| The financial crisis in 2008 had enormous influence on the whole world.The great recession has motivated academics and regulators to better study systemic risk.systemic risk is affected by many factors,but the traditional financial theory assumes that investors are rational and doesn’t consider the effect of investor sentiment on systemic risk.But in recent years,a growing number financial experiments and empirical analysis present evidences that investor sentiment plays a very important role in systemic risk.Investor sentiment includes market sentiment and this paper adds market sentiment into researches of systemic risk.This paper employs Marginal Expected Shortfall(MES)method to measure contribution of listed financial institutions in China to systemic risk and analyze their systemic risk both in crisis period and after crisis period.We establish Marginal Expected Shortfall model with Investor Sentiment and it shows that no matter high mood or low mood would increase systemic risk.In addition,there exists certain connection between systemic risk contribution and the volatility of market sentiment.We use panel regression model to analyze how market sentiment and its volatility influence systemic risk.Empirical results show that during twelve months in 2008,systemic risk of listed financial institutions in China is higher than that in normal times,so MES method is accordant with the practical situation.In addition,MES correlates negatively with pessimistic sentiment and positively both with optimistic sentiment and the volatility of market sentiment.Higher systemic risk is associated with higher mood,lower mood and higher volatility of market sentiment.In 2008,systemic risk correlates more with market sentiment and its volatility than in normal days.Moreover,broker-dealers correlate more with market sentiment and its volatility than banks.High mood,low mood and high volatility of market sentiment might cause systemic financial risk. |
