| 讲座简介： | 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. |
