Research On The Investor Sentiment,Capital Market Volatility And Systemic Financial Risk

Systemic financial risk has received widespread attention since the global financial crisis in 2008.In recent years,global development is facing new challenges and uncertainties.The century-old changes and the century-old epidemic have superimposed,international financial risks have increased.China has paid more attention to preventing and defusing financial risks.The 18 th,19th and 20 th National Congresses have repeatedly emphasized the prevention of financial risks and firmly guarded the bottom line of not occurring systemic risks.With the progress of science and technology,the Internet and other communication channels have facilitated the dissemination of investor sentiment.Any information in the market has rapidly spread among investors.The impact of investor sentiment is increasing.Investor sentiment and capital market are inextricably linked.Now,China’s capital market has become the second capital market in the world,paying attention to the relationship between investor sentiment and capital market,and the impact of the two on systemic financial risks,which is of great significance to maintaining financial stability,preventing financial risks and promoting the healthy development of the capital market.First,this thesis sorts out herd effect,financial vulnerability theory and "debtdeflation" model,combines relevant literature,defines the concepts of investor sentiment,capital market volatility and systemic financial risk.On this basis,use principal component analysis to construct a composite index,measures the monthly investor sentiment composite index and systemic financial risk,analyzes investor sentiment and systemic financial risk according to the measurement results,and describes the operation of the capital market.Then,based on the measurement results,the sample range from January 2005 to September 2022 is selected to construct a TVPVAR model of investor sentiment,capital market volatility and systemic financial risk.The model estimation is carried out by MCMC method,and the equal interval impulse response analysis and impulse response analysis at specific time points are carried out to study the correlation between investor sentiment and capital market volatility at different lead times and specific time points,as well as the impact of investor sentiment and capital market volatility on systemic financial risks.Finally,based on the empirical analysis results,countermeasures and suggestions are proposed.The research results of this thesis show that,on the one hand,investor sentiment has a positive impact on the stock market and a negative impact on the bond market.On the other hand,the rise in the bond market price has a driving effect on investor sentiment,while the impact of stock market fluctuations on investor sentiment has timevarying characteristics.The rise of the Shanghai Composite Index has a positive impact on investor sentiment in the short term and a negative impact in the long term.In addition,the impact of investor sentiment on systemic financial risk is lagging,the healthy development of the stock market has a restraining effect on systemic financial risk,and the rise in the price of the bond market leads to the accumulation of systemic financial risk.The innovation of this thesis is that,in terms of research perspective,it focuses on investor sentiment and capital market operation,analyze the interrelationship between them and the impact on systemic financial risk.In terms of research content,the capital market is divided into stock market and bond market,and TVP-VAR models are established separately to analyze the impact of investor sentiment and capital market volatility on systemic financial risk.