| As China’s securities market is still an emerging market with a large number of individual investors,the stock market is irrational in China.As a rational investment strategy analysis method,quantitative investment can provide investors with a more rational investment direction At the same time,a large number of researchers have shown that investor sentiment has a certain impact on stock returns.Therefore,it is of great significance to research on the multi-factor stock selection model based on investor sentiment index.At present,most researchers explore the impact of investor sentiment on the whole stock market.Our hopes to construct market investor sentiment index and individual stock investor sentiment index respectively from macro and micro perspectives,empirically research the relationship between investor sentiment and return rate,and provide investors with stock selection strategies.The dissertation makes an empirical study of multi-factor stock selection model under investor sentiment index by combing literature and studying relevant quantitative models.The empirical research of the thesis is divided into two parts.The first part is the construction of investor sentiment index.Firstly,the market and individual stock investor sentiment indexes are constructed from macro and micro perspectives respectively.Among them,the individual stock investor sentiment adopts the direct index construction,using the Oriental Wealth of individual stock text data to get the individual stock investor sentiment index.The market investor sentiment index is constructed from direct and indirect aspects.The direct index is based on the Sentiment analysis of Oriental Fortune Stock Exchange and obtains the investor sentiment index for the CSI 300 market.The indirect index adopts five sentiment proxy indexes as the indirect index data.Then according to the six constructed investor sentiment indicators,the factor analysis method is used to construct the market comprehensive investor sentiment index.Then,explore the relationship between sentiment index and return rate.The empirical results show that the relationship between individual stock investor sentiment index and individual stock return rate is Granger causality,and every increase of one unit,the stock return rate will increase by 0.153461 units.However,there is only one-way Granger causality between market investor sentiment index and CSI 300 index yield.The second part is based on investor sentiment index multi-factor stock selection model of investment strategy.First of all,the multi-factor stock selection model is constructed by introducing individual stock investor sentiment index.Secondly,based on the model,the investment strategy is designed and the groups are tested.The results of the test show that portfolio 3 has the best performance in terms of return and risk,and the annual return rate of the test period is 58.87% higher than that of CSI 300 index.Finally,introducing the market investor sentiment index for timing,the annualized return rate of portfolio 3 in the retest period increased by 12.15%,sharpe ratio increased by 0.59,and the drawdown decreased by 10.22%.Therefore,through the research of this paper,we believe that the research of market and individual stock investor sentiment index on multi-factor stock selection model can provide investors with excess returns and provide investors with more investment ideas. |
