Data driven modeling of co‐movement among international stock market

Abstract

Purpose

The aim of this paper is to research the correlation using artificial intelligent tools among international stock markets issuing for the companies.

Design/methodology/approach

The objective is to find out the correlation among markets so it can be used for trend prediction. The stock price data from various companies that have issued stock in different countries were used to produce analysis for predictive purposes. Various artificial intelligent tools were used and the predictive performance among them compared.

Findings

The finding is that the predictive results when using one market to predict another is above 50 percent and higher, which is much better than random walk.

Research limitations/implications

The limitations are that only the raw market data are worked on, but there are many factors that could affect the short‐term trend of a stock.

Practical implications

This could benefit traders who are interested in trading international issuing stock by taking advantage of markets' different time zones.

Originality/value

The approach provides a methodology approach to predict the moving trend of a stock among international markets.

Citation

Tseng, C. (2007), "Data driven modeling of co‐movement among international stock market", Journal of Modelling in Management, Vol. 2 No. 3, pp. 195-207. https://doi.org/10.1108/17465660710834426