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Stock selection based on cluster analysis

Author

Listed:
  • Sergio Da Silva

    (Department of Economics, Federal University of Santa Catarina)

  • Jefferson Cunha

    (Department of Economics, Federal University of Santa Catarina)

  • Newton Da Costa, Jr

    (Department of Economics, Federal University of Santa Catarina)

Abstract

We put forward a technique based on cluster analysis to group stocks in spot markets according to a risk-return criterion. We show how an informed investor will make money using the cluster analysis to select stocks of major companies from North and South America.

Suggested Citation

  • Sergio Da Silva & Jefferson Cunha & Newton Da Costa, Jr, 2005. "Stock selection based on cluster analysis," Economics Bulletin, AccessEcon, vol. 13(1), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-05m20001
    as

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    File URL: http://www.accessecon.com/pubs/EB/2005/Volume13/EB-05M20001A.pdf
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    References listed on IDEAS

    as
    1. Sergio Da Silva & Paulo Ceretta & Silvia Nunes & Newton Da Costa, Jr, 2005. "Stockmarket comovements revisited," Economics Bulletin, AccessEcon, vol. 7(3), pages 1-9.
    2. repec:ebl:ecbull:v:7:y:2005:i:3:p:1-9 is not listed on IDEAS
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    Citations

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    Cited by:

    1. Luca De Angelis, 2013. "Latent class models for financial data analysis: some statistical developments," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(2), pages 227-242, June.
    2. Bilgehan Tekin & Fatih Burak Gümüs, 2017. "The Classification of Stocks with Basic Financial Indicators: An Application of Cluster Analysis on the BIST 100 Index," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 7(5), pages 104-131, May.
    3. F. Lisi & E. Otranto, 2008. "Clustering Mutual Funds by Return and Risk Levels," Working Paper CRENoS 200813, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.

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    More about this item

    JEL classification:

    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics
    • G1 - Financial Economics - - General Financial Markets

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