Association Rule Mining in Stock Market Analysis: Investigating the Relationship Between Chinese and Other Stock Markets
Keywords:
Association Rule Mining, Stock Market Analysis, Stock Market Relationship, Chinese Stock MarketAbstract
In the current Thai investment landscape, there are proposals for investing in index funds focusing on regional risk diversification, with the Chinese stock market being one of the options. However, there is a lack of empirical evidence regarding the relationship between returns from Chinese stock markets and other markets. THSI research examines the relationship between investment returns from Chinese stock markets and other global stock markets using association rule mining with the FP-Growth algorithm. The analysis uses data from investing.com spanning November 11, 2014, to November 11, 2019, analyzing daily percentage changes of 14 Chinese and global stock indices. The study compares short-, medium-, and long-term trends using Exponential Moving Averages (EMA) with n=10, 25, and 200 respectively, with minimum support of 0.1 and minimum confidence of 0.5. The research finds that in short and medium terms, the Chinese HSI index and Thai SET50 index show strong correlation when indices trend upward. However, no correlation was found in the long term. The conclusion suggests that investing in Chinese stocks under SSEC, SZI, and HSI indices may be more suitable for long-term risk diversification rather than short- and medium-term investment. While SSEC may be more appropriate than SZI, other factors such as returns, and maximum drawdown should also be considered.
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