Transmission Mechanism Among Industries Of Chinese A-Share Market

In China's A share market, the industry rotation phenomenon is quite obvious, especially between strong periodic sector and non-periodic sector (mainly consumption related). In this paper, we try to find the order of such kind of rotation and utilize that.At first, we calculate the weekly historical excess returns of all the industries from 2000 to 2009, then test the relations among industrie via Granger Casuality Theory. After that we utilize VAR model to get expressions of each sector according to the previous relationship. Then we move on to test the accuracy of these results and construct strategies based on them.From the empirical results, we find that the relationship among sectors might indeed exist, alothough sometimes such kind of relations is not so visible or can be theoritically explained. Besides, the empirical results might be helpful to some extent, especially in forecasting dramatic positive or negative excess returns specifically.