Stock Clustering Based on Stock Closing Price Movement: For Investor Reference
International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
www.ijsr.net | Most Trusted Research Journal Since Year 2012

ISSN: 2319-7064



Research Paper | Economics | Indonesia | Volume 7 Issue 11, November 2018

Stock Clustering Based on Stock Closing Price Movement: For Investor Reference

Hanik Aulia, Bagus Sartono, Dedi Budiman Hakim

Global financial crisis that happened on 2008 in United States triggered a fluctuation in money market that spread to all over the world. The research aims to determine clustering on stocks with similar behaviour based on stock closing price movement, before and after global crisis period, used for investor reference in term of investment decision making in order to reduce the risk came from the fluctuation. Time Series Clustering method was used to determine the optimal number of cluster based on pattern resulted by time series data. The research showed that the series of stock data formed three cluster based stock closing price movement for both period, before and after 2008 crisis. The dendogram test for both period gave a value for entanglement 0.4, which was close to zero. This value showed that the cluster formed by the series of stock data for period before global crisis had a good alignment with the cluster formed by the series of stock data for period after global crisis. We can conclude that global crisis gave almost similar impact to stocks in the same cluster. Market capitalisation and leverage can be used by investor as general guidance for initial selection of stocks.

Keywords: crisis, stock, cluster, initial selection, time series clustering

Edition: Volume 7 Issue 11, November 2018

Pages: 1785 - 1792

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How to Cite this Article?

Hanik Aulia, Bagus Sartono, Dedi Budiman Hakim, "Stock Clustering Based on Stock Closing Price Movement: For Investor Reference", International Journal of Science and Research (IJSR), https://www.ijsr.net/search_index_results_paperid.php?id=ART20193199, Volume 7 Issue 11, November 2018, 1785 - 1792

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