Complete Data Set - For mining association rules in Indian Stock Market

The data is contained in the winrar file - 'DataSet-AssociationMining-India.rar' Once you open the above winrar file, you will see the below files & folders: - File: "IndiaData-ForAssociationMining.xlsx" is the primary data retrieved from 'Refinitiv-Datastream' which was used in the project. - Folder-1MetricsGT-NSE50 o This folder has MS-Excel macro files used to create return determinant data to be eventually used in the 'Final-Transaction-Table' from which associations would be mined. o This folder also has computed returns for different holding periods for different stocks considered in this study. File: "0_nYrRtnGTNSE50.xlsm" o This folder also has the 'Final-Sheet' used for mining of association rules. - Folder: 2Analysis-GTNSE50 o This folder has the R-program used to mine associations. It also has the final sheets used in association mining for different holding periods. And the output of the association rules mined is also stored here (File name: RulesRHS_1YrRtnGTNSE50.csv and so on) - Folder: 3Validation o This folder has data related to the validation carried out in the project. It has 2 sub-folders: § 1-MetricsForValidation: This folder has excel-macro files to compute the metrics required in the Final-Table for validation of the association rules. § 2-BetaCalc-PortRtns: This folder has the Final transaction sheet which will be later used to compute portfolio beta and portfolio returns for each association rule. This also has the computation of portfolio beta & portfolio returns for each of the 10 association rules analyzed in this paper. - Folder: 4LogitRegression o This folder has the 'R' program used to carry out Logit regression and different model consistency test. It also has the input file for the Logit regression (Filename: India-LogitRegression-csv.csv) o The sub-folder 'Regression_OP' has the output of Logit regression for all association rules for different holding periods.