Applicability of Prediction Techniques in the Stock Market-A Chittagong Stock Exchange Perspective

Emon Kalyan Chowdhury, Emon Kalyan Chowdhury, Golam Mustafa Chowdhury

Abstract


Predicting stock market movement is a challenging job in most of the bourses in the world. Researchers are incessantly trying to improve the techniques and methods to predict the stock market movement in a more accurate and scientific manner. This paper aims to test the applicability of widely used prediction methods in Chittagong Stock Exchange (CSE). To test the methods CSE-30 monthly index has been considered from 2008 to 2012. Popular methods like Least Square Regression Method, ARIMA, GARCH and ANN are employed. Research finds that all the techniques fail to predict the movement of stock prices to a greater extend. The reason behind the failure of all the techniques is the inefficient nature of the market.


Keywords


CSE, Stock Index, Predictions.

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