A Principal Component Approach to Measuring Investor Sentiment in Hong Kong

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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Year of publication:	2017-02-26
Authors:	Chong, Terence Tai-Leung ; Cao, Bingqing ; Wong, Wing Keung

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Chong, Terence Tai-Leung and Cao, Bingqing and Wong, Wing Keung (2017): A Principal Component Approach to Measuring Investor Sentiment in Hong Kong.
Classification:	C22 - Time-Series Models ; G17 - Financial Forecasting
Source:	BASE

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