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

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