管理学刊2025，Vol.38Issue(5)：84-102,19.DOI:10.19808/j.cnki.41-1408/F.2025.0050
尾部风险对资本市场效应的影响
The Impact of Tail Risk on Capital Market Effects:Mediating Role of Investor Sentiment and Belief
摘要
Abstract
Drawing on behavioral finance theory and considering the structural characteristics of China's A-share market,dominated by retail investors and highly sensitive to policy,this paper systematically examines the transmission mechanisms and adjustment pathways of tail risk on market effects.Using A-share market data from 2009 to 2024 and applying empirical tests alongside a multi-factor dynamic simulation model,the study uncovers the nonlinear impacts of tail risk on market volatility,liquidity,and asset prices.It further deepens the understanding of tail risk from three perspectives:the behavioral finance framework,multi-factor dynamic adjustment,and time-varying features.The results are as below.Firstly,the behavioral finance channel constitutes the core pathway for tail risk transmission,and the divergence of investor sentiment and belief generates a synergistic amplification effect,causing asset prices to deviate from fundamentals and systemic risks to accumulate,breaking through the explanatory boundaries of traditional finance theory.Secondly,multi-factor dynamic adjustment mechanisms significantly reshape the trajectory of risk transmission,with size and value factor premia helping to hedge against cyclical and panic-driven tail shocks.Thirdly,tail risk effects exhibit pronounced time-varying heterogeneity,and the simulation model confirms differences in transmission pathways across economic cycles and highlights the prominent moderating roles of event factors and environmental factors on market effects,providing quantitative support for building a dynamic risk early-warning system.Policy implications suggest optimizing market microstructure,strengthening cross-border risk coordination,and promoting technology-enabled supervision to enhance the resilience of the A-share market against tail risks,thereby contributing to financial stability and high-quality development.关键词
市场效应/尾部风险/投资者情绪/投资者信念/仿真Key words
market effects/tail risk/investor sentiment/investor belief/simulation model分类
经济学引用本文复制引用
张华平,曹策远..尾部风险对资本市场效应的影响[J].管理学刊,2025,38(5):84-102,19.基金项目
国家社会科学基金项目(19FGLB040) （19FGLB040）
河南省软科学项目(242400411180) （242400411180）
河南省哲学社会科学规划年度项目(2023BJJ061) （2023BJJ061）
河南省高等学校重点科研项目(24A790015) （24A790015）
河南省高校人文社会科学研究一般项目(2024-ZZJH-035) （2024-ZZJH-035）
