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Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example

Author

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  • Wen-Rong Jerry Ho

    (Department of Banking & Finance, Chinese Culture University, 55, Hwa-Kang Road, Yang-Ming-Shan, Taipei 111, Taiwan)

  • C. H. Liu

    (Department of Information Management, Kainan University, Luchu Shiang, Taoyuan 338, Taiwan)

  • H. W. Chen

    (Taiwan Cheer Champ Co. Ltd., 11F, 175, Sec. 1, Ta Tung Road, ShiChih, Taipei, Taiwan)

Abstract

This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.

Suggested Citation

  • Wen-Rong Jerry Ho & C. H. Liu & H. W. Chen, 2010. "Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 621-645.
    • Handle: RePEc:wsi:rpbfmp:v:13:y:2010:i:04:n:s0219091510002104
    DOI: 10.1142/S0219091510002104
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    More about this item

    Keywords

    Back-propagation neural network; investment portfolio; sliding window; stock selection strategy;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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