Mining the co-movement in the Taiwan stock funds market
學年 99
學期 2
出版（發表）日期 2011-05-01
作品名稱 Mining the co-movement in the Taiwan stock funds market
作品名稱（其他語言）
著者 Liao, Shu-hsien; Chu, Pei-hui; Teng, Tzu-kang
單位 淡江大學經營決策學系
出版者 Kidlington: Pergamon
著錄名稱、卷期、頁數 Expert Systems With Applications 38(5), pp.5276-5288
摘要 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.
關鍵字 Stock funds; Co-movement; Stock fund portfolio; Data mining; Association rules
語言 en
ISSN 0957-4174
期刊性質 國外
收錄於 SCI EI
產學合作
通訊作者
審稿制度
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/987654321/64934 )

機構典藏連結
SDGS 產業創新與基礎設施