Robust Diagnostics of Box - Jenkins statistical method in f orecasting share price performance for Sharia - Compliant Oil and Gas sector in Malaysia Stock Exchange
Journal Title: International Journal of Scientific Research and Management - Year 2017, Vol 5, Issue 7
Abstract
Malaysia economy is highly depends on oil and gas sector. Therefore, unstable dynamic behavior of crud e oil price will affect the performance of share price in Malaysia Stock Exchange. This paper investigates the reliability of Box – Jenkins statistical method to forecast the share price performance for Oil and Gas sector in Malaysia Stock Exchange. In this research, one shariah - compliant company that is selected is Gas Malaysia Berhad. This company is one of the Oil and Gas companies that issued Initial Public Offerings (IPO) in year of 2013. The forecasting model shows the ARIMA ( 5 , 1, 5 ) contributes 1.7 % error between forecast value and actual value. Therefore, the results concludes that the performance of Gas Malaysia Berhad can be forecast accurately using Autoregressive integrated moving average(ARIMA) model of (5,1,5).The contribution of this findings is to help Malaysian economic expert to understand the current and future behavior of Malaysian economy condition in oil and gas sector . In addition, the findings from this research will help investors to select the appropriate company for their investmen t decision analysis.
Authors and Affiliations
Nashirah Abu Bakar
Keywords
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