Trading Decision of Taiwan Stocks with the Help of United States Stock Market.

The paper studies how to improve the trading decision of Taiwan stocks with the information of US stock market. Our method first aligns the trading days between Taiwan and US stock markets. Next, the similarity between the portfolio index (PI, constructed from 100 Taiwan stocks) and one of the US stock indices, the Dow Jones Industrial Average (DJIA), NASDAQ composite index (NASDAQ), or Standard & Poor’s 500 (S&P 500), is computed, respectively. The trading signals of PI or each US stock index are generated by the method of Lee et al. Finally, the consensus signals of PI are determined by the majority vote scheme with the weighted functions, calculated from the similarity.