Research On Tracking The Shipping Stock Market Index Considering Investor Sentiment

Index tracking and investor sentiment are the two hot topics in the latest financial researching area. Based on the large amount of literature reviews, this paper applys the two parts together to the shipping market. Considering the investor sentiment can make a great effect on the fluctuation of shipping index, and for a better traking result, it is imperative to add the investor sentiment in the traking model. Combining the 5 sentiment indicators of the 50 public shipping companies, which includes shipping market, port and shipbuilding market, we construct the the shiping market sentiment index base on the principal component analysis method.Further more, with the goal of minimum tracking error and maximum excess revenue, we utilize the shipping market sentiment index in the establishment of tracking model, which constrainted by the condition of the avaliable capital, max stock amount and so on. In the different conditions of investor preference, the corresponding optimal results comes out from the genetic algorithm. And by furher applying the tracking model in the shipping stock index, which comes out with a good result, approving the good feasibility of the tracking model.