Time Series Modelling for Share Price Behaviour of Top Five Palm Oil Industries: Bursa Malaysia (2004-07)

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dc.contributor.authorAllameh, Sara
dc.date.accessioned2015-07-30T02:26:20Z
dc.date.available2015-07-30T02:26:20Z
dc.date.issued2009
dc.description.abstractThis 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.en_US
dc.identifier.urihttp://hdl.handle.net/123456789/920
dc.subjectIndustriesen_US
dc.subjectBursa Malaysiaen_US
dc.titleTime Series Modelling for Share Price Behaviour of Top Five Palm Oil Industries: Bursa Malaysia (2004-07)en_US
dc.typeThesisen_US
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