Principal factor analysis of stock market sentiment.

Duan, Xin.Thesis (M.Phil.)--Chinese University of Hong Kong, 2007.Includes bibliographical references (leaves 36-43).Abstracts in English and Chinese.Abstract --- p.i-iiAcknowledgement --- p.iiiTable of Contents --- p.ivChapter Chapter 1 --- Introduction --- p.1Chapter Chapter 2 --- Related Literature --- p.6Chapter 2.1 --- Exchange Market Pressure Index --- p.6Chapter 2.2 --- The Sentiment Index --- p.11Chapter Chapter 3 --- Stock market sentiment --- p.16Chapter 3.1 --- Data --- p.16Chapter 3.2 --- Methodology --- p.23Chapter 3.3 --- Estimated Results --- p.25Chapter Chapter 4 --- Application to the Hong Kong stock market --- p.28Chapter 4.1 --- Threshold Model Estimation --- p.28Chapter 4.2 --- Trading Strategy --- p.30Chapter Chapter 5 --- Conclusion --- p.32Appendix: Principle Component --- p.34References --- p.3