| “深港通”背景下深港投资者情绪的传染性研究——基于SHIBBS-EEMD模型 |
| |
| 引用本文： | 李合龙,林楚汉,张卫国. “深港通”背景下深港投资者情绪的传染性研究——基于SHIBBS-EEMD模型[J]. 系统管理学报, 2020, 29(6): 1056-1064. DOI: 10.3969/j.issn.1005-2542.2020.06.004 |
| |
| 作者姓名： | 李合龙 林楚汉 张卫国 |
| |
| 作者单位： | 华南理工大学 经济与金融学院，广州 510006 |
| |
| 基金项目： | 国家自然科学基金资助项目（71671068）；广东省软科学项目（2019A101002009）；国家自然科学基金国际（地区）合作与交流项目（71720107002）；国家自然科学基金-广东联合基金重点支持项目（U1901223） |
| |
| 摘 要： | 利用深圳和香港股票市场投资者情绪代理变量数据，基于SHIBBS-EEMD模型构建了受重大事件影响的投资者综合情绪指标，借助Granger因果检验和反映指标之间关联程度的Copula指数进行传染性研究。结果表明：香港市场投资者情绪对深圳市场投资者情绪存在单向传导；香港市场投资者情绪对深圳市场投资者情绪的传染性在沪、深港通开通之后迅速上升，两市联动性加强的同时风险传染的概率也随之增大。
|
| 关 键 词： | 深港通 投资者情绪 SHIBBS-EEMD 传染性 |
InvestorSentiment Contagion Between Shenzhen and Hong Kong Under the Background ofShenzhen-Hong Kong Stock Connect Based on SHIBBS-EEMD Model |
| |
| LI Helong,LIN Chuhan,ZHANG Weiguo. InvestorSentiment Contagion Between Shenzhen and Hong Kong Under the Background ofShenzhen-Hong Kong Stock Connect Based on SHIBBS-EEMD Model[J]. Systems Engineering Theory·Methodology·Applications, 2020, 29(6): 1056-1064. DOI: 10.3969/j.issn.1005-2542.2020.06.004 |
| |
| Authors: | LI Helong LIN Chuhan ZHANG Weiguo |
| |
| Affiliation: | School of Economics and Finance，South China University of Technology，Guangzhou510006，China |
| |
| Abstract: | Based on the investor sentiment proxy variable data ofShenzhen and Hong Kong stock markets, this paper constructs the comprehensiveinvestor sentiment index affected by major events by using the establishedSHIBBS-EEMD model, and discusses the investor sentiment contagion effect byusing the Granger causality test and Copula contagion index. The results showthat the investor sentiment of Shenzhen is Granger-caused by Hong Kong. Thecontagion of investor sentiment of Hong Kong on investor sentiment of Shenzhenhas risen rapidly after the opening of Shanghai-Hong Kong Stock Connect andShenzhen-Hong Kong Stock Connect. The probability of risk contagion also risesas the connection between Hong Kong and Shenzhen increases. |
| |
| Keywords: | Shenzhen-Hong Kong Stock Connect investor sentiment SHIBBS-EEMD contagion |
|
| 点击此处可从《系统管理学报》浏览原始摘要信息 |
|
点击此处可从《系统管理学报》下载全文 |
