外匯市場是全球交易量最大的單一市場，規模比期貨與股票交易市場總和還要大，加上其二十四小時不停營運的特色，外匯市場在國際金融市場上有著舉足輕重的地位。隨著國際金融貿易日趨自由化，各國貨幣的流通亦日趨頻繁，了解貨幣之間的連動性，可以提供投資人在投資、避險等方面做決策參考。 以往相關研究大多以財務計量方法為主，本研究則是運用資料探勘中的關聯性法則，探討各國外幣匯率間連動性，以及與類股指數之間的連動性。首先蒐集外幣匯率指數資料和類股指數資料，並建立資料庫，再以資料探勘技術找尋關聯性規則，以建議投資者進行投資可採用的投資思維。在資料探勘技術中，本研究選擇關聯法則中的Apriori演算法，以最小支持度、最小可靠度與增益值作為門檻值，尋找關聯法則，期望能提供投資人不同的投資思考方向。 研究結果在外幣連動方面，運用投資組合基本原則，歸納出三種投資組合箱，提供投資人在不同的市場行情裡操作參考；在外幣和類股連動方面，由於受金融海嘯影響，類股多呈現跌勢，因此歸納出一組投資組合箱供投資人參考。另外針對外幣連動因素加以探討，發現外幣的連動有區域性、政策性以及外幣本身特性，都會影響外幣之間的連動性。 Foreign exchange market is one of the biggest market in global financial market. The scale of foreign exchange market is bigger than futures market and stock market. One special characteristic of Foreign exchange market is operated twenty four hours a day. It is getting more important to understand comovement of foreign exchange in the situation of financial globalization. The other investors always want to get all kinds of messages to make decisions of investing and look forward to getting profit. Many of the previous researches used financial tools as research ways over the years. This study used the association rule on Taiwan foreign exchange market and stock market. The public data, such as foreign exchange rates and stock indexes, were collected to establish database. Besides, the Apriori algorithm was adopted to look for the association rule. Moreover, the researcher expected the results could offer all investors useful suggestions in the foreign exchange market and stock market. The results of this study could be divided into two blocks, such as the association between international exchange rates in Taiwan and the association between Taiwan stock indexes and exchange rate. Finally, the results of the research may provide an overall reference for investors in the foreign exchange market.
