Using Data Mining Methodology to Build the Predictive Model of Gold Passbook Price
Gold passbook is an investing tool that is especially
suitable for investors to do small investment in the solid gold. The gold
passbook has the lower risk than other ways investing in gold, but its
price is still affected by gold price. However, there are many factors
can cause influences on gold price. Therefore, building a model to
predict the price of gold passbook can both reduce the risk of
investment and increase the benefits. This study investigates the
important factors that influence the gold passbook price, and utilize
the Group Method of Data Handling (GMDH) to build the predictive
model. This method can not only obtain the significant variables but
also perform well in prediction. Finally, the significant variables of
gold passbook price, which can be predicted by GMDH, are US dollar
exchange rate, international petroleum price, unemployment rate,
whole sale price index, rediscount rate, foreign exchange reserves,
misery index, prosperity coincident index and industrial index.
[1] Blose, L. E. and Shieh, J. C. P. "The impact of gold price on the value of
gold mining stock," Review of Financial Economics, 1995, 4, 2, 125 -
139.
[2] Capie, F. Mills, T. C., and Wood, G. "Gold as a hedge against the dollar.
Journal of International Financial Markets," Institutions and Money, 2005,
15, 4, 343-352.
[3] Clinch, G., Whittred, G. and Wood, J. "The impact of Labor-s gold tax on
the stock market," Accounting Research Journal, 1995, 8, 5-14.
[4] Faff, R. and Chan, H. "A multifactor model of gold industry stock
returns: evidence from the Australian equity market," Applied Financial
Economics, 1998, 8, 1, 21-28.
[5] Lawrence, C. "Why is gold different from other assets? An empirical
investigation," The World Gold Council, 2003.
[6] Levin, E. J. and Wright, R. E. "Short-run and long-run determinants of the
price of gold," The World Gold Council, 2006.
[7] McDonald, J. G. and Solnick, B. H. "Valuation and strategy for gold
stocks," The Journal of Portfolio Management, 1977, 3, 3, 2 9-33.
[8] Narayan, P. K., Narayan, S., and Zheng, X.-W. "Gold and oil futures
markets: Are markets efficient?" Applied Energy, 2010, 87, 10,
3299-3303.
[9] Sim, A. B. and Jeffrey, A. "An examination of the pricing of Australian
mining stocks," University of New South Wales, Working Paper, 1991.
[10] Smith, G. "The price of gold and stock price indices for the United
States," The World Gold Council, 2001.
[1] Blose, L. E. and Shieh, J. C. P. "The impact of gold price on the value of
gold mining stock," Review of Financial Economics, 1995, 4, 2, 125 -
139.
[2] Capie, F. Mills, T. C., and Wood, G. "Gold as a hedge against the dollar.
Journal of International Financial Markets," Institutions and Money, 2005,
15, 4, 343-352.
[3] Clinch, G., Whittred, G. and Wood, J. "The impact of Labor-s gold tax on
the stock market," Accounting Research Journal, 1995, 8, 5-14.
[4] Faff, R. and Chan, H. "A multifactor model of gold industry stock
returns: evidence from the Australian equity market," Applied Financial
Economics, 1998, 8, 1, 21-28.
[5] Lawrence, C. "Why is gold different from other assets? An empirical
investigation," The World Gold Council, 2003.
[6] Levin, E. J. and Wright, R. E. "Short-run and long-run determinants of the
price of gold," The World Gold Council, 2006.
[7] McDonald, J. G. and Solnick, B. H. "Valuation and strategy for gold
stocks," The Journal of Portfolio Management, 1977, 3, 3, 2 9-33.
[8] Narayan, P. K., Narayan, S., and Zheng, X.-W. "Gold and oil futures
markets: Are markets efficient?" Applied Energy, 2010, 87, 10,
3299-3303.
[9] Sim, A. B. and Jeffrey, A. "An examination of the pricing of Australian
mining stocks," University of New South Wales, Working Paper, 1991.
[10] Smith, G. "The price of gold and stock price indices for the United
States," The World Gold Council, 2001.
@article{"International Journal of Business, Human and Social Sciences:49606", author = "Chien-Hui Yang and Che-Yang Lin and Ya-Chen Hsu", title = "Using Data Mining Methodology to Build the Predictive Model of Gold Passbook Price", abstract = "Gold passbook is an investing tool that is especially
suitable for investors to do small investment in the solid gold. The gold
passbook has the lower risk than other ways investing in gold, but its
price is still affected by gold price. However, there are many factors
can cause influences on gold price. Therefore, building a model to
predict the price of gold passbook can both reduce the risk of
investment and increase the benefits. This study investigates the
important factors that influence the gold passbook price, and utilize
the Group Method of Data Handling (GMDH) to build the predictive
model. This method can not only obtain the significant variables but
also perform well in prediction. Finally, the significant variables of
gold passbook price, which can be predicted by GMDH, are US dollar
exchange rate, international petroleum price, unemployment rate,
whole sale price index, rediscount rate, foreign exchange reserves,
misery index, prosperity coincident index and industrial index.", keywords = "Gold price, Gold passbook price, Group Method ofData Handling (GMDH), Regression.", volume = "5", number = "2", pages = "103-3", }