APPLICATION OF MULTIVARIATE ANALYSIS ON THE SINGAPORE'S STOCK DATA
YEE PENG FEI
YEE PENG FEI
Citations
Altmetric:
Alternative Title
Abstract
This study looked at the use of multivariate analysis
on the Singapore's stock market. The techniques used are:
1) Hotelling T2 test
2) Discriminant analysis
3) Principal components analysis and
4) Factor analysis.
It is hoped that this cross-sectional study will
provide a complementary tool to the already numerous amount
of time series analyses done on the stock market.
The focus was mainly on the comparison between trustee
and non-trustee stocks. A total of eleven variables from 94
listed companies incorporated in Singapore were used. We
found that there was a significant difference in the vector
means of the variables between trustee and non-trustee
stocks. Statistical discrimination between these two kinds
of stocks was good: 74.60% and 83.87% of trustee and non-trustee
stocks respectively were classified correctly.
The analysis of the structure of the stock data as a
whole gave meaningful and useful interpretations to the
components retained. In the case of analysing only trustee
stocks, we also obtained good results. However, the same
cannot be said for non-trustee stocks.
All in all, the application of multivariate techniques
on the Singapore's stock data had provided much insights to
the understanding of the stock pricing mechanism of the
Singapore's stock market.
Keywords
Source Title
Publisher
Series/Report No.
Collections
Rights
Date
1992
DOI
Type
Thesis