系统管理学报

系统管理学报 ›› 2020, Vol. 29 ›› Issue (6): 1056-1064.DOI: 10.3969/j.issn.1005-2542.2020.06.004

• 金融工程 • 上一篇    下一篇

“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

李合龙，林楚汉 ，张卫国   

  1. 华南理工大学 经济与金融学院，广州 510006
  • 出版日期:2020-11-29 发布日期:2020-12-11
  • 作者简介:李合龙（1977-），男，教授，博士生导师。研究方向为行为金融与金融工程。
  • 基金资助:
    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）

Investor Sentiment Contagion Between Shenzhen and Hong Kong Under the Background of Shenzhen-Hong Kong Stock Connect Based on SHIBBS-EEMD Model

LI Helong，LIN Chuhan，ZHANG Weiguo   

  1. School of Economics and Finance，South China University of Technology，Guangzhou 510006，China
  • Online:2020-11-29 Published:2020-12-11

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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

Abstract: Based on the investor sentiment proxy variable data of Shenzhen and Hong Kong stock markets, this paper constructs the comprehensive investor sentiment index affected by major events by using the established SHIBBS-EEMD model, and discusses the investor sentiment contagion effect by using the Granger causality test and Copula contagion index. The results show that the investor sentiment of Shenzhen is Granger-caused by Hong Kong. The contagion of investor sentiment of Hong Kong on investor sentiment of Shenzhen has risen rapidly after the opening of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect. The probability of risk contagion also rises as the connection between Hong Kong and Shenzhen increases.

Key words: Shenzhen-Hong Kong Stock Connect, investor sentiment, SHIBBS-EEMD, contagion

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