Advances in Economics, Management and Political Sciences

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Proceedings of the 7th International Conference on Economic Management and Green Development

Series Vol. 44 , 10 November 2023


Open Access | Article

Research on the Augmented Dickey-Fuller Test for Predicting Stock Prices and Returns

Zhichao Guo * 1
1 University of Pittsburgh

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 44, 101-106
Published 10 November 2023. © 2023 The Author(s). Published by EWA Publishing
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citation Zhichao Guo. Research on the Augmented Dickey-Fuller Test for Predicting Stock Prices and Returns. AEMPS (2023) Vol. 44: 101-106. DOI: 10.54254/2754-1169/44/20232198.

Abstract

With the continuous accumulation of theoretical knowledge and progressive applied research, analyzing financial time series data gradually becomes everlasting research in modern days. The simpler Dickey-Fuller originally is a test commonly used in econo-metrics and finance to test the stationarity of financial time series data. Thereafter, simpler Dickey-Fuller is eventually extended to the augmented Dickey-Fuller test to examine the stationarity of financial time series data such as stock prices, returns, and so on. This paper mainly focuses on the utilization of the augment Dickey-Fuller test and tests the stationarity of stock prices and returns for Nike, and Amazon. Both the stock price which is non-stationary, and the return, which is stationary, illustrate that these two companies are market-efficient. Additionally, the paper provides plots of stock prices and returns for these two companies by executing Python code. The results from the augment Dickey-Fuller test not only verify the characteristics of these plots but also indicate that the augment Dickey-Fuller test is useful to predict stock price and return.

Keywords

ADF test, unit root test, time series data, stock price, stationarity

References

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Data Availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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Volume Title
Proceedings of the 7th International Conference on Economic Management and Green Development
ISBN (Print)
978-1-83558-109-4
ISBN (Online)
978-1-83558-110-0
Published Date
10 November 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/44/20232198
Copyright
© 2023 The Author(s)
Open Access
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Copyright © 2023 EWA Publishing. Unless Otherwise Stated