The Investment Strategies Based on Sector Rotation Effect

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.