关键词: 恐慌情绪, 多时间尺度, 新冠疫情, 变分模态分解

Abstract: In recent years, infectious disease has caused strong external shocks to the modern society, leading to the spread of global market panic. Therefore, people from all fields in the world need to learn from historical experience and summarize it to jointly face future public health events. As investor panic sentiment infectivity is also vulnerable to public health events at different time scales, those investment or regulatory strategies that take into account investor sentiment need to be modified somewhat. This paper studies the contagion of investor panic under the background of the COVID-19 epidemic, explores the impact of the COVID-19 epidemic on market sentiment, provides a basis for investors and regulators to face similar major public health events in the future, breaks through the traditional single time scale, and explores the emotional contagion effect between markets in more detail from the three time scales of long-term, medium-term and short-term. Moreover, it integrates the research findings into the policy environment for analysis, offering significant theoretical and practical implications for investors, governments and regulatory bodies to stabilize financial markets and effectively mitigate investment risks.
This paper uses CIVIX and VIX to measure panic sentiment in the Chinese and US markets, respectively. Because the SSE50 ETF Volatility Index (iVX) ceased publication in February 2018, the study simplifies the calculation method for the SSE50 ETF Volatility Index by using implied volatility to construct the panic sentiment index (CIVIX). The panic indices for both markets are based on daily data from 883 overlapping trading days, sourced from the Wind database. Subsequently, the paper applies Variational Mode Decomposition (VMD) to decompose the VIX and CIVIX into multiple Intrinsic Mode Functions (IMFs) and calculates the dominant period of each IMF component through Wavelet Analysis (WA). Based on the dominant period characteristics of the IMFs, the components are classified and reorganized to ultimately derive the long-term, medium-term and short-term components of the indices. Using traditional econometric models, this paper investigates the impact of the COVID-19 pandemic on the contagion of panic sentiment across the three time scales: long-term, medium-term and short-term.
It is found that by comparing the curve changes in the impulse response graph between the long-term panic in China and US before and after the epidemic, it can be seen that in the long run, the COVID-19 epidemic will hinder the contagion of panic between the Chinese and American markets, resulting in a decrease in the intensity and duration of infection. By comparing the curve changes in the impulse response chart between the medium-term terms of Sino-US panic before and after the epidemic, it can be seen that in the medium term, after the COVID-19 epidemic, the process of panic contagion from the Chinese market to the US market becomes more rapid, violent and unstable, and when the panic in the US market changes, the contagion of the US market to the Chinese market will be positive and then negative before the epidemic, in turn, negative and then positive after the epidemic. By comparing the dynamic correlation coefficient between Chinese and US panic before and after the epidemic, it can be seen that in the short term, the COVID-19 epidemic will strengthen the contagion of panic between China and US, but it will also make panic contagion more uncertain.
Based on the results, the paper provides relevant recommendations to investors and regulators. Different types of investors should adopt targeted strategic adjustments in the face of major health events to improve their ability to judge information. Long-term investors can focus on the panic in the Chinese market. Medium-term investors should pay attention to the risks caused by the rise of panic in the later period when modifying the investment strategy of the Chinese market target, and should adopt defensive strategies in time when modifying the investment strategy of the US market target to avoid the risks caused by the rapid contagion of panic. Short-term speculators should study and train to understand the characteristics of their trading psychological deviations and reduce the constraints of psychological factors. Among them, short-term and medium-term investors need to develop different trading strategies to avoid losses. For governments and financial regulatory bodies, it is crucial to ensure the effectiveness and adaptability of economic and public health policies. This includes providing precise financial support to industries and groups heavily affected, implementing flexible fiscal and monetary policies to respond to market demand changes, and utilizing advanced technology to enhance economic data monitoring and early warning systems. Additionally, governments should strengthen international cooperation, share policy experiences, coordinate economic recovery measures, and ensure the overall stability of global markets.

Key words: panic, multiple time scales, COVID-19 epidemic, variational mode decomposition