全球投资者国别风险情绪对跨境股票资本流动的影响

本文分析了全球投资者国别风险情绪对跨境股票资本流动的影响,通过构造一般均衡跨期选择模型,刻画了投资者国别风险情绪负向影响跨境股票净资本流入的理论机理以及投资者风险厌恶程度的调节作用,并基于EPFR全球股票型基金微观数据和由大数据文本分析技术构造的全球投资者国别层面风险情绪指标进行实证检验。结果表明:第一,全球投资者对一国的国别风险情绪上升会推升该国的整体风险溢价水平,降低跨境股票型基金净资本流入,尤其是风险厌恶度较高的被动型、开放式和ETF基金;第二,一国金融市场成熟度上升和汇率弹性增强可以缓解全球投资者国别风险情绪对跨境股票型基金净资本流入的负向影响;第三,在全球风险情绪极端低或者各国股票型基金净资本流入极端高的时期,全球投资者国别风险情绪的影响更为显著。

The Impact of Global Investors' Country-level Risk Sentiment on Cross-border Equity Capital Flows

The “14th Five-Year Plan” promotes the opening of the financial industry and deepeningthe interconnection of domestic and foreign capital markets. With the pace of opening up of the capital market accelerating,its breadth, depth, and convenience are constantly improving, and the scale of foreign capital inflow is increasing. Cross-border capital market transactions will become an increasingly important financial activity. Opening of the capital market can attract foreign capital inflows, expand financing channels, improve the efficiency of the capital market, and accelerate the construction of a new development pattern in which dual domestic and international cycles promote each other. However, we must also be alert to the financial risks arising from the violent fluctuation of cross-border capital flows. The “14th Five-Year Plan” proposes improving the management framework of cross-border capital flows and the risk prevention and response capabilities under the conditions of opening up. Therefore, an in-depth understanding of the driving factors of cross-border capital flows, accurate judgment, and timely monitoring of the changes and impacts of the driving factors are critical for improving the management efficiency of cross-border capital flows and realizing a high level of financial openness.
Since the 2008 financial crisis, there has been a significant increase in global uncertainty, which has triggered a rise in global investors' sentiment toward foreign equity investment, especially in emerging economies. As the scale of China's cross-border equity capital flows continues to expand, exploring the impact of global investors' country-level risk sentiment on cross-border equity capital flows provides important policy implications that will help China improve its capital flow management framework and respond to the impact of global uncertain events.
This paper deeply explores the impact of global investors' country-level risk sentiment on cross-border equity capital flows in emerging economies by constructing a general equilibrium intertemporal selection model to describe the theoretical mechanism through which investors' country-level risk sentiment negatively affects the net capital inflows of cross-border equity and the moderating effect of investors' risk aversion. Further, this paper conducts an empirical test based on the micro data of EPFR global equity funds and the risk sentiment index of global investors at the country level constructed by big data text analysis technology. The results show that:First, the rise of global investors' country-level risk sentiment increases the country's overall risk premium level, prompting equity funds to significantly reduce the net capital inflow to the country, especially if investors' risk aversion is high. Second, improving the maturity of a country's financial market and exchange rate flexibility and maintaining a reasonable level of capital account control can alleviate the impact of global investors' country-level risk sentiment on the net capital inflows of cross-border equity funds. Finally, when global risk sentiment is extremely low or the net capital inflows of equity funds in various countries are extremely high, the impact of global investors' country-level risk sentiment is more significant.
The marginal contributions of this paper are as follows. First, it provides a theoretical basis for the impact of global investors' country-level risk sentiment on the net capital inflows of cross-border equity. By constructing a general intertemporal equilibrium selection model, this paper depicts the theoretical mechanism through which investors' country-level risk sentiment affects the net capital inflows of cross-border equity. Second, it provides robust micro evidence for the impact of global investors' country-level risk sentiment on the net capital inflows of cross-border equity. By combining the global investors' country-level risk sentiment index constructed by a big data text analysis method and the global equity fund-level micro data provided by the EPFR database, this paper captures global investors' perceptions of the overall financial and economic risk sentiment of each country. This paper also examines how global investors' country-level risk sentiment affects the cross-border capital allocation of global equity funds. Third, this paper provides detailed policy suggestions for emerging economies including China to improve the management of cross-border capital flows. We explore the heterogeneous impact of global investors' country-level risk sentiment on the net capital inflows of cross-border equity from horizontal and vertical dimensions such as fund level, country level, and whether it is in an extreme risk period. Based on our findings,we propose targeted policy suggestions for capital flow management.