Prediction of stock price developments using the Box-Jenkins method

Groda, Bořivoj; Vrbka, Jaromír

doi:10.1051/shsconf/20173901007

Cited by 11 publications

(9 citation statements)

References 8 publications

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“…EMH is an important concept for financial institutions, individual or business investors and government regulators. An investor's investment long-term plan has impact largely by market efficiency (Vochozka et al, 2020;Groda & Vrbka, 2017;Vrbka & Rowland, 2017). Market efficiency also provides the regulatory steps to be developed, in order to ensure the expansion and controlled management of a state's stock markets (Dsouza & Mallikarjunappa, 2015;Shirvani & Delcoure, 2016).…”

Section: Introductionmentioning

confidence: 99%

Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic

Dias

Teixeira

Machová

et al. 2020

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Research background: Covid-19 has affected the global economy and has had an inevitable impact on capital markets. In the week of February 24?28, 2020, stock markets crashed. The index FTSE 100 decreased 13%, while the indices DJIA and S&P 500 fell 11?12%, the biggest drop since the 2007?2008 financial and economic crisis. It is therefore of interest to test the random walk hypothesis in developed capital markets, European and also non-European, in order to understand the different predictabilities between them. Purpose of the article: The aim is to analyze capital market efficiency, in its weak form, through the stock market indices of Belgium (index BEL 20), France (index CAC 40), Germany (index DAX 30), USA (index DOW JONES), Greece (index FTSE Athex 20), Spain (index IBEX 35), Ireland (index ISEQ), Portugal (index PSI 20) and China (index SSE) for the period from December 2019 to May 2020. Methods: Panel unit root tests of Breitung (2000), Levin et al. (2002) and Hadri (2002) were used to assess the time series stationarity. The test of Clemente et al. (1998) is used to detect structural breaks. The tests for the random walk hypothesis follows the variance ratio methodology proposed by Lo and MacKinlay (1988). Findings & Value added: In general, we found mixed confirmation about the EMH (efficient market hypothesis). Taking into account the conclusions of the rank variance test, the random walk hypothesis was rejected in the case of stock indices: Dow Jones, SSE and PSI 20, partially rejected in the case indices: BEL 20, CAC 40, FTSTE Athex 20 and DEX 30, but accepted for indices: IBEX 35 and ISEQ. The results also show that prices do not fully reflect the information available and that changes in prices are not independent and identically distributed. This situation has consequences for investors, since some returns can be expected, creating opportunities for arbitrage and for abnormal returns, contrary to the assumptions of random walk and information efficiency.

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Section: Introductionmentioning

confidence: 99%

Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic

Dias

Teixeira

Machová

et al. 2020

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show abstract

“…However, this apparently simple model is accompanied by a rather complex dividend policy, combined with a number of arguments and theories. Every company should aim to maintain a stable pay ratio in the long term, and thus manage the competitiveness of the external environment [5][6].…”

Section: Introductionmentioning

confidence: 99%

Application of the classical Payout Ratio Model and determination of the limitations of the Lintner Model demonstrated on the example of Komerční banka, PLC

Machová

Geierova

2021

SHS Web Conf.

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Initial determination of the payout ratio should be an integral part of each company strategy; it is a cornerstone of a long-term operation of any company. The aim of this contribution is to analyse the possibilities of determining the payout ratio of the company using dividend models and to design the most optimal application of the dividend model, and to define the limitations for the application. The data required for the application of the dividend models are obtained from the annual reports of Komerční banka, PLC. for the years of 2006-2018. The obtained data are used to calculate the classical payout ratio model, and subsequently to determine the payout ratio according to the Lintner model. Using the method of comparison, the obtained results for the application of the pay ratio are contrasted. The classic payout ratio model coincided directly with the results of the payout ratios of Komerční banka, PLC. and therefore turned out to be optimal for the application. The Lintner model is considered in literature to be very well functioning. However, this research confirmed that the resulting values of payout ratios after the application of the Lintner model are unacceptable in the long run.

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“…The purpose of predicting the time series of a stock is to create a model that, based on mathematical data, will provide an indicative outline of future developments. Time series can be divided into short-term and long-term ones [7][8]. Short-term periods are shorter than one year.…”

Section: Introductionmentioning

confidence: 99%

An Analysis of the Time Series of the PepsiCo, Inc. (PEP) Share Price and a Prediction of its Development

Kalinová

Tlustý

2021

SHS Web Conf.

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The paper deals with the topic of stock time series and their forecasts. The aim of the paper is to provide a detailed analysis of the time series of PepsiCo, Inc. (PEP) shares and subsequently, to use machine tools to predict its further development. The results of the paper in their first part identify the boundaries of RSI indicators for the oversold or overbought market and moreover, with the help of these indicators, predict further possible development of the time series. Daily share price data from PepsiCo, Inc. from the end of April 2019 to the end of April 2020 are used. Two indicators have been recorded since the beginning of 2020. The first one, recorded at the end of January, recommended the trader to sell the position, and further developments suggest that this step would be correct, as stock values then began to fall sharply. The second indicator was identified at the beginning of March, when the world was shaken by the coronavirus crisis, and this indicator recommended the trader to buy a position. Further developments indicated that this would be the right move, as stock values rose in the following period. Moreover, the moving average method is employed as well. Values are calculated for 50, 100 and 200 days. With this tool, only one recommendation is identified, in March 2020, when the fast moving average intersected both slower moving averages, and the ideal solution was to sell the position, which could be described as the right step with the further development of the time series, because stock values began to fall again after this period.

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Prediction of stock price developments using the Box-Jenkins method

Cited by 11 publications

References 8 publications

Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic

Random walks and market efficiency tests: evidence on US, Chinese and European capital markets within the context of the global Covid-19 pandemic

Application of the classical Payout Ratio Model and determination of the limitations of the Lintner Model demonstrated on the example of Komerční banka, PLC

An Analysis of the Time Series of the PepsiCo, Inc. (PEP) Share Price and a Prediction of its Development

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