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A Dynamic Analysis on Investor Sentiment and Bank Systemic Risk: Evidence from China

主讲人: 方意
主讲人简介:

方意,中央财经大学金融学院教授,经济学博士,博士生导师。在国内外重要期刊《经济研究》(3篇)、《管理世界》(3篇)、《世界经济》(6篇)、《经济学(季刊)》(5篇)、《管理科学学报》(2篇)、《金融研究》(7篇)、《财贸经济》(4篇)、《国际金融研究》(7篇)、Energy Economics、International Review of Economics and Finance、Economic Modelling、Emerging Markets Finance and Trade、Journal of Forecasting等重要期刊录用或发表70余篇论文。论文9次获得《新华文摘》、《中国社会科学文摘》、人大复印资料转载。10篇学术论文引用次数超过100次。近年来先后主持过国家自然科学基金项目(面上项目2项、青年项目1项,结项绩效评价为“特优”)、社科重大子课题、中国博士后基金项目等,参与科技部重点研发计划、国家社科重大、教育部重大攻关在内等多项科研项目。

主持人: 黄晓然
简介:

In this paper, we construct a unique bank-level investor sentiment index in China to first consider the relationship between bank systemic risk and its sentiment of investors. We find that bank systemic risk will increase in the short run with negative investor sentiment. Both individual risk and interconnectedness risk, which are two components of systemic risk indicator, are asymmetrically correlated with negative sentiment inducing a stronger short-run effect than positive sentiment. We also test these relationships in long-run and obtain a reversal effect. The change on perception of positive investor sentiment will change the reality of bank balance sheet activities, e.g., expansion in more risky assets or engaging in more homogeneous business, which in hence reduces the stability of banking sector.

时间: 2022-05-13(Friday)16:40-18:10
地点: 经济楼N302
讲座语言: 中文
期数:
主办单位: 厦门大学经济学院、王亚南经济研究院
承办单位: 厦门大学经济学院金融系
类型:
系列讲座
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