A Study Of Industry Rotation In Chinese Stock Market Based On Association Rules

In the securities market,since the stock price will be affected by various uncertain factors,the stock price often seems to be in an irregular state.For investors,it is simpler and there is also a theoretical basis for selecting stock according to industry.This article is to study the industry rotation phenomenon in the Chinese stock market.In the empirical process,the data samples are selected from the wind database for the closing price of various industry indices in China's A-share market during the decade from January 1,2009 to December 31,2018.The cycle time selects day,week,month,and quarter.Using the Shenwan International First Class Industry Classification Standard in the wind database,a total of 28 industries are obtained,and the Apriori algorithm in the association rules of data mining technology is used for research.In addition,this paper will explore the cycle of linkage rules between industries,and then study and explore the one-to-one relationship and the many-to-one relationship of rotation between industries in order to get more accurate conclusions.The result shows that there is a strong linkage relationship in the stock exchange market,and the linkage rules are more significant when the time period is month and quarter.In the one-to-one rotation rule between the industries,the credibility of the industry's rising rotation rules are still significantly higher than the credibility of the industry's falling rotation rules.In the process of researching,Automobile,Computer,Machinery and Equipment,Light Industry Manufacturing,Non-ferrous Metals and Pharmaceutical Biology are highly reliable signals for analyzing trends in other industries.In order to investigate the practicability of the conclusion,this paper uses the daily closing price of the public equipment and transportation industry index from January 1,2015 to March 1,2019 to construct a strategy,and the yield is higher than the Market Return Rate.Besides,in order to get meaningful conclusions,the research of experts and scholars is comprehensively summarized,and the results are analyzed to study the internal mechanism behind the phenomenon.