Quantitative Investment Strategy Based On Herding Effect And Momentum Effect-SME Board And Gem

This paper studies the application of quantitative investment strategy based on herding effect and momentum effect in small and medium-sized board and growth enterprise board.From the background and significance of the topic,quantitative investment has gradually become a popular investment strategy after years of development.However,in terms of volume,the domestic quantitative investment market is still in its infancy compared with the mature overseas market.With the government's encouragement of financial innovation and guidance of financial stability,as well as the demand of private capital for long-term stable financial investment products,The importance of quantitative investment will gradually rise,with high research value.From the perspective of research methods and research process,through the elaboration of literature,it is found that herding and momentum are caused by emotional factors and information dissemination,that is to say,the main combination of herding and momentum is emotional factors and information dissemination.According to this,from October 30,2009 to January 1,2015,as a sample,the stocks corresponding to the small and medium-sized board index(399005.Xshe)and the growth enterprise market index(399006.Xshe)are taken as the basic stock pools.This paper designs a quantitative investment strategy based on the herd effect and momentum effect.In this paper,the validity of the combination of CSAD model and RPS model of investment strategy is demonstrated through the forward comparison of 18 momentum and non momentum factors and the reverse comparison of 1 anti herding.Then,this paper adds the panel increase judgment function to the CSAD model to make it send out the trading signal only when the panel has the rise herding effect.At the same time,some modifications are made to the trading function to form a new improvement strategy.By testing it,we find that it has more effective strategic benefits.Next,this paper analyzes the impact of transaction cost and sliding point on the improved investment strategy,and then optimizes the parameters.Finally,we use the improved strategy after parameter optimization to carry out the out of sample test from January 1,2015 to February 17,2020,and obtain certain investment income.The final conclusion of this paper is that the combination of medium-term herding effect and ultra short-term momentum effect can achieve a certain excess return,which is embodied in the judgment function of medium-term herding effect with a time span of 60 days and the judgment function of relative strength of stock price(RPS)based on stock return formed by the closing price of stock in the last two days.In addition,with the short-term average buying and the medium-term average selling as a timing strategy,it can achieve some excess returns.