An ARIMA Model Approach to the Behavior of Weekly Stock Prices of Fortune 500 Firms and S&P Small Cap 600 Firms

Young H. Kim, Edward L. Davis, Charles T. Moses


We have revisited a random walk hypothesis by analyzing the behavior of the weekly stock
prices of 473 Fortune 500 firms and 594 S&P small cap 600 firms over forty years. Individual
firm’s ARIMA model for time series analysis and stock market forecasting is identified to
investigate the behavior of the weekly stock prices. The research findings show that 146
(30.87%) Fortune 500 firms and 229 (38.55%) S&P 600 firms do not follow a random walk.
The weekly stock prices of Fortune 500 firms are significantly different from those of S&P 600
firms with respect to the proportions of random walk, MA pattern, and mixed ARMA pattern.
The proportion of the AR patterns does not differ significantly between Fortune 500 firms and
S&P 600 firms.

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