文章基本信息

标题：Technical analysis testing in forecasting socially responsible investment index in indonesia stock exchange
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作者：Dolly Parlagutan Pulungan ; Sugeng Wahyudi ; Suharnomo Suharnomo 等
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2018
卷号：15
期号：4
页码：135-143
DOI：10.21511/imfi.15(4).2018.11
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：This study aims to examine whether the Autoregressive Integrated Moving Average (ARIMA)model is appropriate to be applied in the Indonesia Stock Exchange,especially for the socially resposible investment stocks.For the ARIMA model combines the autoregressive and moving average method,so it is viewed as a useful tool to pre?dict the stock prices.Those methods are frequently used methods to forecast the stock prices.The data used in this study were daily SRI-KEHATI Index during the period of June 8,2009 to July 17,2017.The results showed that the daily SRI-KEHATI Index data were not stationary data,thus this data needed to be transformed.The transfor?mation was done by using the first seasonal differencing transformation process.After being transformed,those data became stationary.Furthermore,this study found that ARIMA(3,1,1)was a model,which might be appropriate and fit with the data condi?tion.This method was also relevant to be applied in the Indonesia Stock Exchange in order to forecast the stock prices.
关键词：Autoregressive Integrated Moving Average(ARIMA);SRI-KEHATI Index;Indonesia Stock Exchange(IDX);technical analysis;estimation