Measuring Investors’ Sensitivity to Systemic Financial Risks: Development and Validation of a Rigorous Assessment Scale

Systemic financial risks, arising from macroeconomic fluctuations, market volatility, policy shifts, and international economic events, present significant challenges for investors, particularly in rapidly evolving and highly interconnected markets such as China. Despite substantial research on risk perception and investor behavior, a comprehensive and psychometrically rigorous instrument specifically designed to measure investors’ sensitivity to systemic risks has been lacking. This study aims to fill this gap by developing the systemic risk sensitivity scale for Chinese investors, grounded in financial theory and designed to assess the impact of systemic risks on investment behavior. An empirical study was conducted using structural equation modeling method, which demonstrated the scale’s methodological rigor, high reliability, and strong internal consistency. Moreover, the scale exhibited excellent cross-group consistency across different types of investors, suggesting its applicability across diverse investment populations. Robustness tests further confirmed the stability and validity of the results, highlighting the practical and theoretical soundness of the instrument. This study thus develops the systemic risk sensitivity scale for Chinese investors, grounded in financial theory and behavioral finance principles, aimed at assessing how systemic risks affect investment decisions. The scale not only provides valuable insights for portfolio management, investor risk assessment, and financial policy formulation but also contributes to the behavioral finance literature by offering a validated framework for understanding investor decision-making under systemic risk conditions in China’s dynamic financial market.