PREDICTABILITY TEST OF STOCK MARKET PRICE INDEX IN IRAN INVESTMENT MARKET AND COMPARING LINEAR AND NONLINEAR MODELS PREDICTABILITY POTENTIALS

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EMAMI KARIM; EMAMVERDI GHODRATOLLAH

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Journal: Financial Economics Year:2009 | Volume:2 | Issue:7 Page(s): 45-75

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Title

PREDICTABILITY TEST OF STOCK MARKET PRICE INDEX IN IRAN INVESTMENT MARKET AND COMPARING LINEAR AND NONLINEAR MODELS PREDICTABILITY POTENTIALS

Author(s)

EMAMI KARIM | EMAMVERDI GHODRATOLLAH | Issue Writer Certificate

Keywords

PREDICTABILITYQ3

NON-LINEARITY TESTQ3

NON-LINEAR & LINEAR TIME SERIES MODELS (ADDITIVES & MULTIPLICATIVE)Q3

ARTIFICIAL NEURAL NETWORKQ2

MARKET PRICE INDEXQ2

Abstract

Since the highly complicated Time Series such as Stock Market Prices are usually stochastic, their changes are assumed to be unpredictable.Some tests which have been used to study the statistical observations related to the economical variables e.g. Stock Market Price, are often go wrong while encountering the chaotic data and recognize them as stochastic ones, though these data are actually generated from the deterministic systems which bear few tribulations.For this reason the predictable and non-linear tests such as HURST, BDS, Runs Test, and Correlation Dimension have been used to study the existence of deterministic chaotic trend and non-linear process in Time Series of Daily Stock MARKET PRICE INDEX of TEHRAN STOCK EXCHANGE from 23rd October, 2000 to 24th September, 2007.The result of the above mentioned tests shows the PREDICTABILITY and the existence of a non-linear process in the sample data.After the illustration of PREDICTABILITY and the non-linear process in daily stock index data, then the linear time series models (AR), non-linear (GARCH) and ARTIFICIAL NEURAL NETWORK (ANN) have been estimated to present a suitable model for predicting the Stock Price Index.Comparing the potential of PREDICTABILITY of these models by such criteria as: CDC, RMSE, MAE, MAPE and U-THEIL inequality coefficient, it has been revealed that there is the highest potential of PREDICTABILITY in ARTIFICIAL NEURAL NETWORK models than the other ones.

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APA: Copy

EMAMI, KARIM, & EMAMVERDI, GHODRATOLLAH. (2009). PREDICTABILITY TEST OF STOCK MARKET PRICE INDEX IN IRAN INVESTMENT MARKET AND COMPARING LINEAR AND NONLINEAR MODELS PREDICTABILITY POTENTIALS. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 2(7), 45-75. SID. https://sid.ir/paper/229187/en

Vancouver: Copy

EMAMI KARIM, EMAMVERDI GHODRATOLLAH. PREDICTABILITY TEST OF STOCK MARKET PRICE INDEX IN IRAN INVESTMENT MARKET AND COMPARING LINEAR AND NONLINEAR MODELS PREDICTABILITY POTENTIALS. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2009;2(7):45-75. Available from: https://sid.ir/paper/229187/en

IEEE: Copy

KARIM EMAMI, and GHODRATOLLAH EMAMVERDI, “PREDICTABILITY TEST OF STOCK MARKET PRICE INDEX IN IRAN INVESTMENT MARKET AND COMPARING LINEAR AND NONLINEAR MODELS PREDICTABILITY POTENTIALS,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 2, no. 7, pp. 45–75, 2009, [Online]. Available: https://sid.ir/paper/229187/en

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