ARIMA Modeling With Intervention to Forecast and Analyze Chinese Stock Prices

In this study, we demonstrate the usefulness of ARIMA‐Intervention time series analysis as both an analytical and forecast tool. The data base for this study is from the PACAP‐CCER China Database developed by the Pacific‐Basin Capital Markets (PACAP) Research Center at the University of Rhode Island (USA) and the SINOFIN Information Service Inc, affiliated with the China Center for Economic Research (CCER) of Peking University (China). These data are recent and not fully explored in any published study. The forecasting analysis indicates the usefulness of the developed model in explaining the rapid decline in the values of the price index of Shanghai A shares during the world economic debacle stating in China in 2008. Explanation of the fit of the model is described using the latest development in statistical validation methods. We note that the use of a simpler technique although parsimonious will not explain the variation properly in predicting daily Chinese stock prices. Furthermore, we infer that the daily stock price index contains an autoregressive component; hence, one can predict stock return

Capital market efficiency and the predictability of daily returns

Studies of the weak form of the capital market efficiency theorem infer that there are no predictable properties of the time series of prices of traded securities on organized markets. We examine the weak form of the efficient markets hypothesis with respect to daily closing prices to indicate evidence that daily closing prices have predictable properties. Furthermore, this study of individual securities prices of traded securities on organized markets corroborates previous findings of studies of stock market indexes both in the United States and in other nations\u27 bourses or stock exchanges. Often, these studies indicated that daily patterns are present in the times series of securities prices. The purpose of this paper is to clarify the existence of time series characteristics of daily stock prices of securities traded on organized exchanges. This study differs from previous studies where the focus was on index numbers of daily stock market prices rather than the actual prices of traded securities in the United States. Furthermore, this study is important because of the weak theory of market efficiency and its application to short-term forecasting of closing prices of traded securities. © 2006 Taylor & Francis

Capital market efficiency and the predictability of daily returns

Studies of the weak form of the capital market efficiency theorem infer that there are no predictable properties of the time series of prices of traded securities on organized markets. We examine the weak form of the efficient markets hypothesis with respect to daily closing prices to indicate evidence that daily closing prices have predictable properties. Furthermore, this study of individual securities prices of traded securities on organized markets corroborates previous findings of studies of stock market indexes both in the United States and in other nations’ bourses or stock exchanges. Often, these studies indicated that daily patterns are present in the times series of securities prices. The purpose of this paper is to clarify the existence of time series characteristics of daily stock prices of securities traded on organized exchanges. This study differs from previous studies where the focus was on index numbers of daily stock market prices rather than the actual prices of traded securities in the United States. Furthermore, this study is important because of the weak theory of market efficiency and its application to short-term forecasting of closing prices of traded securities.

Daily Variation, Capital Market Efficiency and Predicting Stock Market Returns

Studies of capital market efficiency are important because they infer that there are predictable properties of the time series of prices of traded securities on organised markets. We examine the weak form of the efficient markets hypothesis to indicate its usefulness in terms of the results of this study. Furthermore, this study of individual securities prices of traded securities on organised markets corroborate previous findings of studies of stock market indexes both in the United States and for foreign stock exchanges that daily patterns are present in the times series of securities prices. You will note also, that the models identified reflect the closing prices on one day less the closing price on the previous day. In this way, we study returns and not average or closing prices. © 2005, Emerald Group Publishing Limite