Please use this identifier to cite or link to this item: http://hdl.handle.net/10603/252650
Title: An Empirical Analysis of Time Series Data for Stock Prediction and Validation with Reference To S andP BSE Sensex
Researcher: Ch. Madhavi Latha
Guide(s): K. Siva Nageswara Rao
University: Vignans Foundation for Science Technology and Research
Completed Date: 2019
Abstract: Every investor wants to gain more returns in stock market which is a platform for trading various securities and derivatives. The present study is intended to investigate the volatility patterns, future returns and the forecast of the beta values of companies listed with Bombay Stock Exchange Limited Sensitivity Index (BSE Sensex) based on time series data collected for 10 years period from April 2007 to March 2017. The BSE Sensex constitutes 30 top most companies listed which are popularly known as blu-chip companies. It is intended to find the determinants of profitability of listed companies of SandP BSE Sensex. To reach out the predefined objective, the relationship between independent factors and the dependent factor of listed companies on BSE-Sensex is analyzed. To accomplish the stated objectives of the study, discrete statistics, the coefficient of correlation and regression analysis has been done and inference on the same has been interpreted. The results reveal that profitability is positively significant in debt equity ratio and return on assets ratio, in contrast negatively significant with size, liquidity and asset turnover ratio. Moreover, the inventory turnover ratio and retained earnings ratio factors found to have a positive and insignificant relationship with profitability. To reach out the predefined objectives of the study, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model and Auto Regressive Integrated Moving Average (ARIMA) method has been employed. The study of GARCH revealed that the presence of Heteroscedasticity was found in BSE Sensex. Further, the model produced high accurate results when compared to the estimated results with the actual. Furthermore, the volatility of BSE Sensex has shown the features of clustering and significant time varying.Moreover, the model has indicated that there is a positive correlation between daily stock returns and the BSE Sensex volatility.
Pagination: 331
URI: http://hdl.handle.net/10603/252650
Appears in Departments:Department of Management Studies

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