Classification of selected stocks in Thailand -- using cluster analysis | |
| Author | Marrut Manistitya |
| Call Number | AIT Thesis no.IE-94-19 |
| Subject(s) | Stocks--Thailand Cluster analysis |
| Note | A thesis submitted in a partial fulfillment of the requirement for the degree of Master of Engineering, School of Engineering and Technology |
| Publisher | Asian Institute of Technology |
| Series Statement | Thesis ; no. IE-94-19 |
| Abstract | Among the growth and development of Thai economy, the Stock Exchange of Thailand (SET) plays a significant role in mobilizing capital for various institutes in any industries. SET index becomes the important indicator of Thai economy. Info1mation on stocks is neccessary for investing in SET. One of the beneficial informations is stocks ranking. However, currently there has not been any ranking done by consideling the suitable criteria simultaneously. It can not be done because there are too many stocks in SET. But the correct way to achieve this is to classify stocks into groups and then rank groups of stocks later. This thesis seeks lo obtain groups and rankings using cluster analysis algorithms and complementaiy techniques. This aims to dete1mine distinct classification or grouping of stocks in SET. One hundred selected stocks are used, based on fundamental performance indicators. All variables used are weighed by expert. Euclidean distance has been used as the measure of dissimilarity between stocks. This approach does not require assumptions. Group characteriatics are inferred from the means and use cluster medoids as reference points for measuring between-cluster distances. Group rankings based on . different _criter.ia and ~ifferen~ objectives Vt'.ere obtained using clu_ster analysis and ranking score. The results of analysis suggest that there are 4 distinct groups of stocks, called as best, second best, third best and fourth best performance stocks. The study only uses fundamental analysis, accepting the fact that at times psychological factors do also play an important role in the stock market. |
| Year | 1994 |
| Corresponding Series Added Entry | Asian Institute of Technology. Thesis ; no. IE-94-19 |
| Type | Thesis |
| School | School of Engineering and Technology (SET) |
| Department | Department of Industrial Systems Engineering (DISE) |
| Academic Program/FoS | Industrial Engineering (IE) |
| Chairperson(s) | Tang, John C.S. |
| Examination Committee(s) | Tabucanon, Mario T. ;Paul, Himangshu |
| Scholarship Donor(s) | The Royal Thai Government |
| Degree | Thesis (M.Eng.) - Asian Institute of Technology, 1994 |