• DocumentCode
    673008
  • Title

    The Investment Strategies Based on Sector Rotation Effect

  • Author

    Xiaoguang Lu ; Yingli Shen

  • Author_Institution
    Bus. Sch., Hohai Univ., Nanjing, China
  • fYear
    2013
  • fDate
    16-17 Nov. 2013
  • Firstpage
    489
  • Lastpage
    492
  • Abstract
    Based on the Business Cycle Theory and the Efficient Market Hypothesis, this paper proposed the concept of Sector Rotation Effect and Mystrey of Sector Rotation. Further, in order to test the robustness of the sector rotation investment strategy, it conducted some empirical studies in accordance with the data from China´s securities market and the macroeconomic data. Moreover, it adopted Sharpe´s single-index model of Quantile Model to find out significant differences among the periodic fluctuation range in various industries. In addition, it holds the belief that stock market is remarkably featured by Sector Rotation, meanwhile, the investors could take market-timing investment according to the periodic fluctuation range of the stock price.
  • Keywords
    economic cycles; investment; stock markets; China securities market; Sharpe single-index model; business cycle theory; efficient market hypothesis; investment strategies; macroeconomic data; market-timing investment; quantile model; sector rotation effect; sector rotation investment strategy; stock market; stock price periodic fluctuation; Data models; Fluctuations; Indexes; Industries; Investment; Portfolios; Business Cycle; Sector Rotation; Sharpe´s single-index model of Quantile Variance Model;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Information Technology and Applications (ITA), 2013 International Conference on
  • Conference_Location
    Chengdu
  • Print_ISBN
    978-1-4799-2876-7
  • Type

    conf

  • DOI
    10.1109/ITA.2013.119
  • Filename
    6710035