Data mining investigation of co-movements on the Taiwan and China stock markets for future investment portfolio

doi:10.1016/j.eswa.2012.08.075

淡江大學機構典藏 > 商管學院 > 管理科學學系暨研究所 > 期刊論文 > Item 987654321/99928

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題名:	Data mining investigation of co-movements on the Taiwan and China stock markets for future investment portfolio
作者:	Liao, S. H.;Chou, S. Y.
貢獻者:	淡江大學管理科學學系
關鍵詞:	Cross-national stock market;Stock market investment portfolio;Co-movements;Data mining;Association rules;Cluster analysis
日期:	2013-04
上傳時間:	2015-01-14 11:55:30 (UTC+8)
出版者:	Kidlington: Pergamon Press
摘要:	On June 29, 2010, Taiwan signed an Economic Cooperation Framework Agreement (ECFA) with China as a major step to open markets between Taiwan and China. Thus, the ECFA will contribute by creating a closer relationship between China and Taiwan through economic and market interactions. Co-movements of the world’s national financial market indexes are a popular research topic in the finance literature. Some studies examine the co-movements and the benefits of international financial market portfolio diversification/integration and economic performance. Thus, this study investigates the co-movement in the Taiwan and China (Hong Kong) stock markets under the ECFA using a data mining approach, including association rules and clustering analysis. Thirty categories of stock indexes are implemented as decision variables to observe the behavior of stock index associations during the periods of ECFA implementation. Patterns, rules, and clusters of data mining results are discussed for future stock market investment portfolio.
關聯:	Expert Systems with Applications 40(5), pp.1542–1554
DOI:	10.1016/j.eswa.2012.08.075
顯示於類別:	[管理科學學系暨研究所] 期刊論文

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