投资者情绪、市场流动性与金融市场稳定——基于时变分析视角

Investor Sentiment,Market Liquidity,and Financial Market Stability:A Time-Varying Analysis

利用主成分分析法构建了投资者情绪和金融市场稳定的新指标,基于2006年10月至2015年11月的月度数据,应用TVP-SV-SVAR模型研究投资者情绪和市场流动性对金融市场稳定的影响机制及其动态关系。结果表明,投资者情绪和市场流动性均是金融市场稳定的单向Granger因果关系,投资者情绪与市场流动性之间存在双向Granger因果关系;投资者情绪对金融市场稳定的冲击效应逐年减弱且存在时滞效应,金融市场对市场流动性的依赖度日益增强,投资者情绪与市场流动性的互动影响具有非对称性;另外,投资者情绪和市场流动性对金融市场稳定的时变影响在危机期间和平稳时期存在较大差异。

This study uses a principal component analysis to construct new indices for inves- tor sentiment and financial market stability, monthly data from the financial market in China from October 2006 to November 2015, and a model combining time - varying parameters, stochastic volatility, and structural vector autoregression （ TVP - SV - SVAR model） to examine how investor sentiment and market liquidity affect financial market stability, as well as their dynamic interrela- tionships. The Granger causality test results show that both investor sentiment and market liquidity have a one-way causal effect on financial market stability. However, the results show two-way causality between investor sentiment and market liquidity. Furthermore, the impact of investor sentiment on financial market stability tends to weaken annually with a certain lag, while financial market dependence on market liquidity tends to increase. The interactive effect between investor sentiment and market liquidity is asymmetric. In addition ,the time-varying effect of investor sen- timent and market liquidity on financial market stability during stable periods appears to be sig- nificantly different than during a crisis.