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Performance of Kuala Lumpur composite index stock market / Syazana Zakaria …[et al.]

Financial Times Stock Exchange (FTSE) Bursa Malaysia Kuala Lumpur Composite Index (KLCI) is made up of over 30 large companies listed on the Bursa Malaysia Main Market. All FTSE Bursa Malaysia data are calculated and disseminated every 15 seconds in real-time. It is believed that the volatility of t...

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Main Authors: Zakaria, Syazana, Badrul Azhar, Badrina Nur Yasmin, Mohamad Rawi, Intan Nadia Azvilla Maulad, Mohamed Yusof, Noreha
Format: Article
Language:English
Published: Universiti Teknologi MARA 2020
Subjects:
Personal finance. Financial literacy
Stockbrokers. Security dealers. Investment advisers. Online stockbrokers
Stock price indexes. Stock quotations
Online Access:http://ir.uitm.edu.my/id/eprint/48121/1/48121.pdf
http://ir.uitm.edu.my/id/eprint/48121/
https://mjoc.uitm.edu.my
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spelling my.uitm.ir.481212021-06-24T09:20:13Z http://ir.uitm.edu.my/id/eprint/48121/ Performance of Kuala Lumpur composite index stock market / Syazana Zakaria …[et al.] Zakaria, Syazana Badrul Azhar, Badrina Nur Yasmin Mohamad Rawi, Intan Nadia Azvilla Maulad Mohamed Yusof, Noreha Personal finance. Financial literacy Stockbrokers. Security dealers. Investment advisers. Online stockbrokers Stock price indexes. Stock quotations Financial Times Stock Exchange (FTSE) Bursa Malaysia Kuala Lumpur Composite Index (KLCI) is made up of over 30 large companies listed on the Bursa Malaysia Main Market. All FTSE Bursa Malaysia data are calculated and disseminated every 15 seconds in real-time. It is believed that the volatility of the stock market has a negative impact on real economic recovery. This paper aims to describe the underlying structure and the phenomenon of the sequence of observations in the series. The information obtained, can determine the performance of time series model to fit the data series from January 2002 until December 2018. Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have been shown to provide the correct trend of volatility. The objectives of this paper are to determine the overall trend of the KLCI stock return and to investigate the performance of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Autoregressive Integrated Moving Average (ARIMA) based on KLCI stock return. Root Mean Square Error (RMSE) and Mean Absolute Percentage Error (MAPE) have been chosen to be used in this paper to measure accuracy. The results show that the best ARIMA model is ARIMA(1,1), while for the GARCH model, it is GARCH(1,1). Universiti Teknologi MARA 2020-10 Article PeerReviewed text en http://ir.uitm.edu.my/id/eprint/48121/1/48121.pdf ID48121 Zakaria, Syazana and Badrul Azhar, Badrina Nur Yasmin and Mohamad Rawi, Intan Nadia Azvilla Maulad and Mohamed Yusof, Noreha (2020) Performance of Kuala Lumpur composite index stock market / Syazana Zakaria …[et al.]. Malaysian Journal of Computing (MJoC), 5 (2). pp. 553-562. ISSN (eISSN): 2600-8238 https://mjoc.uitm.edu.my
institution Universiti Teknologi Mara
building Tun Abdul Razak Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Mara
content_source UiTM Institutional Repository
url_provider http://ir.uitm.edu.my/
language English
topic Personal finance. Financial literacy
Stockbrokers. Security dealers. Investment advisers. Online stockbrokers
Stock price indexes. Stock quotations
spellingShingle Personal finance. Financial literacy
Stockbrokers. Security dealers. Investment advisers. Online stockbrokers
Stock price indexes. Stock quotations
Zakaria, Syazana
Badrul Azhar, Badrina Nur Yasmin
Mohamad Rawi, Intan Nadia Azvilla Maulad
Mohamed Yusof, Noreha
Performance of Kuala Lumpur composite index stock market / Syazana Zakaria …[et al.]
description Financial Times Stock Exchange (FTSE) Bursa Malaysia Kuala Lumpur Composite Index (KLCI) is made up of over 30 large companies listed on the Bursa Malaysia Main Market. All FTSE Bursa Malaysia data are calculated and disseminated every 15 seconds in real-time. It is believed that the volatility of the stock market has a negative impact on real economic recovery. This paper aims to describe the underlying structure and the phenomenon of the sequence of observations in the series. The information obtained, can determine the performance of time series model to fit the data series from January 2002 until December 2018. Autoregressive Integrated Moving Average (ARIMA) and Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models have been shown to provide the correct trend of volatility. The objectives of this paper are to determine the overall trend of the KLCI stock return and to investigate the performance of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Autoregressive Integrated Moving Average (ARIMA) based on KLCI stock return. Root Mean Square Error (RMSE) and Mean Absolute Percentage Error (MAPE) have been chosen to be used in this paper to measure accuracy. The results show that the best ARIMA model is ARIMA(1,1), while for the GARCH model, it is GARCH(1,1).
format Article
author Zakaria, Syazana
Badrul Azhar, Badrina Nur Yasmin
Mohamad Rawi, Intan Nadia Azvilla Maulad
Mohamed Yusof, Noreha
author_facet Zakaria, Syazana
Badrul Azhar, Badrina Nur Yasmin
Mohamad Rawi, Intan Nadia Azvilla Maulad
Mohamed Yusof, Noreha
author_sort Zakaria, Syazana
title Performance of Kuala Lumpur composite index stock market / Syazana Zakaria …[et al.]
title_short Performance of Kuala Lumpur composite index stock market / Syazana Zakaria …[et al.]
title_full Performance of Kuala Lumpur composite index stock market / Syazana Zakaria …[et al.]
title_fullStr Performance of Kuala Lumpur composite index stock market / Syazana Zakaria …[et al.]
title_full_unstemmed Performance of Kuala Lumpur composite index stock market / Syazana Zakaria …[et al.]
title_sort performance of kuala lumpur composite index stock market / syazana zakaria …[et al.]
publisher Universiti Teknologi MARA
publishDate 2020
url http://ir.uitm.edu.my/id/eprint/48121/1/48121.pdf
http://ir.uitm.edu.my/id/eprint/48121/
https://mjoc.uitm.edu.my
_version_ 1703963507998851072
score 13.211869

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