教師資料查詢 | 類別: 期刊論文 | 教師: 廖述賢 LIAO SHU-HSIEN (瀏覽個人網頁)

標題:Data mining investigation of co-movements on the Taiwan and China stock markets for future investment portfolio
學年101
學期2
出版(發表)日期2013/04/01
作品名稱Data mining investigation of co-movements on the Taiwan and China stock markets for future investment portfolio
作品名稱(其他語言)
著者Liao, S. H.; Chou, S. Y.
單位淡江大學管理科學學系
出版者Kidlington: Pergamon Press
著錄名稱、卷期、頁數Expert Systems with Applications 40(5), pp.1542–1554
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.
關鍵字Cross-national stock market; Stock market investment portfolio; Co-movements; Data mining; Association rules; Cluster analysis
語言英文(美國)
ISSN0957-4174
期刊性質國外
收錄於SCI
產學合作
通訊作者
審稿制度
國別英國
公開徵稿
出版型式紙本
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