Profitability of current investments in stock indexes

Jiří Kučera (), Eva Kalinová () and Lenka Divoká ()
Additional contact information
Jiří Kučera: Institute of Technology and Business in České Budějovice, Czech Republic
Eva Kalinová: Institute of Technology and Business in České Budějovice, Czech Republic
Lenka Divoká: University of Žilina, Slovakia

Entrepreneurship and Sustainability Issues, 2022, vol. 10, issue 1, 420-434

Abstract: Investing in stock indexes has become an integral part of financial portfolios. Fearing the loss of savings value, households move their financial reserves into stocks, bonds and stock indexes; the latest concerns the subject of this article. The article focuses on determining the best method of forecasting the prices of stock indexes, S&P 500 and NASDAQ Composite, comparing the Simple moving average (SMA) technique with the Autoregressive integrated moving average (ARIMA) model based on free software RStudio. We formulated two plausible hypotheses: Which of these two methods - SMA or ARIMA - is more accurate for predicting the prices of selected stock indexes in the last thirty years? How will the price of the selected stock indexes develop according to the better of the suggested method through 2022? The ARIMA model indicated better results, proving great ability to forecast both indexes through 2022. The method determined the NASDAQ Composite stock index value to be 16,115.75 USD per stock through 31.12.2022, whereas S&P 500 index saw the value of 5,025.86 USD per stock through the same date. The follow-up research should deal with forecasting different stock indexes and comparing other conventional techniques for predicting time series. The subsequent study may also compare methods’ forecasting accuracy between stock indexes and independent companies, whose stock volatility could favour different forecasting approaches.

Keywords: forecasting; ARIMA model; moving averages; stock indexes; return on investments (search for similar items in EconPapers)
JEL-codes: G11 G17 G22 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://jssidoi.org/jesi/uploads/articles/37/Kucer ... in_stock_indexes.pdf (application/pdf)
https://jssidoi.org/jesi/article/1004 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ssi:jouesi:v:10:y:2022:i:1:p:420-434

DOI: 10.9770/jesi.2022.10.1(23)

Access Statistics for this article

Entrepreneurship and Sustainability Issues is currently edited by Manuela Tvaronaviciene

More articles in Entrepreneurship and Sustainability Issues from VsI Entrepreneurship and Sustainability Center
Bibliographic data for series maintained by Manuela Tvaronaviciene ().