引入情绪的时间序列动量策略  

Sentiment-based Time Series Momentum Strategy

作　　者：瞿慧[1] 王凯旋 QU Hui;WANG Kaixuan(School of Management and Engineering,Nanjing University,Nanjing 210093,China)

机构地区：[1]南京大学工程管理学院,江苏南京210093

出　　处：《运筹与管理》2024年第10期131-137,共7页Operations Research and Management Science

基　　金：国家自然科学基金面上项目(72171110)。

摘　　要：针对近期研究指出的投资者情绪对资产定价、动量效应的显著影响,提出构建引入情绪的时间序列动量策略。具体的,以中小企业100指数成分股为实证数据,运用主成分分析法通过市场指标合成投资者情绪指数,并将情绪指数引入到时间序列动量策略的构建中,分析引入情绪之后的策略收益提升。实证结果表明:本文构建的投资者情绪指数与中小企业100指数收益率走势一致且对未来收益率存在显著影响;将情绪引入到策略的构建之后,显著增加策略的收益,且新策略收益显著超越买入-持有策略。进一步实证表明,新策略的优越性对不同长度的投资期限、不同的情绪指数构建方法以及不同的买卖信号确定方法均稳健。研究首次将投资者情绪引入到时间序列动量策略的构建中,不仅可以指导投资者资产配置的实务应用,对量化投资研究也有重要意义。Momentum effect is one of the most typical market anomalies.The effectiveness of cross-sectional momentum strategies and time series momentum strategies has been verified in many studies.With the development of behavioral finance,the significant impact of investor sentiment on asset pricing and momentum effect has been pointed out in recent studies.Some researchers have improved the cross-sectional momentum strategies and the mean reversion strategies by incorporating investor sentiment,but no studies have attempted to introduce investor sentiment into the construction of time series momentum strategies.Therefore,this paper proposes to construct sentiment-based time series momentum strategies,so as to provide investors with potentially profitable investment opportunities.As for the benchmark time series momentum(TSM)strategy,we use the arithmetic average of historical returns to generate trading signals.Specifically,for each instrument i and month t,we consider whether the excess return over the past J months is positive or negative and go long if positive and short if negative at the end of the month,holding the position for K months.Here J is referred to as the length of the formation period,and K is referred to as the length of the holding period.For each trading strategy with time parameter(J,K),the strategy return during month t is the average return across all“active”portfolios,namely the average return on the portfolios that were constructed last month,the month before(if still held in month t),and so on.While constructing our sentiment-based time series momentum(STSM)strategy,we use the Sharp Ratio difference of the benchmark TSM strategy during the high sentiment period and the low sentiment period(ΔSR)to adjust the position longed and shorted in the benchmark TSM strategy.Specifically,in the high sentiment period,if the TSM trading signal is“long”,we should increase the long position byΔSR;if the TSM trading signal is“short”,we should reduce the short position byΔSR.In the low sentiment p

关 键 词：投资者情绪 时间序列动量 主成分分析 偏最小二乘 

分 类 号：F830.9[经济管理—金融学]