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In this paper, we present a new method to forecast the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) using fuzzy time series and automatically generated weights of multiple factors. The proposed method uses the variation magnitudes of adjacent historical data to generate fuzzy variation groups of the main factor (i.e., the TAIEX) and the elementary secondary factors (i.e., the Dow Jones, the NASDAQ and the M1B), respectively. Based on the variation magnitudes of the main factor TAIEX and the elementary secondary factors of a particular trading day, it constructs the occurrence vector of the main factor and the occurrence vectors of the elementary secondary factors on the trading day, respectively. By calculating the correlation coefficients between the numerical data series of the main factor and the numerical data series of each elementary secondary factor, respectively, it calculates the relevance degree between the forecasted variation of the main factor and the forecasted variation of each elementary secondary factor. Based on the correlation coefficients between the numerical data series of the main factor and the numerical data series of each elementary secondary factor on a trading day, it automatically generates the weights of the occurrence vector of the main factor and the occurrence vector of each elementary secondary factor on the trading day, respectively. Then, it calculates the forecasted variation of the main factor and the forecasted variation of each elementary secondary factor on the trading day, respectively, to obtain the final forecasted variation on the trading day. Finally, based on the closing index of the TAIEX on the trading day and the final forecasted variation on the trading day, it generates the forecasted value of the next trading day. The experimental results show that the proposed method outperforms the existing methods. [ABSTRACT FROM PUBLISHER]