Title: Forecasting the stock return of emerging economies: an empirical study based on ARIMA

Authors: Miklesh Prasad Yadav; Aastha Khera

Addresses: Department of Finance, Indian Institute of Foreign Trade, Kakinada, India ' Kurukshetra University, Haryana, India

Abstract: Investors become jittery when they do not earn return on their hard earned money. In the same time, they want to make their investment in safe place rather than losing it. They can predict the return and accordingly they invest it. The basic purpose of the present study is to forecast the stock return of emerging economies. For the same, the adjusted daily closing price of 11 countries is considered for five years. The autoregressive integrated moving average (ARIMA) has been used to forecast the stock return of these countries. The different orders of ARIMA have been applied in predicting the stock return. The stock return of Korea, Philippines and Turkey are not forecastable as their autoregressive and moving terms are zero. The policymakers use it in order to analyse and generate extra return of different countries.

Keywords: emerging countries; stock return; autoregressive integrated moving average; ARIMA; stationarity.

DOI: 10.1504/IJPSPM.2023.131342

International Journal of Public Sector Performance Management, 2023 Vol.11 No.4, pp.451 - 466

Received: 19 Feb 2020
Accepted: 18 May 2020
Published online: 07 Jun 2023 *

Full-text access for editors Full-text access for subscribers Purchase this article Comment on this article