Ang, Run Bin and Lau, Hou Chun and Yim, Phyllis Kar Yee and Tan, Jun Yan (2022) Which fundamental analysis ratio(s) is better at predicting future stock price movement? Final Year Project, UTAR.
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Abstract
This paper examines the relationships between stock market returns with 30 companies from Kuala Lumpur Composite Index (KLCI) as benchmark index and three financial ratios from April 2012 to January 2022 which consists of a quarterly data set of 1200 observations. These three financial ratios are return-on-equity ratio (ROE), price-earnings ratio (PE) and dividend yield ratio (DY) being applied as independent variables. This paper employs Pooled Mean Group (PMG) to compute statistical results and determine long run relationships. Before that, some preliminary tests such as Panel Unit Root test and Cointegration test will be tested for stationary level in order to conduct PMG. Additionally, this paper investigates the short run dynamic by using Dumitrescu Hurlin (DH) test to explain the relevant independent variables in terms of causality effects. Based on the results, it indicates that stock market returns are consistently investigated by all of the variables which are ROE, PE and DY in the long run.
| Item Type: | Final Year Project / Dissertation / Thesis (Final Year Project) |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance T Technology > T Technology (General) |
| Divisions: | Faculty of Business and Finance > Bachelor of Finance (Honours) |
| Depositing User: | ML Main Library |
| Date Deposited: | 29 Dec 2022 15:24 |
| Last Modified: | 29 Dec 2022 15:24 |
| URI: | http://eprints.utar.edu.my/id/eprint/4805 |
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