Use of regression and triple exponential smoothing models for forecasting share prices of Saudi companies

Abstract EN

Over the past few years, the local Saudi shares market witnessed a rising interest as more investors began investing their money in buying, shares of some of the local companies.

The formation of new companies and corporations having great potential success, led even to more interest in the shares market.

This paper provides a quantitative study of the Saudi shares market.

The period of study, which covers all the 55 companies in the market is one year.

The general trends associated with the shares prices changes during the year of study, have been investigated to enable the use of an appropriate time series model for forecasting.

The ranking of the various sectors with respect to volume and value of shares traded, shows that banks industrial, services and cement companies are on top while electricity and agricultural companies are last.

Also banks, services, industrial, and cement companies have the highest average percentage of share price increase of 61.8%, 50.64%, 39.7%, and 27.2 respectively, while the electricity and agricultural sectors showed a decrease of 9% and 0.96% for the same period.

Based on the trends analysis investigation, the triple exponential smoothing method is used to forecast future share prices for some companies.

Comparisons with regression models are also discussed.