Research On The Measurement Of Systemic Risk In The Financial Industry Based On Investor Sentimen

Systemic financial risks endanger the stability of the entire financial system and seriously endanger the real economy,so they are highly valued by the regulatory authorities of various countries,and the focus has shifted from the micro-prudential supervision perspective of individual financial institutions to the macro-prudential perspective of the whole system.Classical finance cannot explain the financial anomalies in the financial market.Behavioral finance discusses the financial anomalies from the perspective of investor psychology.Investor sentiment,as the most important research content of behavioral finance,has become a research hotspot in recent years.The development of the Internet has increased the channels for investors to obtain information and speech.At the same time,it also enables investors’ emotions to spread and expand rapidly through the Internet,increasing the uncertainty of the financial market.Therefore,It is necessary to consider the impact of investor sentiment on the systemic risk of the financial industry.In view of this,this paper uses Python to crawl the 4232242 comment data of 77 listed financial institutions on the Oriental Wealth stock bar,constructs the investor sentiment index through text mining of comments,and uses Conditional on Value at Risk to measure the systemic risk of financial institutions.Considering the non-linear contagion between financial institutions,when estimating Conditional on Value at Risk,the generalized additive model is selected.The generalized additive model relaxes the linear hypothesis and can take into account the impact of multiple financial institutions’ returns on a certain financial institution.It can capture the nonlinear contagion effect among financial institutions and embed the constructed investor sentiment index into the model to analyze the relationship between investor sentiment and systemic risk in the financial industry.The empirical results show that investor sentiment affects the systemic risk of financial institutions.When investor sentiment is included in the model,the explanatory variables increase the interpretation of response indicators,and when extreme events occur in the stock market,the level of systematic risk based on investor sentiment is high.Therefore,it is reasonable to include investor sentiment in the study of systemic risk.Whether in bull market or bear market,the systemic risk level of real estate and diversified finance is relatively high,and in different departments,the financial institutions with relatively high systemic risk level include large-scale institutions and institutions with extensive business scope and high business association with other financial institutions.Regulators should bring investor sentiment into the scope of supervision.At the same time,in addition to focusing on monitoring the risk level of large-scale financial institutions,they should also pay attention to financial institutions that prefer mixed operation.