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WILL THE STOCK MARKET INDEX UPSURGE OR DEFLATE MAKING CALCULATED PREDICTIONS USING THE UNIVARIATE AUTOREGRESSIVE INTEGRATED MOVING AVERAGE TECHNIQUE

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28 Pages : 413-426

http://dx.doi.org/10.31703/gssr.2018(III-IV).28      10.31703/gssr.2018(III-IV).28      Published : Dec 4

Will the Stock Market Index Upsurge or Deflate? Making Calculated Predictions Using the Univariate Autoregressive Integrated Moving Average Technique

Abstract

    Movements in a stock market index may safely be considered one of the mostwatched out phenomena by investors in almost every economy. One method to forecast the index is to study all those external factors that directly affect it. Another way, however, is to base ones predictions on the past behavior of the variable of interest. This paper has employed the method described latter and has, therefore, made use of the ARIMA modeling. In this connection, the daily stock market index data of the Karachi Stock Exchange 100 index was taken for twenty years from 1997 to 2017 which translated into 4940 observations. The study revealed that the model was decently efficient in forecasting the KSE 100 Index, though only for the short-range. The upshot of this study may be utilized specifically by short term investors in deciding on when, and when not, to invest in the stock market.

    Box-Jenkins Methodology, ARIMA, KSE 100 Index, Prediction, Stationarity, Time Series

    (1) Mustafa Afeef
    Assistant Professor,Department of Management Sciences, Islamia College Peshawar, KP, Pakistan.
    (2) Nazim Ali
    Assistant Professor, Department of Management Studies, University of Malakand, KP, Pakistan.
    (3) Adnan Khan
    Lecturer,Department of Management Studies,University of Malakand, KP, Pakistan.
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Cite this article

APA

    APA : Afeef, M., Ali, N., & Khan, A. (2018). Will the Stock Market Index Upsurge or Deflate? Making Calculated Predictions Using the Univariate Autoregressive Integrated Moving Average Technique. Global Social Sciences Review, III(IV), 413-426. https://doi.org/10.31703/gssr.2018(III-IV).28

CHICAGO

    CHICAGO : Afeef, Mustafa, Nazim Ali, and Adnan Khan. 2018. "Will the Stock Market Index Upsurge or Deflate? Making Calculated Predictions Using the Univariate Autoregressive Integrated Moving Average Technique." Global Social Sciences Review, III (IV): 413-426 doi: 10.31703/gssr.2018(III-IV).28

HARVARD

    HARVARD : AFEEF, M., ALI, N. & KHAN, A. 2018. Will the Stock Market Index Upsurge or Deflate? Making Calculated Predictions Using the Univariate Autoregressive Integrated Moving Average Technique. Global Social Sciences Review, III, 413-426.

MHRA

    MHRA : Afeef, Mustafa, Nazim Ali, and Adnan Khan. 2018. "Will the Stock Market Index Upsurge or Deflate? Making Calculated Predictions Using the Univariate Autoregressive Integrated Moving Average Technique." Global Social Sciences Review, III: 413-426

MLA

    MLA : Afeef, Mustafa, Nazim Ali, and Adnan Khan. "Will the Stock Market Index Upsurge or Deflate? Making Calculated Predictions Using the Univariate Autoregressive Integrated Moving Average Technique." Global Social Sciences Review, III.IV (2018): 413-426 Print.

OXFORD

    OXFORD : Afeef, Mustafa, Ali, Nazim, and Khan, Adnan (2018), "Will the Stock Market Index Upsurge or Deflate? Making Calculated Predictions Using the Univariate Autoregressive Integrated Moving Average Technique", Global Social Sciences Review, III (IV), 413-426

TURABIAN

    TURABIAN : Afeef, Mustafa, Nazim Ali, and Adnan Khan. "Will the Stock Market Index Upsurge or Deflate? Making Calculated Predictions Using the Univariate Autoregressive Integrated Moving Average Technique." Global Social Sciences Review III, no. IV (2018): 413-426. https://doi.org/10.31703/gssr.2018(III-IV).28