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- W2888970335 abstract "Abstract The paper studies how to improve the trading decision of Taiwan stocks with the information of US stock market. Our method first aligns the trading days between Taiwan and US stock markets. Next, the similarity between the portfolio index (PI, constructed from 100 Taiwan stocks) and one of the US stock indices, the Dow Jones Industrial Average (DJIA), NASDAQ composite index (NASDAQ), or Standard & Poor’s 500 (S&P 500), is computed, respectively. The trading signals of PI or each US stock index are generated by the method of Lee et al. Finally, the consensus signals of PI are determined by the majority vote scheme with the weighted functions, calculated from the similarity. The testing period of PI starts from 2000/1/4 to 2017/12/29, totally 4480 days. As the experimental results show, the index combination (PI, DJIA, NASDAQ) with the weighted function W(4) is considered to be the best combination for trading PI. Its average annualized return (cumulative return) achieves 15.03% (1170.42%), which is better than the method of Lee et al. 13.88% (947.65%), and the buy-and-hold strategy 9.85% (442.90%)." @default.
- W2888970335 created "2018-09-07" @default.
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- W2888970335 date "2018-01-01" @default.
- W2888970335 modified "2023-09-27" @default.
- W2888970335 title "Trading Decision of Taiwan Stocks with the Help of United States Stock Market" @default.
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- W2888970335 doi "https://doi.org/10.1016/j.procs.2018.07.212" @default.
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