional information from other countries at other times,which shows that there are certain restrictions on the external influence and openness of China’s financial market.Based on the above analysis,this paper,starting with investor sentiment,explores the characteristics of emotional information spillover of international investors,with a view to providing reference for financial cooperation and joint supervision of financial markets in various countries,formulating corresponding strategies in time when the stock markets of various countries are hit by major risks,and playing a positive role in the opening and smooth.