資料探勘應用於ECFA對兩岸股票市場指數連動性之研究

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Title:	資料探勘應用於ECFA對兩岸股票市場指數連動性之研究
Other Titles:	The study of data mining approach investigates the co-movement on Taiwan and China stock market after economic cooperation framework agreement (ECFA)
Authors:	周繕緣;Chou, Shan-Yuan
Contributors:	淡江大學管理科學研究所碩士班廖述賢;Liao, Shu-Hsien
Keywords:	資料探勘;股票市場;關聯法則;連動性;Stock Market;data mining;association rule;co-movement
Date:	2011
Issue Date:	2011-12-28 18:17:27 (UTC+8)
Abstract:	現今區域經濟發展與資訊網路發達的趨勢下，如有重大資訊，一定會快速傳遞到各股票市場，而海峽兩岸經濟貿易架構協定(Economic Cooperative Framework Agreement, ECFA）之簽訂，可能會加速兩岸股票市場的整合。股票市場是一國經濟的櫥窗，投資人皆期待能在股票市場(Stock market)中獲利。因此，如何利用公開的資料，轉換為對投資有用的資訊，是所有投資者所追求的目標。關於股票市場連動性(co-movement)之研究，以往學者多以建構財務計量模型來衡量，而本研究運用資料探勘中的關聯法則(Association Rule)技術，探討台灣集中市場各類股之關聯性以及兩岸股票市場之關聯性。本研究選擇關聯法則中的Apriori演算法，以支持度、可靠度與增益值最為門檻，尋找有用之規則。為投資者提供有別於過去既有的方法，希望可以提供投資人在佈局兩岸股票市場時，能更充分了解兩岸股票市場地的關聯脈動，以提供投資人作為股市投資決策的參考。 The wave of economic regional integration and network leads into the significant information being quickly passed, and the Stock of Greater China regions market will probably accelerate the integration. Investors always want to get all kinds of messages to make decisions of investing and look forward to getting profit. Their final target is to pursue how to transfer the public data into useful information.Many of previous researches used financial tools as research ways over the year. This study used the association rule on Taiwan centralization stock market and co-movement of ECFA(Economic Cooperative Framework Agreement) on the stock market index of Greater China regions. The technology of data mining was used to find association rule. Moreover, the researcher expected the results could offer all investors useful suggestions in the stock market. The results of this study could be divided into several blocks, such as stock indexes in Taiwan centralization stock market, the association between Taiwan industries index and China stock index. Finally, the results of the research may provide an reference for investors in the stock market.
Appears in Collections:	[Department of Management Sciences] Thesis

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