Cover Image

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;...

Full description

Saved in:
Bibliographic Details
Main Authors: Lee, Chiau Hung, Ibrahim, Adriana Irawati Nur
Format: Conference or Workshop Item
Published: American Institute of Physics Inc. 2024
Subjects:
QA Mathematics
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
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.um.eprints.44954
record_format eprints
spelling my.um.eprints.449542025-02-18T04:56:34Z http://eprints.um.edu.my/44954/ Style investing analysis of Malaysian stock market using Bayesian network Lee, Chiau Hung Ibrahim, Adriana Irawati Nur QA Mathematics 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). American Institute of Physics Inc. 2024 Conference or Workshop Item PeerReviewed Lee, Chiau Hung and Ibrahim, Adriana Irawati Nur (2024) Style investing analysis of Malaysian stock market using Bayesian network. In: 29th National Symposium on Mathematical Sciences, SKSM 2022, 7-8 September 2022, Virtual, Online. https://www.scopus.com/inward/record.uri?eid=2-s2.0-85182577938&doi=10.1063%2f5.0171668&partnerID=40&md5=c4d80621b09242bf0178399f9a24bbfa
institution Universiti Malaya
building UM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaya
content_source UM Research Repository
url_provider http://eprints.um.edu.my/
topic QA Mathematics
spellingShingle QA Mathematics
Lee, Chiau Hung
Ibrahim, Adriana Irawati Nur
Style investing analysis of Malaysian stock market using Bayesian network
description 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).
format Conference or Workshop Item
author Lee, Chiau Hung
Ibrahim, Adriana Irawati Nur
author_facet Lee, Chiau Hung
Ibrahim, Adriana Irawati Nur
author_sort Lee, Chiau Hung
title Style investing analysis of Malaysian stock market using Bayesian network
title_short Style investing analysis of Malaysian stock market using Bayesian network
title_full Style investing analysis of Malaysian stock market using Bayesian network
title_fullStr Style investing analysis of Malaysian stock market using Bayesian network
title_full_unstemmed Style investing analysis of Malaysian stock market using Bayesian network
title_sort style investing analysis of malaysian stock market using bayesian network
publisher American Institute of Physics Inc.
publishDate 2024
url 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
_version_ 1825160598470524928
score 13.239859

Similar Items