Mining the co-movement in the Taiwan stock funds market

被引：3
|
作者：
Liao, Shu-hsien [1 ]
Chu, Pei-hui [2 ]
Teng, Tzu-kang [1 ]
机构：
[1] Tamkang Univ, Dept Management Sci & Decis Making, Taipei 251, Taiwan
[2] Natl Taipei Coll Business, Dept Informat Management, Taipei 10051, Taiwan
来源：
EXPERT SYSTEMS WITH APPLICATIONS | 2011年 / 38卷 / 05期
关键词：
Stock funds; Co-movement; Stock fund portfolio; Data mining; Association rules; RETURNS; ASSOCIATION;
D O I：
10.1016/j.eswa.2010.10.030
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
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. (C) 2010 Elsevier Ltd. All rights reserved.
引用
收藏
页码：5276 / 5288
页数：13
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