关键词: 投资者情绪传染, 多时间尺度, 变分模态分解, 行业

Abstract:

The contagion of investor sentiment among industries will accelerate the spread of financial risks in the stock market. Therefore, with the rapid spread of information today, it is of great significance to study the contagion effects of investor sentiment among industries. This paper first extracts the low-frequency part (long-term trend) and high-frequency part (short-term fluctuations) of industry investor sentiment based on the VMD-WA model, and then establishes a VAR model for the impulse response analysis of the low-frequency part of the inter-industry sentiment to test the industry investor sentiment, the mean spillover effect of the industry. The DCC-GARCH model is established for the high-frequency part to analyze the volatility spillover effect of industry sentiment. The research results show that for the industry sentiment trend item, when the sentiment of an industry changes positively, the sentiment of the infected industry is always positively contagious first, and then reverses to negative contagion after a period of time. Only the sentiment of the pharmaceutical industry affects the information. Industry sentiment has no significant contagious effect. For industry sentiment fluctuation items, inter-industry emotional contagion presents different relationships in different periods, and the change trend of emotional contagion between different types of industries is different. Based on the above content, this paper proposes policy recommendations that should focus on the risk contagion of upstream and downstream industries in the industrial chain and should do a good job in risk control at the time of policy announcement.

Key words: investor sentiment contagion, multiple time scales, variational mode decomposition, industry