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 language | English |
---|---|
Publication status | Published - 16 Nov 2015 |
Externally published | Yes |
Event | 5th International Interdisciplinary Business-Economics Advancements Conference - Ft. Lauderdale, United States Duration: 16 Nov 2015 → 21 Nov 2015 Conference number: 5th https://iibaconference.org/previous-conferences/5th-iiba-november-2015-florida-usa/ |
Conference
Conference | 5th International Interdisciplinary Business-Economics Advancements Conference |
---|---|
Country/Territory | United States |
City | Ft. Lauderdale |
Period | 16/11/15 → 21/11/15 |
Internet address |
Keywords
- residuals
- ACF
- PACF
- ARIMA