The Research On Investor Sentiment Contagion Under The Background Of Shenzhen-Hong Kong Stock Connect

Since the implementation of the Shenzhen-Hong Kong Stock Connect policy,the volatility of the Chinese market has not weakened.In the second half of 2016 and the second half of 2018,the Shanghai and Shenzhen stock markets and the Hong Kong stock market still experienced many bear markets.The financial market is a complicated system,so the traditional financial theory cannot fully explain the reasons for the violent fluctuations in the Chinese market in recent years.In addition,as an important channel for international capital to enter the Chinese mainland financial market,the Hong Kong financial market has become increasingly connected with the Shanghai and Shenzhen stock markets in recent years,the contagion effect of stock market sentiment in the two places in recent years cannot be ignored.Therefore,this paper intends to analyze the contagion effect of investor sentiment in the Shenzhen and Hong Kong stock markets under the background of the Shenzhen-Hong Kong Stock Connect policy from the perspective of behavioral finance,it is of great significance for understanding the risk contagion mechanism between investor sentiment in the Chinese mainland and Hong Kong stock markets.This paper first introduces the high-performance Shift Block Method of Blind Separation(SHIBBS)into the construction of investor sentiment indicators,and compares it with traditional investor sentiment construction methods such as principal component analysis to prove that SHIBBS has better feature extraction ability,and its constructed emotional indicators can more accurately reflect the changes in the stock market and the fluctuations of market investor sentiment.Secondly,in order to study the contagious effect of emotional indicators under the influence of major events,the Ensemble Empirical Mode Decomposition(EEMD)is used to decompose the sentiment indicators constructed by SHIBBS to obtain a series of independent and different time scale Intrinsic Mode Function(IMF),then recombination of IMFs at high and low frequencies to obtain medium-term fluctuation sequences(significant event impact sequences);through analysis,medium-term fluctuations can greatly reduce noise interference,effectively portray the fluctuations of investor sentiment in Shenzhen and Shenzhen markets under the influence of major events,and help to further study the contagious effects before and after the opening of Shanghai-Hong Kong Stock Connect and Shenzhen-Hong Kong Stock Connect.Finally,with the help of various measurement methods,it was found that the investor sentiment of Shenzhen is Granger-caused by Hong Kong,and Hong Kong investor sentiment has more impact on Shenzhen investors' infection under the influence of major events such as Shenzhen-Hong Kong Stock Connect;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.