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
Link To Document