International Journal of Finance and Accounting
p-ISSN: 2168-4812 e-ISSN: 2168-4820
2016; 5(1): 54-61
1Faculty of Accountancy and Management, Universiti Tunku Abdul Rahman, Malaysia
2Faculty of Economics and Management, Universiti Putra Malaysia, Malaysia
3Graduate School of Management, Universiti Putra Malaysia, Malaysia
Correspondence to: Hui-Shan Lee, Faculty of Accountancy and Management, Universiti Tunku Abdul Rahman, Malaysia.
Copyright © 2016 Scientific & Academic Publishing. All Rights Reserved.
This work is licensed under the Creative Commons Attribution International License (CC BY).
This research applies the Bursa Malaysia Plantation Index to examine the most suitable forecasting model. The Plantation Index is studied because Malaysia is the world second largest in oil palm producer. Additionally, volatile crude palm oil price has resulted in the Plantation Index becoming more volatile as earnings of plantation companies depend heavily on crude palm oil prices. The forecasting techniques applied were random walk, moving average, simple regression and historical mean. The error in forecasting was measured by symmetric and asymmetric error statistics. The most suitable volatility forecasting technique for Bursa Malaysia Plantation Index was simple regression technique. The findings to a very large extent indicate that although there are different sophisticated forecasting technique, investor, managers and regulators could employ the less costly simple regression method to forecast oil palm related stocks and make their wise decision in investment, management and regulation in oil palm industry.
Keywords: Forecasting, Security market volatility, Volatility forecasting technique, Symmetric error statistics, Asymmetric error statistics
Cite this paper: Hui-Shan Lee, David Ching-Yat Ng, Teck-Chai Lau, Chee-Hong Ng, Forecasting Stock Market Volatility on Bursa Malaysia Plantation Index, International Journal of Finance and Accounting , Vol. 5 No. 1, 2016, pp. 54-61. doi: 10.5923/j.ijfa.20160501.07.
|Figure 1. Bursa Malaysia Plantation Index 1 January 2007 to 7 August 2012 (Adopted from Thomson Datastream, 2012)|
|Figure 2. Factor Affecting Bursa Malaysia Plantation Index|
|Figure 3. Volatility of Bursa Malaysia Plantation Monthly Index|
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