Short-Term Forecasting of Stock Prices of Indian Banks Under Nifty-50 During COVID-19 Pandemic With High-Frequency Data
Short-Term Forecasting of Stock Prices of Indian Banks Under Nifty-50 During COVID-19 Pandemic With High-Frequency Data

Summary/Abstract: The outbreak of this pandemic is an unfamiliar shock to the whole Indian economy as well, and as a result the Indian stock market is severely affected too. As the financial markets are affected by the pandemic, the stock prices of Indian banks cannot be the exceptional one. It is interesting to know whether effective forecasting of stock prices of banks is possible during the COVID-19 by applying ARIMA with and without drift using high-frequency data related to 10-minute closing stock prices data of Indian banks listed under NIFTY 50, which is not yet been explored by any researcher. Moreover, the efficacy of the forecasting models has been verified by using a simple method based on coefficient of variation. It is found that the error margin in forecasting is less with drift models for Axis, HDFC, ICICI, IndusInd and Kotak Mahindra Bank. In case of State Bank of India, error margin is less in without drift models. Though the model for Axis, HDFC and Kotak Mahindra Bank without drift shows more variations, but it may be more reliable as all the coefficient of independent terms are significant i.e. less than 0.05.

• Details
• Contents