Time Series Modelling for Share Price Behaviour of Top Five Palm Oil Industries: Bursa Malaysia (2004-07)
Loading...
Date
2009
Authors
Allameh, Sara
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
This Study has attempted to find a suitable model for the share prices of top-5 companies
in terms of revenue, principally engaged in Palm Oil Industry and listed on Bursa Malaysia's
Main Board using weekly data from January 2004 through December 2007. Using the
pervious literatures such as Xu & Cai (2006), Serpkenci & Tigert (2006), Dror (2008) and
Tay & Ting (2006) etc. regarding factors influencing share price behaviour, ten independent
variables have been considered. They include: time, turnover by volume, EPS, PIE ratio, net
sales or revenues, dividend yield, price to cash flow ratio, Kuala Lumpur sector plantations
price index, KLCI composite price index and Malaysian inflation rate.
In this study the pattern of share price behaviour for the chosen palm oil industries has
been completely explored. From the analysis, the Autoregressive Integrated Moving Average
(ARIMA) models were the best fitted models for all the companies, with ARIMA(1,1,2)
found to be suitable for two companies namely, Sarawak Oil Palms BHD and Cepatwawasan
Group BHD, ARIMA(O, 1 ,0) suitable for two other companies namely Far East holdings BHD
and IJM plantations BHD and finally ARlMA(O,l,l) suitable for BLD Plantations BHD. The
parameters affecting the share. prices had some similarities and differences among companies.
Dividend yield, price to cash flow ratio and Kuala Lumpur sector plantations price index,
were the most influencing variables affecting the share prices of four companies out of five.
Description
Keywords
Industries , Bursa Malaysia