Abstract
This study investigates the effectiveness of six of the key international indices in estimating Saudi financial market (TADAWUL) index (TASI) movement. To investigate the relationship between TASI and other variables, six equations were built using two independent variables of time and international index, while TASI was the dependent variable. Linear, logarithmic, quadratic, cubic, power, and exponential equations were separately used to achieve the targeted results. The results reveal that power equation is the best equation for forecasting the TASI index with a low error rate and high determination coefficient. Additionally, findings of the AutoRegressive Integrated Moving Average (ARIMA) model represent the most important variables to use in order to build a prediction model that can estimate the TASI index. The ARIMA model (with Expert Modeler) coefficients are described as ARIMA (0,1,14). The results show that the SP500, NIKKEI, CAC40, and HSI indices are the most suitable variables for estimating TASI with an R2 and RMSE equal to 0.993 and 113, respectively. This relationship can be used on the previous day to estimate the opening price of TASI based on the closing prices of international indices.
Subject
General Economics, Econometrics and Finance,Sociology and Political Science,Development
Cited by
14 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献