TRACING STOCK RETURNS ON QUARTERLY BASIS THE CASE OF KSE 100 INDEX

http://dx.doi.org/10.31703/gssr.2018(III-III).26      10.31703/gssr.2018(III-III).26      Published : Sep 3
Authored by : MustafaAfeef , NazimAli , AdnanKhan

26 Pages : 466-476

References

  • Adebiyi, A., Adewumi, A., & Ayo, C. (2014, March). Stock Price Prediction Using the ARIMA Model. Paper presented at the 2014 UKSim-AMSS 16th International Conference on Computer Modeling and Simulation, Cambridge University, United Kingdom. Retrieved from http://ijssst.info/Vol-15/No-4/data/4923a105.pdf.
  • Asteriou, D., & Hall S. (2007). Applied Econometrics, Revised Edition. Palgrave Macmillan, New York, USA.
  • Banerjee, D. (2014). Forecasting of Indian stock market using the time-series ARIMA model. Paper presented at the 2nd International Conference on Business & Information Management (pp. 131-135). Durgapur, India. IEEE.
  • Box, G., & Jenkins, G. (1970). Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day, California, USA
  • Chatfield, C. (1996). The Analysis of Time Series, 5th ed., Chapman & Hall, New York.
  • Contreras, J., Espinola, R., Nogales, F., & Conejo, A. (2003). ARIMA Models to Predict Nextday Electricity Prices. IEEE Transactions on Power Systems, 18(3), 1014- 1020.
  • Gilbert, K. (2005). An ARIMA Supply Chain Model, Management Science, 51(2), 305-310.
  • Guha, B., &Bandyopadhyay, G. (2016). Gold Price Forecasting using ARIMA Model. Journal of Advanced Management Science, 4(2), 117-121.
  • Gujarati, D., & Porter, D. (2004). Basic Econometrics, Fourth Edition, McGraw-Hill, New York, USA.
  • Hamjah, M. (2014). Rice Production Forecasting in Bangladesh: An Application of Box-Jenkins ARIMA Model. Mathematical Theory and Modeling, 4(4), 1-11.
  • Jadhav, V., Reddy, B., & Gaddi, G. (2017). Application of ARIMA Model for Forecasting Agricultural Prices. Journal of Agricultural Science and Technology, 19(5), 981-992.
  • Manoj, K., & Madhu, A. (2014). An Application of Time Series ARIMA Forecasting Model for Predicting Sugarcane Production in India. Studies in Business and Economics, 9(1), 81-94.
  • Meyler, A., Kenny, G., & Quinn, T. (1998). Forecasting Irish inflation using ARIMA models. Central Bank and Financial Services Authority of Ireland Technical Paper Series, 1998(3), 1-48.
  • Mondal, P., Shit, L., & Goswami, S. (2014). Study of Effectiveness of Time Series Modeling (ARIMA) in Forecasting Stock Prices. International Journal of Computer Science, Engineering and Applications, 4(2), 13- 29.
  • Padhan, P. (2012). Application of ARIMA Model for Forecasting Agricultural Productivity in India. Journal of Agriculture & Social Sciences, 8(2), 50- 56.
  • Raymond Y. (1997). An Application of the ARIMA Model to Real-Estate Prices in Hong Kong. Journal of Property Finance, 8(2), 152-163.

References

  • Adebiyi, A., Adewumi, A., & Ayo, C. (2014, March). Stock Price Prediction Using the ARIMA Model. Paper presented at the 2014 UKSim-AMSS 16th International Conference on Computer Modeling and Simulation, Cambridge University, United Kingdom. Retrieved from http://ijssst.info/Vol-15/No-4/data/4923a105.pdf.
  • Asteriou, D., & Hall S. (2007). Applied Econometrics, Revised Edition. Palgrave Macmillan, New York, USA.
  • Banerjee, D. (2014). Forecasting of Indian stock market using the time-series ARIMA model. Paper presented at the 2nd International Conference on Business & Information Management (pp. 131-135). Durgapur, India. IEEE.
  • Box, G., & Jenkins, G. (1970). Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day, California, USA
  • Chatfield, C. (1996). The Analysis of Time Series, 5th ed., Chapman & Hall, New York.
  • Contreras, J., Espinola, R., Nogales, F., & Conejo, A. (2003). ARIMA Models to Predict Nextday Electricity Prices. IEEE Transactions on Power Systems, 18(3), 1014- 1020.
  • Gilbert, K. (2005). An ARIMA Supply Chain Model, Management Science, 51(2), 305-310.
  • Guha, B., &Bandyopadhyay, G. (2016). Gold Price Forecasting using ARIMA Model. Journal of Advanced Management Science, 4(2), 117-121.
  • Gujarati, D., & Porter, D. (2004). Basic Econometrics, Fourth Edition, McGraw-Hill, New York, USA.
  • Hamjah, M. (2014). Rice Production Forecasting in Bangladesh: An Application of Box-Jenkins ARIMA Model. Mathematical Theory and Modeling, 4(4), 1-11.
  • Jadhav, V., Reddy, B., & Gaddi, G. (2017). Application of ARIMA Model for Forecasting Agricultural Prices. Journal of Agricultural Science and Technology, 19(5), 981-992.
  • Manoj, K., & Madhu, A. (2014). An Application of Time Series ARIMA Forecasting Model for Predicting Sugarcane Production in India. Studies in Business and Economics, 9(1), 81-94.
  • Meyler, A., Kenny, G., & Quinn, T. (1998). Forecasting Irish inflation using ARIMA models. Central Bank and Financial Services Authority of Ireland Technical Paper Series, 1998(3), 1-48.
  • Mondal, P., Shit, L., & Goswami, S. (2014). Study of Effectiveness of Time Series Modeling (ARIMA) in Forecasting Stock Prices. International Journal of Computer Science, Engineering and Applications, 4(2), 13- 29.
  • Padhan, P. (2012). Application of ARIMA Model for Forecasting Agricultural Productivity in India. Journal of Agriculture & Social Sciences, 8(2), 50- 56.
  • Raymond Y. (1997). An Application of the ARIMA Model to Real-Estate Prices in Hong Kong. Journal of Property Finance, 8(2), 152-163.

Cite this article

APA

CHICAGO

    CHICAGO : Afeef, Mustafa, Nazim Ali, and Adnan Khan. 2018. "Tracing Stock Returns on Quarterly Basis: The Case of KSE-100 Index." Global Social Sciences Review, III (III): 466-476 doi: 10.31703/gssr.2018(III-III).26

HARVARD

    HARVARD : AFEEF, M., ALI, N. & KHAN, A. 2018. Tracing Stock Returns on Quarterly Basis: The Case of KSE-100 Index. Global Social Sciences Review, III, 466-476.

MHRA

    MHRA : Afeef, Mustafa, Nazim Ali, and Adnan Khan. 2018. "Tracing Stock Returns on Quarterly Basis: The Case of KSE-100 Index." Global Social Sciences Review, III: 466-476

MLA

    MLA : Afeef, Mustafa, Nazim Ali, and Adnan Khan. "Tracing Stock Returns on Quarterly Basis: The Case of KSE-100 Index." Global Social Sciences Review, III.III (2018): 466-476 Print.

OXFORD

    OXFORD : Afeef, Mustafa, Ali, Nazim, and Khan, Adnan (2018), "Tracing Stock Returns on Quarterly Basis: The Case of KSE-100 Index", Global Social Sciences Review, III (III), 466-476

TURABIAN

    TURABIAN : Afeef, Mustafa, Nazim Ali, and Adnan Khan. "Tracing Stock Returns on Quarterly Basis: The Case of KSE-100 Index." Global Social Sciences Review III, no. III (2018): 466-476. https://doi.org/10.31703/gssr.2018(III-III).26