A - Share Market Industry Allocation Strategy

The stock asset pricing has been one of the major subjects of financial studies; stock asset allocation is the focus of the study. From the trend of the globalizing of sector configuring, we can see that comparing sector configuring to other factors like scale and area, sector configuring is really important to investment in stock asset, and the studies in sector configuring in our country has just launched.Capital asset pricing model is the modern theory of the stock of asset pricing and it has considered asset allocation, but its only considerations, including the risks and benefits of the stock price, due to China’s A-share market has not reached the theoretical semi-strong form efficient market, and a lot of literatures pointed out the A-share market has entered a weakly efficient market stage, thus only as pricing theory research very concerned about the risks and benefits of the stock price itself meaningful, but in guiding investors stock investment is somewhat pale and weak, therefore we need to find the key factors for the stock pricing outside of the stock price movement.First, under the framework of the theory of general equilibrium, consider several variables of actual consumption, actual production and the actual currency as key factors in the introduction of the capital asset pricing model for stock asset pricing. After the expansion of the capital asset pricing model, the actual consumption, actual production and the actual currency to replace the base model in the market portfolio to become a model key pricing factors, stock assets yield a linear relationship with the key pricing factors, The coefficient is the risk of stock market assets for the macroeconomic factors. Theoretical model based on the A-share market data empirical got several major result of the following:1. Because our economy is exports and investment oriented, consumption does not become a key factor in the asset pricing factors, because the stock yields are not sensitive to consumption.2. Fluctuations of stock returns in China for the production activities have very significant sensitivity, when production activities tend to frequent, stock returns tend to rise and when production activities tend to decline, the stock yields fall. We can grasp the investment opportunities in the trend due to the production as a key factor in stock pricing, because if we can determine which economic period we are in, we can determine how the production activity moves.3. Currency in the A-share pricing is very significant, and its role in a certain extent, beyond the production cycle role.Second, the general OLS regression parameters may be biased is not conducive to the estimation of sensitivity of industries’return to the fluxion of macro key factors (monetary, production and prices). Comparison of the sensitivity and divided, this paper introduces time-varying parameter model of macro-key factor sensitivity estimate based on using time-varying parameter model is still able to get above three conclusions.Again, the different sectors according to the time-varying parameter model for the sensitivity analysis of the macro key factors (monetary, production and prices), the industry index performance is for the macro-environment will react differently, typical of industries such as resource industries for the production and currency are very sensitive to the food and beverage industry is more sensitive to price. Macroeconomic environment will make different reaction due to the different industries, the basis for judging the macroeconomic environment changes; will be able to make recommendations of sector allocation.Finally, through the division of the production cycle (divided into depression, recovery, overheat, recession) to determine production, currency and price changes in different production cycle. Macroeconomic where different economic cycles, you can predict the trend of production, monetary and price of several key pricing factors, thereby guiding the investors to make the right sector allocation judge.