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A Principal Component Approach to Measuring Investor Sentiment in Hong Kong

Terence Tai Leung Chong, Bingqing Cao and Wing-Keung Wong

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Principal component analysis; Market sentiment; CSI 300; Threshold model (search for similar items in EconPapers)
JEL-codes: C22 G17 (search for similar items in EconPapers)
Date: 2017-02-26
New Economics Papers: this item is included in nep-cna and nep-fmk
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Citations: View citations in EconPapers (12) Track citations by RSS feed

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