投资者情绪、多市场联动与系统性风险

Exchanges between different financial markets have become more frequent than ever. The comovement between markets is getting stronger, and the possibility of systemic risks is getting bigger. Academics and regulators are increasingly concerned about multi-market comovement and systemic risk. However, few scholars studied the multi-market comovement and systemic risk from the unique perspective of investor sentiment..This project intends to link investor sentiment, multi-market comovement, and systemic risk. Firstly, we measure the investor sentiments of different markets and explore impacts of the investor sentiment on those markets. Secondly, we identify the contagion of investor sentiment among multi-market and characterize the contagion mechanism of investor sentiment. Thirdly, we analyze the dynamic relationship between investor sentiment and multi-market and investigate the influence of investor sentiment on multi-market comovement in extreme market conditions. Lastly, we construct an index of systematic risk measurement from the perspective of multi-market comovement and use multiple network models to integrate investor sentiment, multi-market comovement, and systemic risk into a unified research framework to explore the interaction among the three..This project not only enriches application field of the behavioral finance theory, but also plays an important role in promoting the coordinated development of multi-markets. More importantly, this project is of great significance to improve the ability to withstand economic and financial risks and prevents systemic financial crises.

随着不同金融市场联系日益频繁，市场间联动性愈发增强，引发系统性风险的可能逐渐增加，学界和监管部门对多市场联动和系统性风险的关注与日俱增。在以往的研究中，鲜有学者从投资者情绪这一独特视角出发，对市场间联动性和系统性风险展开研究。.本项目将投资者情绪、多市场联动和系统性风险有机结合。首先，度量不同市场投资者情绪，探究相应情绪对市场的影响；其次，识别投资者情绪在不同市场间的传染，刻画投资者情绪的传染机制；继而，分析投资者情绪与多市场联动的动态关系，考察极端市场条件下投资者情绪对市场联动性的影响；最后，构建多市场联动视角下系统性风险测度指标，运用复杂网络模型将投资者情绪、多市场联动和系统性风险纳入统一的研究框架，探索三者的相互关系。.本项目研究不仅可以进一步丰富行为金融理论的应用领域，同时对推动多市场有效联动发展、提高我国抵御经济金融风险能力和防范系统性金融危机发生具有重要意义。

随着全球一体化、金融市场自由化进程不断推进，市场间的相关性激增，跨市场风险传染愈发简单，最终导致系统性风险日益增加。但是在过去的研究当中，关于投资者情绪与风险传染的研究仅停留在股票市场，更没有研究聚焦于投资者情绪在多市场联动下系统性风险中起到的作用，这严重限制了相关研究的开展。鉴于此，本项目将投资者情绪、多市场联动与系统性风险有机结合在一起。具体研究内容和重要成果包括：（1）投资者情绪度量及其影响研究：提出SO-LNPMI新算法，基于网络文本信息构建改进的投资者情绪指标，探究在高低情绪期间，情绪对市场的影响是否存在非对称效应。（2）不同市场间投资者情绪传染研究：项目通过恐慌指数从不同视角分析国际石油市场投资者情绪对中国股票市场投资者情绪的冲击，并构建了股东交叉持股网络，揭示情绪传染中的信息扩散机制。（3）投资者情绪对多市场联动的影响研究：系统地研究了股票市场、大宗商品市场、国际石油市场等多个市场间的动态联动性，探索了投资者情绪、原油市场与商品期货市场的联动效应。（4）投资者情绪、市场联动与系统性风险关系：构建金融机构间的多层直接网络关联与间接网络关联，拓展系统性风险扩散渠道，利用不同国家间的价格联动网络分析情绪传染导致的市场间价格联动机制。.本项目在该基金的支持下，在国内外重要期刊上发表论文46篇（不含会议论文）：英文期刊上发表了论文40篇，39篇被SCI/SSCI检索；在中文期刊上发表论文6篇，其中在国家自然科学基金委管理科学部认定的A类刊物上发表论文4篇。