【作者】 吴天雷；

【导师】 鲁政委；

【作者基本信息】 上海交通大学 ， 工商管理， 2012， 硕士

【摘要】 有关经济周期理论和资本市场板块轮动，西方有过比较多的研究，其中包括著名的美林投资时钟理论，Jeffrey Stangl的板块轮动理论等等。西方的学界和金融业界都试图寻找到经济周期运行的规律原理，以及在经济周期理论的大框架下资本市场运行的规律。在资本市场中，很多的投资者也尝试着依靠这种规律来打败市场，获得超额收益。本文介绍了目前著名的几种经济周期和板块轮动的理论，并选取了美林投资时钟作为分析框架，以一种更具有实战性和操作性的方法，划分了中国过去自2000年以来的经济周期阶段，统计了各个经济周期阶段中资本市场的表现情况，找寻到一定的运行规律。同时，本文通过这种规律来构建了一套行之有效的交易策略，在资本市场中取得了非常良好的超额收益。更多还原

【Abstract】 In west, there are already many studies and research on the businesscycle and sector rotation in the stock market, which include the famousinvestment clock and Jeffrey Stangl’s sector rotation theory. The academicand industry are both eager to find the rule and principle that dominates thebusiness cycle, and the rule that dominates the stock market in specific phaseof business cycle. The article introduces some of the popular business cycleand sector rotation theories and chooses the Merrill Lynch’s investment clockto analyze china’s business cycle in the last decade. The article uses specificdimension and more practical way to identify china’s business cycle,analyzes the performance of China stock market in each specific phase in thebusiness cycle and reaches the rule applicable to China stock market.Meanwhile, the article builds up a feasible trading strategy under the rule ofsector rotation in china stock market, which beats the market successfully.更多还原