中国金融风险担忧：股市波动的有力预测指标

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-08-01 DOI:10.1016/j.ribaf.2025.103128

Zijun Li , Feng Ma , Jixiang Zhang , Xiaozhou Zhou

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引用次数: 0

摘要

本文基于四种主要的文本来源，构建了中国的财务风险关注。我们发现，RC是未来股市波动的一个强大的负预测因子，其预测能力显著大于其他先前研究的宏观经济、风险和不确定性变量。在每周分析中，我们观察到风险担忧对股市波动的影响发生逆转，由正向负转变，这反映了投资者的主动风险厌恶和市场的自我适应。我们还证明了风险关注具有长期预测能力。在横断面分析中，我们发现它在低波动期的影响更大，特别是对国有企业和下游行业的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The financial risk concern in China: A powerful predictor of stock market volatility

This paper constructs the financial risk concern (RC) in China based on four primary types of textual sources. We find that the RC is a powerful negative predictor of future stock market volatility, which predictive power is significantly greater than that of other previously examined macroeconomic, risk and uncertainty variables. In the weekly analysis, we observe a reversal in the impact of risk concern on stock market volatility, shifting from positive to negative, which reflects proactive risk-averse by investors and market self-adaptation. We also demonstrate that risk concern has long-term predictive power. In cross-sectional analysis, we find it has a greater impact during periods of low volatility, and particularly affects state-owned enterprises and downstream industries.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance