| 摘要(英) |
We all know that in the case that asset’s price fluctuate constantly, only when prices rise more than fall would bring enough profits if you are holding the long position; this is the same for the short position, only in the case that prices fall more than rise create ideal profit.
Moreover, the rising field named behavioral finance has proposed models that are different from traditional ones, the psychological state of investors do influence asset prices and is an important factor for pricing volatility, to observe the change of the psychology state of investors, behavior finance comes the investor sentiment indicator to predict the reversal of asset prices.
In this study, we use the concepts above to build a long position model and another short position model, Dynamic SBM will be used to set investor sentiment as the Carry-over of asset prices change, to evaluate the performances of these two models and the overall environment impact on investment performance. Furthermore we have another dynamic SBM without carry-over, to assess investor sentiment indicators for investment performance.
Results of the study shows that after financial crisis, the long position model’s performance is probably affected, and the effect has been until 2012, although sometimes performance is fine, but it immediately fell, showing ups and downs, this time for investors with long positions is tough; in the contrast, the short position model’s performance was relatively stable and high performance in most time, representing short positions in this time is quite excellent, which means in this period after the financial crisis is very suitable for panic shorting. This was because the market was still panic from 2008 to 2012.
Finally, with the Wilcoxon test, the general dynamic SBM and no Carry-over dynamic SBM exists significant differences, investors should pay more attention on the investment sentiment indicators change, to prevent price reversal. |
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