An Empirical Study On The Phenomenon Of Industry Sector A-share Market Rotation

Since the end of the twentieth century,empirical research of sector rotation law in the securities market has always been received great attention,browse through previous research literature,and focus on fund company that appeared on the market over the years,will find industry wheel dynamic phenomenon has largely in institutional investors or small private equity firms are concerned,and the securities market of our country actually there is such a rule.Both in the theory field,and applied to the process of practice,can be found on the industry in the research of phenomenon of wheel,or even as a subject or an aspect in the field of investment research,then,with the continuous development of the securities market itself,investigations of the securities market are more subdivided into the field,including the progress of the research methods,the use of research tools is growing,as a niche in the securities market research,namely the industry in the research of phenomenon of wheel also constantly added new content.Along with our country economic development,and constantly deepen the reform of the capital market,in the capital market of our country’s institutional investors and individual investment scale is continually expanding,for the institutional investors,in order to reduce investment risk,not to invest in configuration is only focused on individual stocks,but will separate investment,try to keep the steady investment style,at this point,on the industry sector investment becomes more critical.Our country is also since 2003 established the first domestic funds on industry,also set up the fund Campbell consumer goods industry,it also marks the fund industry of our country domestic about began.Since then,the domestic about industry fund is also have mushroomed,increasing,the relative to the domestic market in our country,there are still a lot of room to grow.This article has four chapters,the first chapter is introduction,first,the chapter introduce domestic and overseas sector rotation law research.Second and then summarizes the phenomenon of sector rotation in domestic capital market.Third,introduced the research of this paper,the research content,the innovation and deficiency.The last is the frame structure of the article.The second chapter is about theoretical analysis,and introduces Merrill Lynch Investment Clock,China’s Economic Cycle Theory in detail,through the analysis of existing theory,to explain the reasons of sector rotation,and behind the analysis methods presented in this paper,including correlation analysis and cluster analysis,through the correlation analysis for a later chapter to understand whether the correlation between different industries index,its related degree,the correlation coefficient under different market background will change,and then from the size of the correlation coefficient of whether we can find some laws of sector rotation,statistical clustering analysis method for different periods of industry sector rotation in classifying performance,and then analyzed in detail.The third chapter is the A-share market of the characteristics of the industry sector rotation in fact,is the empirical analysis content of this article,first of all,the sample interval differentiate different market background,and then on this basis from various industries interval size,industry index yields correlation and cluster analysis of industry of industry classification perspective rotation in law,at the same time,the industry to A-shares sector rotation dynamic phenomenon further analysis from the angle of the economic cycle.The fifth chapter is the conclusion and prospect,this chapter mainly introduced in this paper,the conclusion,and relevant conclusions can get some advice.The fourth chapter is this article conclusion section,it is concluded that the front of research and analysis of research conclusion,then there is an option to look for the future and the possible research direction to forecast.Through this paper for the research of phenomenon of industry sector rotation,get the following conclusions:(1)A-stock market in our country industry sector rotation phenomenon is indeed exist,and rotation in effect and relevant market development trend,relatively rotation effect under the rising stage is more obvious than falling under the stage;(2)Through cluster analysis of statistics will be 28 all primary industry is divided into five types,classes and get strong cycle consumer industry sector rotation effect is obvious,and the cycle and light industrial sectors of wheel is not obvious,but in some special time appeared to be specific;(3)The cumulative yield average correlation coefficient larger industry,mainly concentrated in the middle and lower reaches of industry,its rotation effect is relatively not very obvious,and the average correlation coefficient smaller industry,often can get out of the independent market,the industry is given priority to with periodic sectors,such as the wheel dynamic phenomenon is more obvious;Under the background of different market changes in the average correlation coefficient is larger rotation dynamic phenomenon is also evident in the industry.(4)Under the background of Chinese A-share market in different market sectors wheel dynamic phenomenon in general can be applied to Merrill Lynch Investment Clock to explain,however the explanation is not particularly good.This article possible innovation points are:the existing research on industry sector rotation has the default A-share industry sector rotation law exists,and is based on " Merrill Lynch Investment Clock " directly on the basis of further research and analysis,at the same time,the domestic research industry sector rotation theory factors are mostly qualitative analysis,seldom involves the quantitative analysis,and the innovation point of this article is based on the different stages of a-share market sectors in different performance for comparison and analysis.At the same time this article through to the domestic various stages of the industry in our country performance to verify whether Merrill Lynch Investment Clock theory in our country securities market is feasible.