期刊論文
| 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 | en_US |
| ISSN | 0957-4174 |
| 期刊性質 | 國外 |
| 收錄於 | SCI |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 是 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | 紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/99928 ) |