Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237226 
Year of Publication: 
2020
Citation: 
[Journal:] Financial Innovation [ISSN:] 2199-4730 [Volume:] 6 [Issue:] 1 [Publisher:] Springer [Place:] Heidelberg [Year:] 2020 [Pages:] 1-19
Publisher: 
Springer, Heidelberg
Abstract: 
This study forecasts the return and volatility dynamics of S&P BSE Sensex and S&P BSE IT indices of the Bombay Stock Exchange. To achieve the objectives, the study uses descriptive statistics; tests including variance ratio, Augmented Dickey-Fuller, Phillips-Perron, and Kwiatkowski Phillips Schmidt and Shin; and Autoregressive Integrated Moving Average (ARIMA). The analysis forecasts daily stock returns for the S&P BSE Sensex and S&P BSE IT time series, using the ARIMA model. The results reveal that the mean returns of both indices are positive but near zero. This is indicative of a regressive tendency in the long-term. The forecasted values of S&P BSE Sensex and S&P BSE IT are almost equal to their actual values, with few deviations. Hence, the ARIMA model is capable of predicting medium- or long-term horizons using historical values of S&P BSE Sensex and S&P BSE IT.
Subjects: 
Efficient market hypothesis
Bombay stock exchange
ARIMA
KPSS
S&P BSE Sensex
Forecasting
S&P BSE IT
JEL: 
G12
G14
G17
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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