Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange
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 vi...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2018-11-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11144/imfi_2018_04_Pulungan.pdf |
| _version_ | 1826906913069072384 |
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| author | Dolly Parlagutan Pulungan Sugeng Wahyudi Suharnomo Suharnomo Harjum Muharam |
| author_facet | Dolly Parlagutan Pulungan Sugeng Wahyudi Suharnomo Suharnomo Harjum Muharam |
| author_sort | Dolly Parlagutan Pulungan |
| collection | DOAJ |
| description | 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 predict 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 transformation 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 condition. This method was also relevant to be applied in the Indonesia Stock Exchange in order to forecast the stock prices. |
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| id | doaj.art-6fa5200765d5428a810a4506441a63c5 |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2025-02-17T08:55:51Z |
| publishDate | 2018-11-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-6fa5200765d5428a810a4506441a63c52025-01-02T18:44:50ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582018-11-0115413514310.21511/imfi.15(4).2018.1111144Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock ExchangeDolly Parlagutan Pulungan0Sugeng Wahyudi1Suharnomo Suharnomo2Harjum Muharam3Doctoral Program in Economics (Ph.D. Student), Faculty of Economics and Business, Universitas Diponegoro Professor, Faculty of Economics and Business, Universitas DiponegoroPh.D., Dean, Faculty of Economics and Business, Universitas DiponegoroPh.D., Head of Management Department, Faculty of Economics and Business, Universitas DiponegoroThis 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 predict 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 transformation 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 condition. This method was also relevant to be applied in the Indonesia Stock Exchange in order to forecast the stock prices.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11144/imfi_2018_04_Pulungan.pdfAutoregressive Integrated Moving Average (ARIMA)estimationIndonesia Stock Exchange (IDX)SRI-KEHATI Indextechnical analysis |
| spellingShingle | Dolly Parlagutan Pulungan Sugeng Wahyudi Suharnomo Suharnomo Harjum Muharam Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange Investment Management & Financial Innovations Autoregressive Integrated Moving Average (ARIMA) estimation Indonesia Stock Exchange (IDX) SRI-KEHATI Index technical analysis |
| title | Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange |
| title_full | Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange |
| title_fullStr | Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange |
| title_full_unstemmed | Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange |
| title_short | Technical analysis testing in forecasting Socially Responsible Investment Index in Indonesia Stock Exchange |
| title_sort | technical analysis testing in forecasting socially responsible investment index in indonesia stock exchange |
| topic | Autoregressive Integrated Moving Average (ARIMA) estimation Indonesia Stock Exchange (IDX) SRI-KEHATI Index technical analysis |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11144/imfi_2018_04_Pulungan.pdf |
| work_keys_str_mv | AT dollyparlagutanpulungan technicalanalysistestinginforecastingsociallyresponsibleinvestmentindexinindonesiastockexchange AT sugengwahyudi technicalanalysistestinginforecastingsociallyresponsibleinvestmentindexinindonesiastockexchange AT suharnomosuharnomo technicalanalysistestinginforecastingsociallyresponsibleinvestmentindexinindonesiastockexchange AT harjummuharam technicalanalysistestinginforecastingsociallyresponsibleinvestmentindexinindonesiastockexchange |