Analyzing Taiwan Stock Returns based on Mutual Information

• Main Authors: HIEW KUAN YOONG, 邱君勇
• Other Authors: 陳麗君
• Format: Others
• Language: zh-TW
• Published: 2015
• Online Access: http://ndltd.ncl.edu.tw/handle/87369712505032691295

碩士 === 逢甲大學 === 統計學系統計與精算碩士班 === 103 === This study explores the relationships between stock returns and factors on the Taiwan stock market from January 1984 to December 2013, and uses feature selection based on mutual information criteria to discuss the important factors in different industries of the Taiwan stock market. The results show that the top-2 most important factors for each industry are previous month’s returns and market-risk premium, however, the remaining important factors are distinct in different industries. Furthermore, our selected factors can achieve better prediction results in stock returns.