Stock Market Price Forecasting Using the Arima Model: an Application to Istanbul, Turkiye
Because of its critical position in open economies and its extremely high volatility, the stock market price index has been a popular subject of market research. In modern financial markets, traders and practitioners have had trouble predicting the stock market price index. In order to solve this pr...
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| Format: | Article |
| Language: | English |
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Istanbul University Press
2022-07-01
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| Series: | İktisat Politikası Araştırmaları Dergisi |
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| Online Access: | https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/DC13D74042F14ACBB80D44E891562063 |
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| _version_ | 1850035100779020288 |
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| author | Tamerlan Mashadihasanli |
| author_facet | Tamerlan Mashadihasanli |
| author_sort | Tamerlan Mashadihasanli |
| collection | DOAJ |
| description | Because of its critical position in open economies and its extremely high volatility, the stock market price index has been a popular subject of market research. In modern financial markets, traders and practitioners have had trouble predicting the stock market price index. In order to solve this problem, some methods have been researched by researchers and suitable methods have been found. To analyze and forecast monthly stock market price index, a variety of statistical and econometric models are extensively used. Thus, this study aims to investigate the application of autoregressive integrated moving averages (ARIMA) for forecasting monthly stock market price index in Istanbul for the period from 2009- M01 to 2021-M03. As compared to all other tentative models, the research showed that the ARIMA (3,1,5) model is the best fit model for predicting the stock market price index. Forecasting is conducted by using the developed model ARIMA (3,1,5) and the results indicated that the forecasted values are very similar to the actual ones, reducing forecast errors. In general, the stock market price index in Istanbul; showed a downwards trend over the forecasted period. The results of the study can set an example for researchers and practitioners working in the stock market and can be a guide for economic decision units and investors in the stock market. |
| format | Article |
| id | doaj-art-88e34783fd0f4af19bda4dae63147083 |
| institution | DOAJ |
| issn | 2148-3876 |
| language | English |
| publishDate | 2022-07-01 |
| publisher | Istanbul University Press |
| record_format | Article |
| series | İktisat Politikası Araştırmaları Dergisi |
| spelling | doaj-art-88e34783fd0f4af19bda4dae631470832025-08-20T02:57:35ZengIstanbul University Pressİktisat Politikası Araştırmaları Dergisi2148-38762022-07-019243945410.26650/JEPR1056771123456Stock Market Price Forecasting Using the Arima Model: an Application to Istanbul, TurkiyeTamerlan Mashadihasanli0https://orcid.org/0000-0002-8186-8420İstanbul Üniversitesi, İstanbul, TürkiyeBecause of its critical position in open economies and its extremely high volatility, the stock market price index has been a popular subject of market research. In modern financial markets, traders and practitioners have had trouble predicting the stock market price index. In order to solve this problem, some methods have been researched by researchers and suitable methods have been found. To analyze and forecast monthly stock market price index, a variety of statistical and econometric models are extensively used. Thus, this study aims to investigate the application of autoregressive integrated moving averages (ARIMA) for forecasting monthly stock market price index in Istanbul for the period from 2009- M01 to 2021-M03. As compared to all other tentative models, the research showed that the ARIMA (3,1,5) model is the best fit model for predicting the stock market price index. Forecasting is conducted by using the developed model ARIMA (3,1,5) and the results indicated that the forecasted values are very similar to the actual ones, reducing forecast errors. In general, the stock market price index in Istanbul; showed a downwards trend over the forecasted period. The results of the study can set an example for researchers and practitioners working in the stock market and can be a guide for economic decision units and investors in the stock market.https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/DC13D74042F14ACBB80D44E891562063arimaforecastingstock market price indextime seriesturkiye |
| spellingShingle | Tamerlan Mashadihasanli Stock Market Price Forecasting Using the Arima Model: an Application to Istanbul, Turkiye İktisat Politikası Araştırmaları Dergisi arima forecasting stock market price index time series turkiye |
| title | Stock Market Price Forecasting Using the Arima Model: an Application to Istanbul, Turkiye |
| title_full | Stock Market Price Forecasting Using the Arima Model: an Application to Istanbul, Turkiye |
| title_fullStr | Stock Market Price Forecasting Using the Arima Model: an Application to Istanbul, Turkiye |
| title_full_unstemmed | Stock Market Price Forecasting Using the Arima Model: an Application to Istanbul, Turkiye |
| title_short | Stock Market Price Forecasting Using the Arima Model: an Application to Istanbul, Turkiye |
| title_sort | stock market price forecasting using the arima model an application to istanbul turkiye |
| topic | arima forecasting stock market price index time series turkiye |
| url | https://cdn.istanbul.edu.tr/file/JTA6CLJ8T5/DC13D74042F14ACBB80D44E891562063 |
| work_keys_str_mv | AT tamerlanmashadihasanli stockmarketpriceforecastingusingthearimamodelanapplicationtoistanbulturkiye |