PREDICTABILITY OF DOHA STOCK MARKET
A BOX-JENKINS APPROACH

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PREDICTABILITY OF DOHA STOCK MARKET
A BOX-JENKINS APPROACH

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MARKET

A BOX-JENKINS APPROACH

ZAKARIA S. G. HEGAZY

HELWAN UNIVERSITY

1

Abstract

This paper analyzes the predictability of Doha stock market using

autoregressive integrated moving average (ARIMA) time series models

for forecasting Doha stock market prices. A framework for ARIMA

forecasting is drawn up by considering the Box Jenkins approach.

Practical issues in ARIMA time series forecasting are illustrated with

reference to the daily index of stock prices of all the listed securities on

the Doha stock exchange for the period of 1998 to 2001. The results of

ARIMA model provide evidence that the share price series do not follow

random walk model. The issues are important to security analysts,

investors and securities exchange regulatory bodies in their policy-

making decisions to improve the market condition. This study ought to

have a continuous research on this area to attain crucial conclusion about

the level of predictability of developing markets.

2

Predictability of Doha Stock Market

A Box-Jenkins Approach

The question whether a stock market is predictable is relevant.

First, for the individual investor, who would like to know whether the

current high (low) level of stock prices, and low (high) dividend yields,

predict a low (high) future return. When low future returns are to be

anticipated, the investor should rationally stay out of the market. Second,

for the central banks or regulatory bodies, who can use a forecasting

equation to test whether the stock market is undervalued or not. When the

price level in the stock market moves away from what is considered

rational, a forecast of lower future returns would justify an intervention

to raise interest rates, and thus lower asset prices. Such an intervention

would stabilize prices around their fundamental value, thereby improving

the informational role of prices in the allocation of risks.

One question naturally arises. If stock markets are certainly that

predictable, why aren‟t professional arbitrageurs taking advantage of

them? One can easily argue that arbitrageurs are aware of the

predictability, but can not take advantage of it, due to agency problems

with their clients (Shleifer and Vishny 1997). The predictability seems to

hold only in the long run, i.e. for investment horizons from 12 months to

10 years, and under the assumptions of Shleifer and Vishny (1997),

arbitrageurs do not have such a long term horizon. To address this issue,

this study seeks to examine the effects of using the integrated auto-

regressive moving average (ARIMA) models, considered by Box and

Jenkins (1976) on the predictability of Doha Stock Market (DSM).

The DSM was established in accordance with law No 14 of 1996

and started operating in May 1997. As of March 22, 2000, Gulf

Cooperation Council (GCC) nationals are allowed to trade on the DSM,

which was earlier open only to Qataris. The GCC citizens are allowed to

hold up to 25% of Qatari shares in all firms listed on the DSM, with the

exception of banks and finance companies. Currently, non-Qataris are

allowed to own and trade shares of the recently issued shares of Qatar

Telecom (Q-TEL), but plans are underway to open up the market to

expatriates and, in due course, to other investors possibly through the

medium of mutual funds (Qatar Economic Review, 2001, p.68). Twenty

two companies are currently listed on the exchange which include stocks

in the banking, insurance, services and industry sectors. In order to

qualify for listing on the DSM, a company must have at least 100

3

shareholders, and a minimum share capital of QR 10 million, at least 50

per cent of which must be fully paid. Listed companies must publish

audited financial results annually, and report results six-monthly. Table 1

shows that the DSM is one of the smallest stock exchanges in the GCC in

terms of market capitalization and listed companies.

Table 1: GCC Stock Markets

Country 1999 2000 1999 2000

% %

Market Listed Market Listed change change

Cap ($bn) Companies Cap ($bn) Companies in index in index

Bahrain 7.18 41 6.62 36 1.1 -18.4

Saudi Arabia 61.15 72 67.86 74 43.6 11.3

Kuwait 19.6 85 18.81 90 -8.9 -6.9

Oman 5.88 140 3.46 210 9.5 -19.6

U.A.E 28.6 78 28.21 78 -17.9 -18.7

Qatar 5.5 21 5.16 22 -0.8 -8.0

Total 126.28 437 130.12 510 4.4 -10.0

Source: Qatar Economic Review (2001, p. 68)

There is a theoretical justification to study a small exchange , as

small exchanges raise important questions: Why should a country

develop a stock exchange? How can a small stock exchange survive? A

small stock exchange is in a better position and has greater incentive to

protect investors. Investors on the smaller exchanges will usually be

dealing in lesser sums of money and be unable to afford any losses and

therefore need a greater level of protection. This protection should

primarily manifest itself not in the size of funds, but rather in the

closeness of both the investors and operators to the market.

The simplest but the most useful class of nonlinear models is the

bilinear model. This model is linear in the states' and also in the 'errors'

separately but not in both (Seiler and Rom, 1997). The bilinear models

incorporate the class of linear models considered by, namely as special

cases. We assume that with such reliable model, market participants can

more effectively plan their transaction timing and their budget and

estimate their profits. Predicting the stock return behavior in Qatar

provides major policy implication for Qatar government, companies, and

investors. So, the basic research question needs to be answered: Is it

possible to build up a predictive model for Doha Stock market?

In answering this question, this paper examines the forecastability

of DSM market prices and the economic significance of those forecasts.

Such forecastability opens the hope that a trading rule could serve to earn

abnormal returns. The search for forecastability of stock returns is driven

by the hope of finding a money machine, and by the weakening of the

4

random walk idea brought by the work of Fama and French (1988),

Poterba and Summers (1988), Lo and MacKinlay (1988), and others.

The paper is divided into four sections. The methodology of the

paper is discussed in section two. Section three presents the empirical

results while the main conclusions of the paper are summarized in section

four.

I. METHODOLOGY

There are several forecasting techniques available to identify

patterns in time series data. However, regression, exponential smoothing,

and decomposition approaches assume that the values of the time series

being forecasted are statistically independent from one period to the next.

As such, they are not suitable when identifying a pattern in stock prices

series that are essentially autocorrelated. These procedures have been

employed in earlier attempts, but were completely inadequate because of

the violation of the serially independent assumption. Instead, the Box-

Jenkins methodology, which does consider the statistical dependence of

observations from one time period to the next, will be used. The Box-

Jenkins method of forecasting is different from other methods in that it

does not assume any particular pattern in the historical data of the series

to be forecast. Instead, it uses an iterative approach to identify the

underlying pattern. The model is believed to fit the series well if the

residuals between the forecasting model and the historical data points are

small, randomly distributed, and independent. If the specified model is

not satisfactory, the process is repeated by using another model designed

to improve upon the original one. The Box-Jenkins technique is

composed of both an autoregressive model and a moving average model.

[See, Box, Jenkins, and Reisel (1994)]. The autoregressive (AR) model

takes the form:

Yt 1Yt 1 2Yt 2 ... pYt p(1)

At

random errors, and 1 , ..., 2 and are the parameters of the model, with

the mean of the time series equal to

p

1 i

t 1

An autoregressive model is simply a linear regression of the

current value of the series against one or more prior values of the series.

The value of p is called the order of the AR model. The regression

coefficients are estimated by using a nonlinear least squares method that

5

employs an iterative solution technique to calculate the parameters. After

establishing preliminary starting points, the procedure then

systematically improves upon them until an optimal solution is found.

The moving average model takes the form:

Yt Y At 1 At 1 2 At 2 ...(2)

q At q

where Yt is the time series, Y is the mean of the series, At-i are

random shocks to the series, and 1 , ..., q are the parameters of the

model. The value of q is called the order of the MA model.

That is, a moving average model is essentially a linear regression

of the current value of the series against the random shocks of one or

more prior values of the series. The random shocks at each point are

assumed to come from the same distribution, typically a normal

distribution, with constant location and scale. Combining the two models

yields the Box-Jenkins complete model that is shown as:

Yt 1Yt 1 2Yt 2 ... pYt p

(3)

At 1 At 1 2 At 2 ... q At q

where the terms in the equation have the same meaning as given

for the AR and MA model. As with modeling in general, however, only

necessary terms should be included in the model.

In order to apply Box-Jenkins methodology, there are four

separate stages, namely: model identification, model estimation,

diagnostic checking of the identified model, and construction of

confidence intervals around the forecasts. Before identifying the model,

the series must be stationary. To make the series stationary it is necessary

to take the first difference. Once the series is stationary, the model is

ready to be identified. This step is accomplished by comparing the

sample autocorrelation and partial-autocorrelation coefficients (SAC and

SPAC) of the data to the various pre-determined theoretical distributions.

Once a tentative model has been selected, the parameters for that model

must be estimated. After several iterative steps the residuals from the

final model are analyzed to determine if they are essentially white noise.

Certain number of lags are analyzed to test for white noise for both the

SAC and SPAC. Box-Ljung statistics are checked at each lag for

statistical significance at a level of 5%. The p-value is interpreted as the

probability that white noise would have generated autocorrelations as

large as or larger than those actually observed. Hence, a p-value of less

than .05 implies that there exists an identifiable pattern in the time series

6

being analyzed. Because sixteen lags or more are typically analyzed,

observing one or even two Box-Ljung lags with p-values less than .05 is

in line with statistical probabilities. Observing more than two, however,

is indicative of a non-random series.

If more than one model fit the data adequately, the general criteria

for model selection can be applied. Two of these criteria are commonly

used namely, the Akaike Information Criterion (AIC) and the Schwartz-

Bayesian Information Criterion (SBC). The best model is the one that has

the lowest AIC and SBC, [see Metwally, (2001)]. Once an adequate

model has been found, forecasts for one period or several periods into the

future can be made. Confidence intervals or bands are then constructed

around the forecasts. In general, the more predictable the time series, the

more narrow will be the confidence intervals. Conversely, a random walk

time series is associated with very large confidence bands.

The empirical estimates are based on combined daily prices for

all stocks listed on the Doha Stock Exchange from January 1, 1998 to

October 18, 2001. Stocks are not traded on weekends and holidays. At

first glance this seems to violate the basic time series requirement that

observations be taken at regularly spaced intervals. The requirement,

however, is that the time intervals be spaced in terms of the basic process

of the series. Here the fundamental process is the trading of stock, so

prices at the end of each business day are perfectly proper.

Initially, we started by examining the stationarity of our time

series, generating a run sequence plot of the general index of stock prices

(GISP) of Qatari stock market. The 958 prices figures, y1, y2, …,y958;

form January 1, 1998 to October 10, 2001; are cited from Doha

securities exchange records and are plotted in Figure 1.

Figure 1 Original values of Daily GISP of Qatari Stock Market

160

150

140

Prices

130

120

110

100

90

1

50

99

148

197

246

295

344

393

442

491

540

589

638

687

736

785

834

883

932

DAYS

7

We notice that the original values of such time series do not seem

to fluctuate around a constant mean, and hence it would seem that these

values are non-stationary. In order to correct for non-stationarity we use

the "differenced" version of the variable. Figure 2 shows that the first-

differences of the original GISP values fluctuate with constant variation

around a constant mean. It would seem that these first differences are

stationary. Then, we move to identify Box-Jenkins forecasting models by

examining the behavior of the SAC and SPAC for the values of

stationary time series. Since Figure 2 may suggest that the first-

differenced GPIX time series is stationary, we present the estimated SAC

and SPAC of such time series in Figures 3 and 4 and Table 2.

Jan. 1, 1998 to Oct. 18, 2001

4

2

Prices

-2

-4

97 193 289 385 481 577 673 769 865 961

8

Stock Prices

.5

.4

.3

ACF

.2

.1

Confidence Limits

0.0

-.1 Coefficient

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

Lag Number

Transforms: difference (1)

Table 2 The SAC and SPAC for the first differences of daily GPIX

1 0.380 138.977 0.000 0.380

2 0.225 187.788 0.000 0.094

3 0.180 218.838 0.000 0.078

4 0.144 238.748 0.000 0.045

5 0.092 246.831 0.000 0.001

6 0.062 250.583 0.000 0.001

7 0.040 252.130 0.000 -0.005

8 0.070 256.830 0.000 0.049

9 0.047 258.947 0.000 0.000

10 0.062 262.678 0.000 0.036

11 0.051 265.201 0.000 0.007

12 0.066 269.386 0.000 0.032

13 0.081 275.835 0.000 0.040

14 0.069 280.506 0.000 0.012

15 0.083 287.208 0.000 0.039

16 0.051 289.698 0.000 -0.017

Bolds refer to lags that seem statistically different from zero

9

Stock Prices

.5

.4

Partial ACF .3

.2

.1

Confidence Limits

0.0

-.1 Coefficient

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

Lag Number

Transforms: difference (1)

Figure 4: Sample Partial Autocorrelations of the Differenced Series

Figures 3 and 4 and Table 2 illustrate different pattern of SAC

and SPAC. The SAC at lags 1, 2, 3, 4, 5, 8, 12, 13, 14 and 15 seems

statistically different from zero, that is the approximate 95% confidence

limits for ρk are –0.0633 and + 0.0633. But at all other lags, they are not

statistically different from zero (Gujarati, 1995, p.717). On the other side,

the SPAC at lags 1, 2, and 3 seems statistically different from zero,

although it seems to cut off fairly quickly after lag 1. Two results we can

reach from this analysis: (1) the time series values should be considered

stationary, (Bowerman and O‟Connell, 1993, p. 450), (2) an ARIMA (p,

1,q) is suitable for daily data on total stock prices index in Qatar.

Following Metwally (2001), we suggest the suitability of any of the

following ARIMA models: ARIMA (3,1,0), ARIMA (3,1,1), ARIMA

(3,1,2), ARIMA (1,1,0), ARIMA (1,1,1), ARIMA (1,1,2), ARIMA

(1,1,3), ARIMA (0,1,3), and ARIMA (0,1,1). All of ARIMA models

were estimated using the SPSS program. The AIC and SBC values of the

estimated models were then compared. The results are reported in Table

3, which illustrates that the smallest SBC and AIC values were for the

ARIMA (1,1,2) model, which is:

Z t 1 Z t 1 At 1 At 1 2 At 2

where Zt = yt – yt-1 (4)

The fitted model can be written as:

(1 B) Z t 0.787582 Z t 1 0.455432 At 1 0.086950 At 2

(11.839315) (5.990117) (1.8921144)

where, the figures in the parenthesis below the parameter

estimates are the corresponding t-value.

10

Table 3: AIC and SBC for Specific ARIMA Models

ARIMA Model AIC SBC

ARIMA (1,1,2) 1628.3 1643.1

ARIMA (1,1,1) 1629.6 1639.3

ARIMA (3,1,0) 1630.5 1645.1

ARIMA (3,1,1) 1630.0 1650.0

ARIMA (1,1,3) 1630.5 1650.0

ARIMA (3,1,2) 1632.6 1656.0

ARIMA (1,1,0) 1641.8 1646.6

ARIMA (0,1,3) 1644.7 1659.3

ARIMA (0,1,1) 1674.6 1679.5

Figures 5 and 6 and Table 4 report the SAC and SPAC of the

residuals. The data show that none of the autocorrelations is individually

significant. For example, based on the first 5 and 10 residual

observations, the hypothesis that ARIMA (1,1,2) specification is correct

only be rejected at the 99.1% and 96.4% levels respectively.

Furthermore, we analyze the residuals obtained from the model using the

Ljung-Box (1978) ststistic, which is:

k

Q n(n 2) (n 1) 1 rl 2 (aˆ ) (5)

l 1

Where n = n – d, where n is the number of observations in the

original time series, and d is the degree of nonseasonal differencing used

to transform the original time series values into stationary time series

values. rl 2 (aˆ ) is rl (aˆ ) , the square of the sample autocorrelation of the

residuals at lag l-that is, the sample autocorrelation of residuals separated

by a lag of l time units, see, Bowerman and O‟Connell (1993:496).

Since d =1 is the degree of differencing used to transform the original

time series values into stationary time series values, the n used to

calculate Q* is n = n – d = 958 –1 = 957. For the RSAC the Q* based on

16 lags is about 8.837 which is less than 26.2962 (the critical Q value

from the chi-square table at 5% level of significance). Thus, we cannot

reject the adequacy of the model by setting = .05. Also, since the prob-

value to the right of this Q* is 0.920 > 0.05 = , we cannot reject the

adequacy of the model by setting = .05.

Since Table 4 shows that the prob-values associated with Q*

based on all lags are all greater than .05, and since there are no spikes in

the RSAC or RSPAC, we conclude that the model is adequate. Moreover,

more elaborate models did not produce superior results. Accordingly,

forecasts can be based on the fitted model with confidence. Finally, Table

5 gives point forecasts (up to five days after the last day of the series)

11

together with the upper and lower limits of the 95% confidence level

intervals. Figure shows how close the forecasted values given by the

ARIMA (1,1,2) model. The results suggest a very good fit.

Error for Stock Prices Using ARIMA (1,1,2) Model

.08

.06

.04

.02

ACF

0.00

-.02

-.04 Confidence Limits

-.06

-.08 Coefficient

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

Lag Number

Figure 5: Sample Autocorrelations

of the residuals of ARIMA(1,1,2) Model

.08

.06

.04

Partial ACF

.02

0.00

-.02

-.04 Confidence Limits

-.06

-.08 Coefficient

1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

Lag Number

Figure 6: Sample Partial Autocorrelations

of the Residuals of ARIMA(1,1,2) Model

for Stock Prices from ARIMA (1,1,2) Model

1 0 0.000 0.997 0

2 -0.001 0.001 1.000 -0.001

3 0.005 0.026 0.999 0.005

4 0.015 0.243 0.993 0.015

5 -0.017 0.512 0.992 -0.017

6 -0.017 0.779 0.993 -0.017

7 -0.037 2.084 0.955 -0.037

8 0.027 2.796 0.946 0.027

9 -0.014 2.977 0.965 -0.013

10 0.021 3.420 0.970 0.022

11 -0.002 3.423 0.984 -0.002

12 0.018 3.740 0.988 0.016

13 0.041 5.411 0.965 0.041

14 0.019 5.752 0.972 0.017

15 0.054 8.617 0.897 0.057

16 0.013 8.776 0.922 0.011

12

Table 5 Forecasts for daily GPIX of Doha Stock market

Period Forecast Lower Upper Std Error

959 147.80 95%

145.95 95%

149.65 0.94

960 147.95 145.45 150.45 1.27

961 148.07 144.97 151.17 1.58

962 148.16 144.49 151.82 1.87

963 147.80 145.95 149.65 0.94

of Doha Stock Market General Index

160

150

140

130

Shares Prices

120

110

Actual Vales

100 Forecasted Values

90 Using ARIMA (1,1,2)

1 96 191 286 381 476 571 666 761 856 951

Days

III. Conclusion

This paper has considered autoregressive integrated moving

average (ARIMA) forecasting. ARIMA models are theoretically justified

and can be surprisingly robust with respect to alternative (multivariate)

modeling approaches. A framework for ARIMA modeling is identified

which includes the following steps: data collection and examination;

determining the order of integration; model identification; diagnostic

checking; and, forecast performance evaluation. Using (ARIMA) models,

we find significant evidence of predictability in the stock prices series of

an emerging capital market, the Doha stock market in Qatar. Such results

are significant to security analysts, investors and securities exchange

regulatory bodies in their policy-making decisions to improve the market

condition. This study should have a continuous research on this area to

achieve essential conclusion about the level of predictability of this

market.

13

References

Relations Department, Doha, Qatar.

Bowerman, B. And R. T. O'Connell (1993), Forecasting and Time

Series: An Applied Approach, 3rd ed., Belmont, California:

Wadsworth, Inc.

Box, G. and G. Jenkins (1976), Time Series Analysis: Forecasting and

Control, San Francisco, California: Holden-Day.

Box, G., G. Jenkins and G. Reinsel, (1994), Time Series Analysis,

Forecasting and Control. 3rd ed. N.J.: Prentice Hall, Englewood Clifs.

Fama, E., and K. French, (1996), “Multifator Explanations of Asset

Pricing Anomalies,” Journal of Finance, pp. 55-84.

Fama, E., and K. French, (1988), “Permanent and temporary components

of stock prices,” Journal of Political Economy, 96, pp. 264-273.

Gujarati, D. N. (1995) Basic Econometrics, 3rd ed., London: McGraw-

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Ljung G. and G. Box, “On a Measure of Lack of Fit in Time Series

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Lo, A., and A. MacKinlay, (1988), “Stock market prices do not follow

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McQueen, G., M. Pinegar, and S. Thorley, (1996), “Delayed Reaction to

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Metwally, M., (2001), Forecasting the demand for Electricity and Water

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Mobarek, A. and K. Keasey, (2000), Weak-form market efficiency of an

emerging Market: Evidence from Dhaka Stock Market of Bangladesh,”

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Pelaez, R. F., (1998), “Economically significant stock market

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Poterba, J. and L. Summers, (1988), “Mean reversion in stock returns:

evidence and implications,” Journal of Financial Economics, 22, pp.

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14

Seiler, M. J. and W. Rom, (1997), “A Historical Analysis of Market

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i

I use APA style presented in http://www.apastyle.org/elecsource.html.

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