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The Granger causality analysis of stocks based on clustering

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Abstract

In the research of the relationship between stocks, people tend to focus more on using the domestic or foreign indices to study the inter-national, inter-regional and inter-industry relations, but few people analyze and tap the connection between individual stocks directly. However, for investors, they are more willing to focus on individual stocks. Therefore, this paper selects part of the Shanghai A shares randomly and classifies the stocks to four sorts by K-means clustering to find the stocks which are similar in patterns. With the help of the Granger causality, the interrelationship of individual stocks by the rate of return are considered. The results show that there is one-way Granger causality between stocks which are similar in pattern, even though the two stocks do not belong to the same industry. This conclusion can give the stock market investors a certain decision support.

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Authors and Affiliations

  1. School of Humanities and Economic Management, China University of Geosciences, Beijing, China

    Siyu Bai, Wei Cui & Long Zhang

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  1. Siyu Bai
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  2. Wei Cui
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  3. Long Zhang
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Correspondence to Long Zhang.

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Bai, S., Cui, W. & Zhang, L. The Granger causality analysis of stocks based on clustering. Cluster Comput 22 (Suppl 6), 14311–14316 (2019). https://doi.org/10.1007/s10586-018-2290-0

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  • DOI: https://doi.org/10.1007/s10586-018-2290-0

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