The Application Of Association Rules In The Rotation Of China's Stock Market Industry

Since the establishment of the Shenzhen stock exchange and the Shanghai stock exchange in 1990,China's stock market has passed for nearly 30 years.With the continuous development of the stock market,more and more industry sectors are involved in the business of listed companies.The change of macroeconomic policy,the development cycle of the industry and the mood of investors will all cause the Wheel dynamic relationship between industries,which will lead to the flow of funds to different industries,and which will lead to the trend of interlocking and fluctuating between industries.Analyzing the relationship between industries can help investors choose new industries to identify new investment opportunities and make effective investment allocation so as to get more excess returns.The core of this paper is to use the Apriori algorithm in association rule analysis to analyze the 28 industries under the shenwan international classification standard from three dimensions of daily,weekly and monthly,so as to get the interrelated industries in28 industries.This article mainly conducts the research from two aspects,on the one hand,selecting the suitable variables and sample.The sample selected in this article is the sample of 28 industries under the Shen Wan international classification standard from June 30,2007 to June 30,2017;The excess rate of return derived from the capital asset pricing model is used as an indicator of analysis.Secondly,it separates the industry with excess return and positive industry,and it is defined as the strong industry and the weak industry.Then we use Apriori algorithm to analyze the association rules of the strong industry and the weak industry respectively.In view of the limited guiding significance of the correlation analysis of daily periodicity to investors,this paper also makes an empirical analysis from the weekly dimension and monthly dimension to the correlation between industries.In the second aspect,this paper combines the reality to analyze the causes and influencing factors of the association between the industries.First of all,it analyzed the reasons from the perspective of information transfer between industries,volatility spillover effects and behavioral finance;and it expounds the influencing factors from the five aspects of national policy,the company's own operation status,technological progress,industry growth cycle and investor's investment idea.Firstly,this paper introduces the research status of the relationship between industries in the stock market,then expounds the basic theory of Apriori algorithm in the association rules,followed by the empirical part of the article,and finally draws the conclusion.The empirical results show that there are obvious industrial linkagephenomena between industries,and there is a two-way symmetry between the linkage between some industries.On the day dimension,the electrical equipment industry,the electronic industry,the chemical industry,the electronic industry,the machinery and equipment industry and the synthesis are two-way symmetric industrial linkage relations.The media industry,the electronics industry and the communication industry are also bidirectional symmetric industrial linkage relations.In the week dimension,the electronic industry,the defense military workers and the machinery and equipment are also the two-way symmetry of the industry linkage.The linkage of the strong industry is significant to the linkage of the disadvantaged industry.The phenomenon of rotation between industries exists in the three dimensions of day,week and month.There are more industries that meet the conditions on the monthly dimension.In these three dimensions,there is not only exist the one-to-one wheel action relationship,but also exist the multi-to-one dynamic relationship.