| In recent years, along with the marketization level of China’s stock marketimproves gradually, the correlation of stock market and the real economy has beenenhanced. It can be regarded thatthe maturity of market and the United States hasbecome increasingly similar. With reference to the experience in the stock market inUS, more and more domestic investors resort to quantitative method to study the stockmarket. Sector rotation has become a heated topic since the investment clock theorywas proposed in2004.By summing up the present research of domestic and foreignindustry, this paper try to study the sector rotation since2000based on thecombination of cluster analysis and wavelet.The results show that Chinese stock market has changed significantlyafter thefinancial crisis. The theory whichwas applicable to Chinese stock market has becomeblurred. Based on this analysis, this article selects the closing price level classificationindex from10October2008to January16,2013as the research database of sectorrotation. By analyzing the results of wavelet, it is found that there exist many cycleswith different frequency among the23industries. The cycle with high frequency isconsistent with the workday cycle and month cycle.Combined with cluster analysis,the author conducts sector rotation research on the daily closing prices of industryindex. It is showed that in the three industries generated by clustering method, onlythe non-ferrous metal, mechanical equipment and commercial trade exhibit stablerelationship.The author finds that the three industrieshave made a significant changeat a turning point around the May in2009. Therefore, it can be assumed that there isan obvious sector rotation among them. |
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