Predicting The Risk of Investing in Stocks Using Box-Jenkins Models
DOI:
https://doi.org/10.36322/jksc.v1i69.11945Keywords:
Equity investment, risk, Saudi financial marketAbstract
This study sought the possibility of predicting the return on the shares of companies listed in the financial markets. The study was conducted in a number of institutions listed on the Saudi Stock Exchange. The study sample included (5) companies listed in the Saudi Stock Exchange, and daily views of the closing prices of the shares of the institutions were taken for the study sample for the period (2013-2021).The study started from a problem that most investors suffer from in the financial markets, which is the state of uncertainty or the inability to predict the risk of securities, which is still controversial in terms of the number of models used and the many methods of technical analysis, as well as it is one of the important topics to rationalize investors in making the optimal investment decision .Hence, the study sought to achieve a number of goals, the most prominent of which was the application of prediction models for (Box-Jenkins) for time series and knowledge of the best model that can be applied to predict stock risks, as well as assisting investors in making the best investment decision by removing or reducing uncertainty in the future.
For the purpose of achieving the objectives of the study, major hypotheses were formulated based on the study problem, and data were extracted and tested, and appropriate models were reached using the (Excel) and the (Gretl) statistical program. The study reached a set of conclusions, perhaps the most important of which is that the (Box-Jenkins) models are able to predict the data series of the study variable (R) in the Saudi Stock Exchange after making the data series stable in relation to the arithmetic mean and variance. Then the study concluded with a set of recommendations, the most important of which is urging investors to rely on the models that have been reached to predict the risk to help them make the optimal investment decision and develop future plans that will maximize the value of their investment portfolios.
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اولا: المصادر العربية
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