Research On The Quantitative Timing Strategies:Based On Investor Sentiment

Quantitative investment has many advantages towards traditional investment methods,and developed rapidly these years.With the development of computer technology,quantitative investment plays a more important role in the investment industry.Although in recent years our quantitative investment has made rapid development,compared with countries,like America,we still have a long way to go.And we must see that we still has many inadequacies in this area.In recent years,behavioral finance continues developing rapidly,and explained a number of phenomenon that traditional financial theory can not explain.Many scholars of behavioral finance have been concerned with the study of investor sentiment,since investor sentiment has great influence on investor behavior and investor behavior has an important impact on asset prices.In this study,we focus on how to introduce investor sentiment variable to the quantitative investment framework and how to make a efficiency model using investor sentiment variable.Firstly we establish investor sentiment index with the history of SW 28 level industry week returns ratio,using regression analysis method to calculate the beta coefficient.Then we calculate the Spearman’s rank correlation coefficient with 28 industry’s beta and the return rate of the 28 industries that week,and using this correlation coefficient we build our preliminary index of investor sentiment.Then we calculate the arithmetic mean of the initial investor sentiment index of last four weeks,and make it the adjusted index of investor sentiment and investor sentiment index for short.In the next part we studied the distribution of investor sentiment index,and with the method of ADF test,we verify that the investor sentiment index is a stationary series,has the characteristics of mean reversion.So we take a down-top through the point 0 as a buy signal,a top-down through the point 0 as a sell signal.Historical data test shows that this model has obvious timing effect,cumulative return rate is far higher than the same period of the CSI 300 index yield.This shows that we can see the investors’ attitude of the market from the choice of the industries they choose,and the attitude of investors can affect the price of the assets in the financial market.In the last part,we introduce the weekly return rate of the CSI 300 index to our model,and we get a more excellent result.