Frequent Patterns of Investment Behaviors in Shanghai Stock Market

To analyze the behavior of investors in Shanghai stock market, we mine frequent itemsets and association rules from a real securities clearing dataset. The mining results indicate that, most investors do not diversify their capital to avert risks according to expected risks of a stock. Further analysis reveals that most of the frequent stocks itemsets only cover a few state-owned big-cap (SB) stocks, and the right side of the association rules, both global and constrained, are mostly SB stocks. All these phenomenamake clear a behavioral mode, investors in Shanghai market pursuit SB stocks universally. On the other hand, another group of investors who do not follow the behavior above incline to purchase extremely similar stocks to build their portfolios, whether in the same industry, like banking, energy, materials, and transportation, or in the same category, like ldquospecial treatmentrdquo stocks.