| Abstract [eng] |
This research investigates the factors which have influence on the IT companies stock returns in developing and developed markets analyzing the data of 3 companies in both developing and developed markets. Using Pearson correlation method and Granger causality it was proved that the changes in stock returns of the selected companies in developed markets are influenced by GDP growth, CPI and PPI while the companies in developing markets are influence b Youth unemployment rate and Interest rate in USA. According to these results, 3 VAR models and linear regression model are created to each of the companies which proved that using adjusted determination coefficient, VAR models are better for developing markets, while stock returns in developed markets could be better defined by linear regression model. Finally, after performing univariate and multivariate forecasting task and using RMSE asthe main criteria, it was proven that stock returns in developed markets are better forecasted using univariate method and only the historical data of the time series, while the stock returns in developing markets are better forecasted using multivariate models due to more instability in economics, political and societal circumstances. |
