Establish a Investment Rule for stocks using the Hotelling T2 Multivariate Control Chart
| Autor: | Wu, Hsin-Hsien, 吳信賢 |
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| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 Since the opening of the Taiwan stock market in 1962, the weighted index has stood for 10,000 points for the first time in 1989. In 1990, due to the Persian Gulf War and witness tax, the weighted index of Taiwan stocks fell to 2,500 points. In 2018, the weighted index has reached 10,000 points again. In this case, retail investors must determine the individual stock trading price, often according to the trend chart of stock prices based on the information of individual stocks of foreign holdings and trading volume of individual stock, However, the information contained in the individual stocks of foreign shareholding and trading volume of individual stocks often conflicts with each other, so the investors are confused and are difficult to made trading decision. Therefor the main purpose of this study is to combine the information of the proportion of foreign shareholding of individual stocks by retail investors and the trading volume of individual stock. Using the Hotelling’s multivariate control chart, this study also develops a procedure to determine the optimal trading price for the each individual stock for retail investors. Finally, several Taiwanese stocks are utilized to verify the proposed method is effective. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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