Research On The Impact Of Investor Sentiment On Financial Credit Based On Quantile Regression Model

The rise of behavioral finance explains investment behavior and financial anomalies,which can provide a good understanding of the operation of financial markets.Among them,investor sentiment reflects investors’ expectations of the market and has an impact on market operation and corporate investment and financing activities.In recent years,China’s credit market has been continuously developing.The scale of credit has gradually increased,and the credit structure has become more perfect.Credit funds are an important source of personal and corporate development.Credit activities play a veryimportant role in the stability and development of the financial market.The fluctuation of investor sentiment not only affects the stability of the securities market,but also affects the development of the credit market.In addition,since the quantile regression model was proposed,it has been widely used in the economic and financial fields because of its good robustness and interpretability.Therefore,this paper uses the quantile regression model to study the impact of investor sentiment on financial credit,which reflects the explanatory power of behavioral finance and the flexible application of quantile regression model,and also provides reference for financial modeling and credit management.After summarizing relevant theoretical achievements,this paper first analyzes the internal impact mechanism of investor sentiment on financial credit from three perspectives of investors,financiers and financial institutions.Then it introduces the concept and nature of quantile regression model in detail,shows the theoretical advantages of quantile regression model,and provides theoretical support for empirical analysis.Secondly,this paper innovatively adds control variables related to credit when selecting investor sentiment variables.From the direct indicators,indirect indicators and control indicators,9 variables are selected to construct investor sentiment indicators,including DCF,TURN,IPON,IPOR,CCI,CPI,PPI,MECI and MS.After fully considering the lag of variables,monthly data from January 2000 to July 2022 are selected to construct a more representative Investor Sentiment Index(ISI)using principal component analysis.Subsequently,this paper conducts descriptive statistical analysis on credit data within the same sample interval from three aspects-scale,term structure,and rationing structure and proposes three hypotheses on the impact of investor sentiment on financial credit.Finally,this paper establishes a quantile regression model of the impact of investor sentiment on the scale,term structure,and rationing structure of financial credit,and compares it with the modeling results of the general linear regression model and the VAR model to verify the effectiveness and application advantages of the model.The research results indicate that:(1)Investor sentiment has a positive impact on credit scale,manifested as high investor sentiment leading to an increase in credit scale;(2)The impact of investor sentiment on credit term structure is manifested as a positive impact on medium and long-term credit and a negative impact on short-term credit;(3)The impact of investor sentiment on credit rationing structure is manifested as a positive impact on personal credit and a negative impact on institutional credit;(4)Compared with the general linear regression model and the VAR model,the quantile regression model has less restrictions on data distribution,makes the results more robust,displays more detailed information,and can dynamically display the process of factor influence.According to the research results,this paper puts forward relevant suggestions for credit management on how to deal with fluctuations in investor sentiment from the perspective of risk and profitability balance,and demonstrates the practicability of the quantile regression model in financial modeling.