China's A-share Market Sector Rotation Research On The Effect And Driving Factors

With the continuous development and improvement of China's securities market,in recent years,the phenomenon of industry sector rotation in A-share market has become more and more obvious.In the rapid development of the stock market,how to grasp the law of industry sector rotation,make full use of the macroeconomic impact on the fluctuation of the stock market,invest in industries that are stronger than the overall development of the stock market,and obtain additional returns,has become the focus of investors' attention.Grasping the law of industry sector rotation can discover the hot spot of stock market in time,grasp the opportunity of investment and obtain additional returns.At the same time,it can avoid the risk of individual stocks caused by the overall decline of industry sector.It is helpful to provide effective suggestions to investors,help investors to plan the layout rationally and bring considerable returns.Therefore,it is necessary to study the volatility correlation between different sectors and the influence of different economic factors on the volatility correlation of industry sectors.Firstly,this paper focuses on the three aspects of economic cycle,industry correlation and behavioral finance,and respectively carries out theoretical analysis on the industry rotation effect of A-share market in China.Secondly,it theoretically analyses the driving factors of industry rotation from four aspects: macro-economic factors,micro-market factors,valuation factors and investor 'psychological factors.Thirdly,through the analysis of industry rotation effect of A-share market in China.Based on the analysis of the current situation of block rotation,this paper chooses the industry-related index of Shen yin Wan guo from 2008 to 2018 as the test index of the rotation effect of the industry sector,and uses cluster analysis to test the existence of the rotation effect of the industry sector in A-share market in China.Finally,we use Granger causality test and VAR model analysis to study the important factors such as money supply,CPI index,industry stock price-earnings ratio,turnover rate and investor's psychological factors,and combine the results of previous cluster analysis to test the driving factors of industry plate rotation effect empirically.The results of this paper show that: through cluster analysis,it is found that there are three kinds of industries,namely,periodic,consumer and defensive industries,which are classified according to the different degree of effect of industry plate rotation.Under different economic cycles,there are certain regularities in the rotation of industry plate,thus checking the existence of the rotation effect of industry plate.Granger causality test and VAR model analysis found that in macroeconomic factors,the growth rate of narrow money supply and consumer index had a significant impact on the driving force of cyclical industries;in micro-market factors,index growth rate,growth rate and turnover rate of A-share market had a significant impact on the driving force of cyclical and consumer sectors;in valuation factors,the driving force of cyclical and consumer sectors was significant.It is found that the price-earnings ratio of stocks to some extent affects the rotation of consumer and defensive sectors;from the perspective of behavioral finance,investors psychological factors still have a significant driving effect on the rotation of industry sectors,which verifies that these four types of related factors have an impact on the rotation of industry sectors to a certain extent and are the driving factors of the rotation of industry sectors.Finally,from the perspective of investors and market regulators,this paper puts forward some suggestions for the healthy development of China's A-share market.