Research On Quantitative Investment Strategies Of China's A-share Market Based On Industrial Chain's Industrial Rotation Phenomenon

With the gradual improvement of the maturity of China's stock market,investors in the market have carried out quantitative analysis of the operation of the stock market.Since Stoval put forward the concept of industry rotation in 1996,the construction of investment strategy based on the law of industry rotation has become an important research hotspot in the field of investment.China's stock market has obvious characteristics of industry rotation.Studying the law of industry rotation has very important role in guiding investors' investment practice.It can not only guide ordinary investors to forecast future dominant industries according to the performance of various industries in the market,but also help institutional investors to construct more effective "top-down" investment from industry to individual stocks.Capital strategy,thus improving the possibility of investors to obtain excess returns.This study uses quantitative analysis method to try to find the law of interaction between industries from the perspective of industrial chain,so as to construct a quantitative investment strategy based on the industry rotation phenomenon of A-share market in China,in order to provide some reference for market investors and relevant researchers.Firstly,this paper introduces the theoretical basis of industry rotation and quantitative investment.Then,through the correlation analysis of the historical market data of A-share market in China,94 groups of industries with significant correlation in monthly market changes are found out,so as to construct the stock selection process of strategy.When the market of industry 1 fluctuates greatly,300 stocks of Shanghai and Shenzhen are selected from industry 2 to join the stock pool,and the strategy is divided into three parts: correlation,maximum position and fluctuation conditions.Surface optimization.Finally,two rounds of complete bull-bear market strategies are selected from China A-share market to measure the annual excess returns of 19% in 2016-2018 and 60.9% in 2012-2015.The innovation of this paper is that most of the industry rotation strategies used by domestic institutional investors are based on the perspective of economic cycle,mainly studying the impact of macroeconomic changes on the industry market,ignoring the links between industries.From the perspective of industry chain,this paper constructs industry rotation strategy by analyzing the law of interaction between industries.This strategy is proved to be effective and provides a new investment method for domestic investors.