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.
Full text not available from this repository.Abstract
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).
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Funders: | Ministry of Higher Education, Malaysia [Grant no. FP110-2019A, FRGS/1/2019/STG06/UM/02/2] |
| Uncontrolled Keywords: | Investing analysis; Malaysia; Stock market; Bayesian network |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Science > Institute of Mathematical Sciences |
| Depositing User: | Ms. Juhaida Abd Rahim |
| Date Deposited: | 18 Feb 2025 04:56 |
| Last Modified: | 18 Feb 2025 04:56 |
| URI: | http://eprints.um.edu.my/id/eprint/44954 |
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