Research on Sector Rotation of China’s A-share Market by using Stock Data

Zhiqi Sun, Wenzheng Li, Ning Jiang, Huan Zhao

2022

Abstract

Taking the data of China’s A-share stocks in 2019 as the research object, this paper analyzes the correlation between the price volatility of different stocks by Spearman correlation coefficient, and finally classifies it by clustering algorithm to determine the real existence of the sector. Use Python to randomly sample stock from each sector, calculate the price increase and decrease, daily rate of return. Weight the stock market value to calculate the daily rate of return of the sector and use it for time series analysis, draw the time series plot to determine the existence of sector rotation.

Paper Citation

in Harvard Style

Sun Z., Li W., Jiang N. and Zhao H. (2022). Research on Sector Rotation of China’s A-share Market by using Stock Data. In Proceedings of the International Conference on Big Data Economy and Digital Management - Volume 1: BDEDM, ISBN 978-989-758-593-7, pages 366-370. DOI: 10.5220/0011178900003440

in Bibtex Style

@conference{bdedm22,
author={Zhiqi Sun and Wenzheng Li and Ning Jiang and Huan Zhao},
title={Research on Sector Rotation of China’s A-share Market by using Stock Data},
booktitle={Proceedings of the International Conference on Big Data Economy and Digital Management - Volume 1: BDEDM,},
year={2022},
pages={366-370},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0011178900003440},
isbn={978-989-758-593-7},
}

in EndNote Style

TY - CONF

JO - Proceedings of the International Conference on Big Data Economy and Digital Management - Volume 1: BDEDM,
TI - Research on Sector Rotation of China’s A-share Market by using Stock Data
SN - 978-989-758-593-7
AU - Sun Z.
AU - Li W.
AU - Jiang N.
AU - Zhao H.
PY - 2022
SP - 366
EP - 370
DO - 10.5220/0011178900003440