| Macro-economic development is a cyclical fluctuations, as the classic definition by Burns and Mitchell, the economic cycle is based on the volatility of a country’s overall economic activity, consisting of expansion, recession, contraction and recovery of many economic activities at the same time. The recovery is a prelude to the next round of cycle expansion, the order of this change happens repeatedly, rather than in stage. With the periodic fluctuation of economy, GDP growth rate, inflation, fixed assets investment, money supply, interest rates and other macroeconomic indicators also presents the cyclical change, and through the impact of company management affect stock market. The main of fluctuation analysis in macro-economic cycle is to grasp the macro environment and the overall trend of securities investment, and not recommend specific investment company for investors. Besides the study of the relationship between the macro-economic fluctuation and the volatility of the listed companies’stock price does not have the universal significance of the investment, so we need to find the elements of the connection between macroeconomic volatility and the listed companies. Industry economy is an integral part of macroeconomic, which the sum of the industry economic activities. And each industry includes many companies. The listed companies in capital marked can be divided into different industry. Industry economic activities between macroeconomic activities and microeconomic activities are the bridge that connected the price volatility of listed companies’stock and macroeconomic fluctuations. For this reason, scholars and research institutions begin to divided the economic cycle into different stages to study the performance in each stage of the industry, and discover some laws. In the practices, emerging a lot of funds that invest according the sector rotation. According to the Investment Company Institute, new cash flows to sector funds account for20%of new cash flows to all equity funds. The number of sector exchange traded funds has also seen incredible growth from less than10in1998to over180in2008with a total net asset value in these ETFs over50billion USD.According to the macroeconomic cycle occurs repeatedly, configuring the different industries at different stages in the theory and practice is based on evidence. The premise of the research is needed to divide the time of China’s economic cycle and the four stages of the it, as well as to classify the listed companies. In this paper, from January1991to September2009, according to the GDP quarter growth rate, divided into3economic cycles, the first is from January1991to December1999, the second is from January2000to December2008,the third is from January2009to now, each cycle time is about9years or so, which is in line with the Zhu Glasgow cycle. After using the four-stage model of Schumpeterian economic cycle,the division method of the U.S. National Institute of Economic Research and Merrill Lynch, with GDP growth rate and the price index, we divided the cycle into recovery and prosperity, recession, depression, the boom phase contains97months, the recession phase of39months, depression phase consists of66months, the recovery phase of47months, reflects the asymmetry of the economic cycle. There are many industry classification method, considered both the scientific and available get of data, I use Classification Benchmark that published by ShenYin&WanGuo Research Institute of the Industry, and consider some of the industry’s peculiarities. I divided listed companies into26sectors at last.Study the relationship between economic cycle and the industry returns, we first analyzes the monthly cumulative yield performance of the industry under the three economic cycles, and then in the four stages. The study found either in each business cycle, or in the four stages, there is a big difference between the industry returns, and the performance is often better than market, so invested in sector rotation when the economic stage changes could obtain excess returns; and we found the performance of the industry return is associated with various stages of the characteristics of the economic cycle, but at the same time is also affected by the prevailing economic situation, the impact of industrial policy. So based on the empirical results, if the investor change the sector in each round of the economic cycle, can select special equipment, chemical, pharmaceutical and biotech, real estate, business and trade industry, and it is best not to choose the transportation, information services industry; if investors located asset according to the four stages of the economic cycle, in line of economic recovery-prosperity-recession-depression cycle, the best choice is:machinery and equipment, ferrous metals, information equipment, automotive equipment, utilities, real estate, non-ferrous metals, mining, chemicals, non-automotive equipment, electronics industry-commercial trade, special equipment, automotive equipment, integrated, computer equipment, medicine, biology, electronics, real estate--light manufacturing, medical and biological, commerce and trade, textiles and clothing, agriculture, forestry, animal husbandry and fishery--household appliances, information services, utilities, food and beverage, pharmaceutical biotechnology, information equipment.Efficient portfolio is not only pursuit the income, you also need to consider the size of the risk, so if we both consider the rate of return and volatility, in accordance with the recovery-and prosperity-recession-depression in the order, the result suggest the best choose is followed by machinery and equipment, information equipment, utilities---commercial trade, automotive equipment, real estate, computer equipment, medicine, biology, electronics, chemicals---light manufacturing, electronics, chemical industry, commerce and trade, medicine, biology, textile clothing, agriculture, forestry, animal husbandry and fishery agriculture, forestry, animal husbandry, fisheries, textiles and clothing.In the early time of the capital market, the volatility of each industry is broaden, and as time goes on, it is decreased. Each cycle and stage, the industry return are subject to cyclical changes in macroeconomic variables. This indicates that China’s capital market reflects the state of development of the real economy in some extent, and the capital market is growing more maturity and perfection. |
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