The Research Of Industry Rotation On China A-share Market Based On Association Rules

In recent years,with improving the level of marketization,the stock market maturity has gradually improved,more and more investors begin to quantify the law of the stock market.From Stovall(1996)proposed the relation of economic cycle and industry wheel,Merrill Lynch(2004)put forward the investment clock theory,the law of the industry rotation has gradually become an important research hotspot.For the research of industry rotation rules,most of the domestic scholars are based on their empirical data analysis.These conclusions depend on the different standards of the economic cycle.Therefore,this paper applies the method of association rules in data mining to explore the dynamic characteristics of the various industries since 2000.This paper try to excavate steady law of industry rotation from daily,weekly,monthly,quarterly trading data.This paper mainly solves the following two questions:first,investors can choose which industries to invest at the same time;second,how to infer the performance of industries form the current period of some industries.The result shows that:(1)there is a significant industry linkage phenomenon in the Chinese stock market,which are six major industry sector,such as media-computer-communications,automotive-machinery-national defence,etc.Automotive and machinery are the most suitable to invest at the same time.And different industry linkage sector has different linkage cycle,which the strong cyclical industries,including mining,non-ferrous metals,have a longer cycle.(2)The stock market has a significant industry rotation on short period(daily)and long period(quarterly).There is not only a dynamic model of industry,but also a number of multi industry rules.The confidence of daily rotation rules for media-computer-machinery to electronic reaches 95%.(3)The industries can be divided into four categories:strong cyclical industry,medium cyclical industry,light manufacturing and consumer products industry.The four industry cluster can be formed in turn,and the industry rotation model performs as:strong cyclical industry-medium cyclical industry-light manufacturing/consumer products industry.(4)The industry characteristics in the real economy are the foundation of industry linkage and industry rotation.The irrational behaviors of investors are the main reason for the short-term industry rotation model.This paper combines the actual situation of the Chinese stock market and analyzes the phenomenon of industry rotation from the real economy industry and behavioral finance,and finally the conclusion can guide the investors' investment behavior.