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Formation of an Integrated Stock Price Forecast Model in Lithuania

Business, Management and Education, 2016-12, Vol.14 (2), p.292-307 [Peer Reviewed Journal]

Copyright Vilnius Gediminas Technical University 2016 ;ISSN: 2029-7491 ;EISSN: 2029-6169 ;DOI: 10.3846/bme.2016.337

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  • Title:
    Formation of an Integrated Stock Price Forecast Model in Lithuania
  • Author: Dzikevicius, Audrius ; Saranda, Svetlana
  • Subjects: correlation analysis ; Financial Markets ; forecast ; Forecasting techniques ; fundamental analysis ; Institutional investments ; International ; Macroeconomics ; Regression analysis ; Securities markets ; Stock exchanges ; stock price ; Stock prices ; Studies ; technical analysis
  • Is Part Of: Business, Management and Education, 2016-12, Vol.14 (2), p.292-307
  • Description: Technical and fundamental analyses are widely used to forecast stock prices due to lack of knowledge of other modern models and methods such as Residual Income Model, ANN-APGARCH, Support Vector Machine, Probabilistic Neural Network and Genetic Fuzzy Systems. Although stock price forecast models integrating both technical and fundamental analyses are currently used widely, their integration is not justified comprehensively enough. This paper discusses theoretical one-factor and multi-factor stock price forecast models already applied by investors at a global level and determines possibility to create and apply practically a stock price forecast model which integrates fundamental and technical analysis with the reference to the Lithuanian stock market. The research is aimed to determine the relationship between stock prices of the 14 Lithuanian companies listed in the Main List by the Nasdaq OMX Baltic and various fundamental variables. Based on correlation and regression analysis results and application of c-Squared Test, ANOVA method, a general stock price forecast model is generated. This paper discusses practical implications how the developed model can be used to forecast stock prices by individual investors and suggests additional check measures.
  • Publisher: Vilnius: Vilnius Gediminas Technical University
  • Language: English;Lithuanian
  • Identifier: ISSN: 2029-7491
    EISSN: 2029-6169
    DOI: 10.3846/bme.2016.337
  • Source: CEEOL: Open Access
    Alma/SFX Local Collection
    ROAD: Directory of Open Access Scholarly Resources
    DOAJ Directory of Open Access Journals
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