Identifying reaction of stock price to public information based on fuzzy c-means clustering

摘要

The efficient markets hypothesis (EMH) maintains that market prices fully reflect all available information such as public or private information. Therefore, the study of analyzing the reaction of stock price to the information has attracted more and more attention. Here we proposed an effective measuring method using fuzzy c-means (FCM) for describing the reaction to public information, and further analyzing and quantifying the intensity. Taking the deposit reserve rate, a kind of typical public information, as an example, the clustering results show that there are there prominent characters of reaction in Shanghai A-share market. Furthermore, the empirical results indicate that the clustering technique has a good effect in classifying the intensity of reaction of stock market to public information.