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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/64934


    Title: Mining the co-movement in the Taiwan stock funds market
    Authors: Liao, Shu-hsien;Chu, Pei-hui;Teng, Tzu-kang
    Contributors: 淡江大學經營決策學系
    Keywords: Stock funds;Co-movement;Stock fund portfolio;Data mining;Association rules
    Date: 2011-05
    Issue Date: 2011-10-20 16:11:44 (UTC+8)
    Publisher: Kidlington: Pergamon
    Abstract: Mutual funds are an essential tool for investors looking to diversify their investments. Facing various mutual funds, it is necessary to evaluate their performances. This study uses association rules to understand the relationships among various mutual funds. First, equity funds are categorized into high, medium and low risk levels. This study then evaluates the co-movement among funds within the same risk level and among funds across different risk levels. This study concludes that within any given risk level, the performances of at least seven funds exhibit strong co-movement. This study also shows the influence of the global economy on the correlations among different funds. Finally, investment recommendations are provided based on the findings.
    Relation: Expert Systems With Applications 38(5), pp.5276-5288
    DOI: 10.1016/j.eswa.2010.10.030
    Appears in Collections:[管理科學學系暨研究所] 期刊論文

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