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ThinkMind // DATA ANALYTICS 2014, The Third International Conference on Data Analytics // View article data_analytics_2014_3_10_60071


Co-movement of European Stock Markets based on Association Rule Mining

Authors:
Youqin Pan
Yong Hu
Elizabeth Haran
Saverio Manago

Keywords: co-movement; association rules; stock index; co-integration

Abstract:
Due to the fluctuation and complexity of the stock market, it is challenging to capture its non-stationary property and describe its moving tendency. Moreover, globalization increases the interdependence among countries. It is important for investors to understand the co-movement of international stock markets in order to make informed decisions which lead to profit. With the huge amount of data generated by the stock markets, researchers started to explore this problem using different approaches. In this paper, we apply one of the data mining techniques, namely, association rules, to illustrate knowledge patterns and rules of European stock markets. Especially, this paper investigates the co-movement of the European stock market indices with the leading global stock indices. This study shows a strong co-movement between stock market indices of Germany and Unitied Kingdom. Moreover, the European stock markets seem to have strong co-movement with the US stock market. Their co-movement with the Brazil seems to be also strong. However, Brazil stock index does not assume the dominant role, as the US stock index does. This study also shows that there is a weak relationship between European and Japanese stock markets.

Pages: 54 to 58

Copyright: Copyright (c) IARIA, 2014

Publication date: August 24, 2014

Published in: conference

ISSN: 2308-4464

ISBN: 978-1-61208-358-2

Location: Rome, Italy

Dates: from August 24, 2014 to August 28, 2013

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