Munich Personal RePEc Archive

A Principal Component Approach to Measuring Investor Sentiment in Hong Kong

Chong, Terence Tai-Leung and Cao, Bingqing and Wong, Wing Keung (2017): A Principal Component Approach to Measuring Investor Sentiment in Hong Kong.

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Abstract

In light of the increasing integration between China and Hong Kong, this paper develops a new market sentiment index for the Hong Kong stock market by including the CSI 300 index of the Chinese equity market. A threshold regression model using the sentiment index as a threshold variable is estimated to capture the state of the Hong Kong stock market.

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