Abstract
Cross-market risk conduction is an important risk source in the global investment market. In recent years, the global market risk linkage cause-d by major public health emergencies has attracted much attention. This paper selects the COVID-19 epidemic as an example, and uses the shipping market as a representative indicator of the global economy to try to analyze the complete path of the epidemic impact from the global economy to the Chinese stock market. From the perspective of behavioral finance, it analyzes the role of investor sentiment in this risk linkage. The empirical results show that the transmission of epidemic risk between Chinese stock markets deviates from the global economic fluctuations but has regularity, and the momentum effect brought by investors ' overconfidence and overreaction makes the stock market reaction short-term and volatility amplification. Risk aversion and limited attention make the market volatility caused by the deterioration of the epidemic greater than the mitigation. This paper creatively conducts a full-path study on the transmission of epidemic risk between macro-economic and stock markets, and uses behavioral finance theory to quantitatively verify the impact of investor sentiment, which provides a theoretical basis for cross-market risk transmission research.
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