媒体效应对银行系统性风险的影响

发布时间：2018-03-31 18:12

本文选题：媒体报道　切入点：投资者情绪　出处：《统计与信息论坛》2016年02期

【摘要】：基于中国上市银行2007—2015年的季度面板数据,运用主成分分析法构建新的银行投资者情绪指标,采用SGMM和DGMM等模型估计银行系统性风险的媒体效应。结果发现:以投资者情绪为中介,银行系统性风险有显著的媒体效应,即媒体报道数量越少,投资者情绪越乐观,银行发生系统性风险的可能性越大;媒体报道数量越多,投资者情绪越悲观,发生银行系统性风险的可能性越小。同时,前期的银行系统性风险越大,当期的银行系统性风险也越大;前期的投资者情绪越高涨,当期的投资者情绪也呈现高涨状态。
[Abstract]:Based on the quarterly panel data of China's listed banks from 2007 to 2015, a new index of bank investor sentiment is constructed by principal component analysis (PCA). The media effect of bank systemic risk is estimated by using SGMM and DGMM models. The results show that bank systemic risk has significant media effect with investor sentiment as intermediary, that is, the less media reports, the more optimistic investor sentiment is. The more the number of media reports, the more pessimistic investor sentiment is, the less likely it is to have systemic risk in the bank. At the same time, the higher the systemic risk of the bank in the preceding period, The more systemic risk of the bank in the current period, the higher the investor sentiment in the earlier period, and the higher the investor sentiment in the current period.
【作者单位】：南京师范大学商学院;南京财经大学经济学院;
【基金】：国家社会科学基金青年项目《中国商业银行风险演化、测度和控制机制》(12CJY108) 国家自然科学基金面上项目《基于双边市场的我国互联网产业内贸易及产业政策研究》(71173050) 南京师范大学商学院创新人才培养基金项目《媒体报道投资者情绪和银行系统性风险——基于中国上市银行的实证研究》(15CX_006G)
【分类号】：F832.3;F224

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