Capturing Movements and Making Predictions for Bank' Stocks-An Investigation Via Box-Jenkins Approach

Mudassar Hasan, Muhammad Yasir Rafiq, Muhammad Ishfaq Ahmad

Research output: Contribution to conferencePaperpeer-review

Abstract

Bank stocks have been considered to be lucrative equity investments in Karachi Stock Exchange (KSE), Pakistan, over the recent period. Therefore, investors are interested in making prediction about their future prices so that the objective of wealth maximization can be achieved. This brought the motivation for selecting five big banks (known as Big Five) for the purpose of predicting their stock prices. The date of stock prices for selected banks has been collected over a decade from official website of KSE. For the purpose of prediction, well known Box-Jenkins technique has been applied. After identification, estimation, and application of various diagnostic checks, ARIMA (1,1,0) was found to be suitable for prediction of stock of ABL, HBL and MCB; on the other hand, ARIMA (1,1,1) was found to be appropriate for BOP and UBL stocks’ prediction. The study is highly significant to help investors decide which bank they should consider for investment thereby making their expected returns realize.
Original languageEnglish
Publication statusPublished - 16 Nov 2015
Externally publishedYes
Event5th International Interdisciplinary Business-Economics Advancements Conference - Ft. Lauderdale, United States
Duration: 16 Nov 201521 Nov 2015
Conference number: 5th
https://iibaconference.org/previous-conferences/5th-iiba-november-2015-florida-usa/

Conference

Conference5th International Interdisciplinary Business-Economics Advancements Conference
Country/TerritoryUnited States
CityFt. Lauderdale
Period16/11/1521/11/15
Internet address

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