Search of attention in financial market

M.Phil.This study employs correlation coefficients and the factor-augment VAR (FAVAR) model to investigate the relationship between the stock market and investors’ sentiment measured by big data. The investors’ sentiment index is extracted from a pool of relative keyword series provided by the Baidu Index. We target 2 composite stock indices, namely the Hang Seng Index and the Shanghai Composite Index. We first implement the Pearson product-moment correlation coefficient to find the degree of correlation between keywords and composite stock price indices. Then we apply the FAVAR model to obtain the impulse response of stock price to the investors' sentiment index. Finally, we examine the leading effects of keywords on stock prices using lagged correlation coefficients. To illustrate the predictive power of investors’ sentiment, this paper constructs a forecasting model which incorporates investors' sentiment factors to predict the stock prices of a specific company. We obtain two main findings. First, a strong correlation exists between investors’ sentiment and composite stock price; the change of investors’ sentiment causes the fluctuation of stock price. A shock to composite stock return causes a noteworthy fluctuation in investors’ sentiment. A shock to this sentiment also affects composite stock price. Second, before and after the launch of the Shanghai-Hong Kong Stock Connect, the keywords affecting the fluctuation of the Hang Seng Index are different. Additional keywords associated with the Shanghai-Hong Kong Stock Connect affect the changes in the Hang Seng Index after the announcement of the inception of the Shanghai-Hong Kong Stock Connect.本文通過計算相關係數以及運用FAVAR 模型分析了股市表現與投資者情緒的相關關係。投資者情緒指標通過百度指數中的關鍵詞序列抽取産生。我們選擇了恒生指數和上證指數作爲衡量香港股市和內地股市表現的指標。在文章的前兩部分，我們運用皮爾遜相關係數計算了關鍵詞與股市綜合指數的相關程度。通過實施 FAVAR 模型，我們獲得了投資者情緒與股市股價之間的脉衝響應結果。在文章最後一部分，我們通過時差相關係數得到了對股市股價有著領先效應的關鍵詞序列，我們從此序列中提取了共同因子，幷加入預測模型中，預測了公司的未來股價。文章得出了 两 點結論：第一， 投資者情緒與綜合指數有著很 强的相關性 投資者情緒和綜合指數任意一方的變化都會引起對方的波動 。對一變量的衝擊會在幾天內引起另一變量的波動；第 二 ，在滬港通開通前後的兩個時間段內，影響恒生指數變動的關鍵詞發生變化，在滬港通開通前，投資者在交易階段的情緒以及對經濟政策的關注度對恒生指數有較大影響，滬港通開通後，針對滬港通的關注明顯對恒生指數的漲跌起到了顯著的作用。Li, Chen.Thesis M.Phil. Chinese University of Hong Kong 2019.Includes bibliographical references (leaves 49-51).Abstracts also in Chinese.Title from PDF title page (viewed on 10, May, 2021)