Title: An application of ARIMA model: evidence from selected stocks of export-based countries

Authors: Himani Gupta; Miklesh Prasad Yadav

Addresses: Jagannath International Management School, OCF Pocket 9, Sector B, Vasant Kunj, New Delhi, 110070, India ' Amity University, Amity Road, Sector 125, NOIDA, Uttar Pradesh, 201301, India

Abstract: To make today better than yesterday and tomorrow better than today, investors want to invest in those stocks which generate a lucrative return. They can earn good return if they can predict the stock of their interested stocks. We forecast the stock return of top five export economies to check whether there are opportunities for investment. The select countries considered in the study are China, Germany, Hong Kong, the USA, and Japan. Based on the closing price extending from 2001 to 2020, we check the stationarity and forecast stock return applying ADF and ARIMA models respectively. The result reveals that the stock returns of Hong Kong can be forecasted while the stock return of the rest of the countries cannot. The study concludes that an investor can invest in Hong Kong stock to generate an excess return, but they have to be cautious while investing in the rest of constituent stocks.

Keywords: forecasting; export countries; stock return; autoregressive; moving average.

DOI: 10.1504/IJBEX.2025.149875

International Journal of Business Excellence, 2025 Vol.37 No.3, pp.348 - 360

Received: 14 Sep 2021
Accepted: 28 Nov 2021
Published online: 17 Nov 2025 *

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