Style investing analysis of Malaysian stock market using Bayesian network
The price of a stock is determined by the supply and demand of its shares in the market, which highly depends on the investor sentiment and expectations towards the stock. There are many factors which may affect the investor's view and confidence, hence, causing the fluctuations of stock price;...
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| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Published: |
American Institute of Physics Inc.
2024
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/44954/ https://www.scopus.com/inward/record.uri?eid=2-s2.0-85182577938&doi=10.1063%2f5.0171668&partnerID=40&md5=c4d80621b09242bf0178399f9a24bbfa |
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| Summary: | The price of a stock is determined by the supply and demand of its shares in the market, which highly depends on the investor sentiment and expectations towards the stock. There are many factors which may affect the investor's view and confidence, hence, causing the fluctuations of stock price; macro economy is one of the important factors that affect the stock market behavior. There are several strategies an investor could incorporate in their securities trading. It is called the style of investing; style investing is just a way of classifying securities into different group by some similar characteristics. This study aims to investigate the relationship between macroeconomic indicators and stock returns of different investing styles, i.e. value, growth, momentum and quality. Bayesian network, which can model the dependencies structure of the factors in a graphical manner, is applied to the Malaysian stock market data and several macroeconomic indicators. The result of the model can be used as a decision support tool to assist the investors in formulating their investing strategies. © 2024 Author(s). |
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