Abstract：Based on five original sentiment indicators in Hong Kong stock market, including the closed-end fund discount rate, the average first-day returns of initial public offering (IPO), the number of IPO, the market trading volume and turnover, this paper uses the principal component analysis method to calculate a comprehensive investor sentiment index. After excluding the trend and seasonal factors from the comprehensive investor sentiment index and Hong Kong Hang Seng Index by autoregressive moving average-generalized autoregressive conditional heteroskedasticity (ARMA-GARCH) family models, this paper makes correlation analysis and Granger causality test on the residuals of ARMA-GARCH model. The study shows that ARMA-GARCH models can effectively process the autocorrelation and heteroscedasticity of investor sentiment index and Hong Kong Hang Seng Index. Also, it indicates that the Hang Seng index return is the Granger cause of investor sentiment in short terms while not in long terms. That is to say investor sentiment would be more optimistic in short terms when the Hong Kong stock market goes up, and vice versa.
陆静, 裴饴军, 吴琴琴. 投资者情绪影响香港股票市场吗?[J]. 系统工程理论与实践, 2017, 37(1): 80-90.
LU Jing, PEI Yijun, WU Qinqin. Does the investor sentiment have impact on Hong Kong stock market. Systems Engineering - Theory & Practice, 2017, 37(1): 80-90.
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