Analysis of correlation in stock market— A case study of TAIEX

• Main Authors: LEE, YU-TING, 李昱廷
• Other Authors: PAI, HUI-MING
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/835cs5

碩士 === 國立臺北大學 === 統計學系 === 105 === Nowadays, we are in the era of rapid development of information technology. Financial transactions are no longer limited to the traditional methods. Instead, we can place orders through computers or smart phones. Therefore, the trading volumes as well as the frequency of transactions are all higher than before. Under the circumstances, investors make their trading decisions by considering current market conditions. Although each investor manages their investments on their own, their decisions are in fact influenced by each other’s. Take the example of the first opening of Millennium Bridge in London, the pace of the people on the bridge were initially inconsistent. But the bridge vibration generated by previous steps caused the following steps more and more unanimous. This induced the bridge swaying server and finally an alert of crashing. Inspired by this example, we investigate the return correlation among stocks at fixed time span. The data is chosen from 2006~2016 Taiwan Economic Journal (TEJ) database. We not only expect to build an index of abnormal correlation among stocks, but also hope the index can provide the prediction of future trend in some sense.