An application of ARIMA model: evidence from selected stocks of export-based countries

Himani Gupta and Miklesh Prasad Yadav

International Journal of Business Excellence, 2025, vol. 37, issue 3, 348-360

Abstract: To make today better than yesterday and tomorrow better than today, investors want to invest in those stocks which generate a lucrative return. They can earn good return if they can predict the stock of their interested stocks. We forecast the stock return of top five export economies to check whether there are opportunities for investment. The select countries considered in the study are China, Germany, Hong Kong, the USA, and Japan. Based on the closing price extending from 2001 to 2020, we check the stationarity and forecast stock return applying ADF and ARIMA models respectively. The result reveals that the stock returns of Hong Kong can be forecasted while the stock return of the rest of the countries cannot. The study concludes that an investor can invest in Hong Kong stock to generate an excess return, but they have to be cautious while investing in the rest of constituent stocks.

Keywords: forecasting; export countries; stock return; autoregressive; moving average. (search for similar items in EconPapers)
Date: 2025
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