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行为金融学认为投资者情绪对投资者决策和市场波动具有重要影响,本文从4个维度选取了6个指标,运用因子分析的方法构建了投资者情绪指数,并在投资者情绪测度的基础上构建了指数化投资择时策略。历史数据回测结果显示,基于投资者情绪测度的指数化投资择时策略可以获得更高的收益。
Behavioral finance believes that investor sentiment has an important impact on investor decision-making and market volatility. This paper selects six indicators from four dimensions and constructs an investor sentiment index using the method of factor analysis. Based on the sentiment of investors Construct index strategy of investment timing. The historical data backtesting results show that index investment strategy based on investor sentiment measures can get higher returns.