股市行业板块轮动效应与宏观经济驱动的研究

Research on the Rotation Effect of Stock Market Sector and the Drive of Macro Economy

首先,本文研究了板块是否存在轮动效应。将研究期间2008年至2018年分为9个阶段,并选取申银万国一级行业相关指数运用聚类分析法对我国A股市场行业板块轮动效应进行存在性检验。其次,在板块轮动效应的基础上,研究宏观经济对行业板块效应的驱动影响。本文利用格兰杰因果检验并建立VAR模型得出结论:农林牧渔等消费型行业受周期变动影响较大,而医药生物这类防御型行业受宏观经济驱动影响较小,有时甚至逆周期,所以可以验证宏观经济一定程度上使得这两类行业板块有了轮动现象。最后,基于行业板块的轮动效应,给予了投资者一些投资建议。

Firstly, this paper studies whether there is rotation effect in plates.This paper divides the re-search period from 2008 to 2018 into 9 stages, and selects shenyin wanguo first-level industry-related index to test the existence of the rotation effect of the industry sector in Chinese A-share market by cluster analy-sis.Secondly, on the basis of the plate rotation effect, the driving influence of macro economy on the indus-try plate effect is studied.Through granger causality test results and the VAR model,we can conclude that A-griculture & Farming and other consumer industries are greatly influenced by cyclical change, and this kind of defensive medicine creatures industry affected by macroeconomic drive smaller, sometimes even reverse cycle,so you can validate the macro economy to some extent makes the two types of industry groups have the wheel dy-namic phenomenon.At the end of this paper, some investment suggestions are given to investors based on the ro-tation effect of industry sectors.