报告题目: Geopolitical risks and investor sentiment: causality and TVP-VAR analysis

报告人：贺志芳副教授(江南大学)

时间：2022年5月13日（周五）下午15：00-16：30

地点：腾讯会议：999-577-998会议密码：066915

报告摘要:

In this talk, the aims is to investigate the relationship between geopolitical risks (GPRs) and investor sentiment in the U.S. stock market based on the Granger causality test and time-varying parameter vector autoregression (TVP-VAR) analysis. Findings indicate that geopolitical risk indexes, including the general geopolitical risk (GPR), geopolitical threats (GPT), and geopolitical acts (GPA), have evident impacts on investor sentiment in stock markets, whereas investor sentiment does not affect geopolitical risks. More importantly, GPRs have significant negative effects on investor sentiment, suggesting that higher (lower) geopolitical risks dampen (promote) investor sentiment directly or indirectly. Specifically, the reaction of investor sentiment seems more pronounced in the short and medium term than in the long term, and more sensitive to domestic geopolitical events. There is no significant difference in the impacts of GPR, GPT, and GPA. The results obtained are robust for alternative investor sentiment and geopolitical risk indicators.

报告人简介：

贺志芳，江南大学商学院副教授。主要从事行为金融和金融计量和金融风险管理的研究，相关内容发表在《管理科学学报》、《International Review of Economics and Finance》、《International Journal of Finance & Economics》、《Emerging Markets Finance and Trade》等国内外学术期刊上。主持国家自然科学青年基金、国家社科后期资助项目以及江苏省高校哲学社会科学基金各1项，参与国家自然科学基金和教育部人文社科基金多项。荣获江南大学2020-2021年度“至善青年学者”，2021年无锡市第十五届哲学社会科学优秀成果奖，2016年湖南省自然科学奖等奖励。担任《系统工程理论与实践》、《International Review of Financial Analysis》、《Financial Innovation》《International Review of Economics and Finance》等国内外期刊匿名审稿人。