Abstract:

In order to accurately grasp the sector rotation rules of China’s stock market, the sector rotation phenomenon is explored by using the Aprior algorithm of association rules, to get strong association rules among stock exchange data from daily, weekly and monthly time dimensionsThe investment strategy based on the association rules has clearly outperformed the market levelThe association rules can help investors to find industry rules and investment opportunities, carry out the industry portfolio allocation and avoid market risks

Key words:  association rules, sector linkage, sector rotation, investment strategy