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Erschienen in:
2024 | OriginalPaper | Buchkapitel
A Geometric Brownian Motion of ASEAN-5 Stock Indexes
verfasst von : Norazman Nordin, Norizarina Ishak, Nurfadhlina Abdul Halim, Siti Raihana Hamzah, Ahmad Fadly Nurullah Rasadee
Erschienen in: AI and Business, and Innovation Research: Understanding the Potential and Risks of AI for Modern Enterprises
Verlag: Springer Nature Switzerland
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Abstract
The ASEAN-5 region has experienced significant economic growth and development in recent years, but this growth has been accompanied by increasing volatility in financial markets. To better understand the dynamics of these markets and identify potential risks and opportunities, it is important to analyze the historical data to evaluate the stock market performance. This research aims to determine the parameters of Geometric Brownian Motion (GBM) for stock indexes in ASEAN-5 countries from 2017 to 2022 and model GBM using this data. Subsequently, the data is split into two partitions, with 70% used as the in-sample in data management for the starting of the analysis, while the other 30% will be applied in future works. Note that GBM, drift, and volatility parameters are calculated based on the in-sample data. The findings of this research provide insights into the performance of GBM in modeling stock index data and contribute to understanding the behavior of stock indexes in the ASEAN-5 countries.