Impact of stock market indices and raw material prices on the yield movements of Caterpillar company securities
The goal of this paper is to examine the effect of selected stock market indices and the market prices of chosen raw materials on the movement of future daily returns of Caterpillar's shares. Historical data on stock returns and other relevant factors can be utilized to build statistical models...
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| Format: | Article |
| Language: | English |
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Visoka poslovna škola strukovnih studija Prof. dr Radomir Bojković, Kruševac
2024-01-01
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| Series: | Trendovi u Poslovanju |
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| Online Access: | https://scindeks-clanci.ceon.rs/data/pdf/2334-816X/2024/2334-816X2402009P.pdf |
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| author | Petrović Nevena Novićević-Čečević Bojana Krstajić Goran |
| author_facet | Petrović Nevena Novićević-Čečević Bojana Krstajić Goran |
| author_sort | Petrović Nevena |
| collection | DOAJ |
| description | The goal of this paper is to examine the effect of selected stock market indices and the market prices of chosen raw materials on the movement of future daily returns of Caterpillar's shares. Historical data on stock returns and other relevant factors can be utilized to build statistical models for forecasting future market movements. Daily time-series data were collected from Yahoo finance for a five-year period. In this study, we use multiple linear regression to predict the returns of CAT shares. The model results can be analyzed to identify patterns, trends, and insights that may be useful for forecasting. The results show that the prediction accuracy of the proposed model, with four additional predictors, is 13.3% higher than the benchmark model, which only used the SPY market index (SPDR S&P 500 ETF) to explain the variability in CAT stock returns. The research confirmed that, in addition to the SPY market index, the performance of the PKB (Invesco Dynamic Building and Construction ETF) fund, as well as the prices of copper, steel, and aluminium have a statistically significant impact on the movement of CAT stock returns. The practical implication of this study is that investors, when deciding whether to invest in CAT shares, must consider not only systematic factors but also the performance of shares within its supply chain. The implication highlights the importance of analyzing Caterpillar's entire business system when making investment decisions. Such predictions contribute to a better understanding of the characteristics that enable optimal aggregation of information and efficient price determination. They also assist investors in selecting an investment strategy aligned with their objectives |
| format | Article |
| id | doaj-art-10fb414ff50c474b95c83cd2e13c686c |
| institution | Kabale University |
| issn | 2334-816X 2334-8356 |
| language | English |
| publishDate | 2024-01-01 |
| publisher | Visoka poslovna škola strukovnih studija Prof. dr Radomir Bojković, Kruševac |
| record_format | Article |
| series | Trendovi u Poslovanju |
| spelling | doaj-art-10fb414ff50c474b95c83cd2e13c686c2025-02-10T19:38:25ZengVisoka poslovna škola strukovnih studija Prof. dr Radomir Bojković, KruševacTrendovi u Poslovanju2334-816X2334-83562024-01-0112292510.5937/trendpos2402009P2334-816X2402009PImpact of stock market indices and raw material prices on the yield movements of Caterpillar company securitiesPetrović Nevena0https://orcid.org/0009-0000-3489-8806Novićević-Čečević Bojana1https://orcid.org/0000-0002-4269-0586Krstajić Goran2https://orcid.org/0009-0000-0222-0742Ekonomski fakultet, Kragujevac, SerbiaEkonomski fakultet, Niš, SerbiaUniverzitet Privredna akademija, Fakultet organizacionih studija, Eduka, Beograd, SerbiaThe goal of this paper is to examine the effect of selected stock market indices and the market prices of chosen raw materials on the movement of future daily returns of Caterpillar's shares. Historical data on stock returns and other relevant factors can be utilized to build statistical models for forecasting future market movements. Daily time-series data were collected from Yahoo finance for a five-year period. In this study, we use multiple linear regression to predict the returns of CAT shares. The model results can be analyzed to identify patterns, trends, and insights that may be useful for forecasting. The results show that the prediction accuracy of the proposed model, with four additional predictors, is 13.3% higher than the benchmark model, which only used the SPY market index (SPDR S&P 500 ETF) to explain the variability in CAT stock returns. The research confirmed that, in addition to the SPY market index, the performance of the PKB (Invesco Dynamic Building and Construction ETF) fund, as well as the prices of copper, steel, and aluminium have a statistically significant impact on the movement of CAT stock returns. The practical implication of this study is that investors, when deciding whether to invest in CAT shares, must consider not only systematic factors but also the performance of shares within its supply chain. The implication highlights the importance of analyzing Caterpillar's entire business system when making investment decisions. Such predictions contribute to a better understanding of the characteristics that enable optimal aggregation of information and efficient price determination. They also assist investors in selecting an investment strategy aligned with their objectiveshttps://scindeks-clanci.ceon.rs/data/pdf/2334-816X/2024/2334-816X2402009P.pdfforecasting future returnsmultiple linear regressionyahoo financespycaterpillar |
| spellingShingle | Petrović Nevena Novićević-Čečević Bojana Krstajić Goran Impact of stock market indices and raw material prices on the yield movements of Caterpillar company securities Trendovi u Poslovanju forecasting future returns multiple linear regression yahoo finance spy caterpillar |
| title | Impact of stock market indices and raw material prices on the yield movements of Caterpillar company securities |
| title_full | Impact of stock market indices and raw material prices on the yield movements of Caterpillar company securities |
| title_fullStr | Impact of stock market indices and raw material prices on the yield movements of Caterpillar company securities |
| title_full_unstemmed | Impact of stock market indices and raw material prices on the yield movements of Caterpillar company securities |
| title_short | Impact of stock market indices and raw material prices on the yield movements of Caterpillar company securities |
| title_sort | impact of stock market indices and raw material prices on the yield movements of caterpillar company securities |
| topic | forecasting future returns multiple linear regression yahoo finance spy caterpillar |
| url | https://scindeks-clanci.ceon.rs/data/pdf/2334-816X/2024/2334-816X2402009P.pdf |
| work_keys_str_mv | AT petrovicnevena impactofstockmarketindicesandrawmaterialpricesontheyieldmovementsofcaterpillarcompanysecurities AT noviceviccecevicbojana impactofstockmarketindicesandrawmaterialpricesontheyieldmovementsofcaterpillarcompanysecurities AT krstajicgoran impactofstockmarketindicesandrawmaterialpricesontheyieldmovementsofcaterpillarcompanysecurities |