WAHYUDI, Sugeng (2018) Technical analysis testing in forecasting socially responsible investment index in indonesia stock exchange. Investment Management and Financial Innovations, 15 (4).

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Abstract

This study aims to examine whether the Autoregressive Integrated Moving Average
(ARIMA) model is appropriate to be applied in the Indonesia Stock Exchange, especially
for the socially resposible investment stocks. For the ARIMA model combines
the autoregressive and moving average method, so it is viewed as a useful tool
to predict the stock prices. Those methods are frequently used methods to forecast the stock
prices. The data used in this study were daily SRI-KEHATI Index during the period
of June 8, 2009 to July 17, 2017. The results showed that the daily SRI-KEHATI Index
data were not stationary data, thus this data needed to be transformed. The transformation was done by using the first seasonal differencing transformation process. After
being transformed, those data became stationary. Furthermore, this study found that
ARIMA (3,1,1) was a model, which might be appropriate and fit with the data condition. This method was also relevant to be applied in the Indonesia Stock Exchange in order to forecast the stock prices.

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