Can international market indices estimate TASI’s movements? The ARIMA model

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dc.authorscopusid57219948683
dc.authorscopusid53879457100
dc.authorscopusid57219950653
dc.authorscopusid57216258185
dc.contributor.authorAssous, Hamzeh F.
dc.contributor.authorAl-Rousan, Nadia
dc.contributor.authorAl-Najjar, Dania
dc.contributor.authorAl-Najjar, Hazem
dc.date.accessioned2024-09-11T19:58:24Z
dc.date.available2024-09-11T19:58:24Z
dc.date.issued2020
dc.departmentİstanbul Gelişim Üniversitesien_US
dc.description.abstractThis 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. © 2020 by the authors. Licensee MDPI, Basel, Switzerland.en_US
dc.identifier.doi10.3390/joitmc6020027
dc.identifier.endpage17en_US
dc.identifier.issn2199-8531en_US
dc.identifier.issue2en_US
dc.identifier.scopus2-s2.0-85096221234en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.startpage1en_US
dc.identifier.urihttps://doi.org/10.3390/joitmc6020027
dc.identifier.urihttps://hdl.handle.net/11363/8470
dc.identifier.volume6en_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherMultidisciplinary Digital Publishing Institute (MDPI)en_US
dc.relation.ispartofJournal of Open Innovation: Technology, Market, and Complexityen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.snmz20240903_Gen_US
dc.subjectARIMA; Cubic and quadratic; Linear; Logarithmic; Power; Regression model; Stock market index; TASIen_US
dc.titleCan international market indices estimate TASI’s movements? The ARIMA modelen_US
dc.typeArticleen_US

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