媒体报道、投资者情绪与银行风险承担——基于中国上市银行的实证研究

Media Reports, Investor Sentiment and Bank Exposure Undertaken: An Empirical Study based on China's Listed Banks

利用中国14家上市银行2007—2013年的季度面板数据,运用广义距方法(GMM)研究媒体报道对银行风险承担的影响以及投资者情绪在这一影响机制中所发挥的作用。结果发现,媒体报道对银行风险承担有正向影响,而对投资者情绪有负向影响,投资者情绪对银行风险承担呈现显著负相关。进一步研究发现,媒体报道对银行风险承担的影响至少有一部分是以投资者情绪为中介的。结论表明政府及银行相关部门有必要对媒体报道加强监督与管理,并且采取措施合理监控投资者情绪,以有效降低银行风险。

Using lg listed banks＇ quarterly panel data during the periods of 2007-2013 and GMM dy- namic panel estimation method, this paper analyses the effects of media report influencing on bank risk-taking and the role of investor sentiment in the influencing mechanism. The results show that： me- dia report has a positive effect on bank risk-taking, but it has a negative effect on investor sentiment. Meanwhile, investor sentiment also has a negative effect on bank risk-taking. With a further study, the effects of media report influencing on bank risk-taking at least are partly through investor sentiment as intermediary. The conclusion of this paper shows that it is necessary to strengthen the supervision and management on media report, government and related department of banks should take measures to su- pervise investor sentiment properly, in order to reduce banks＇ risk effectively.