The Stock Analysis and Forecast Base on the Company of China Duty Free Group

Tongyang Chen; Yubin Chen

doi:10.54691/bcpbm.v26i.2048

Authors

Tongyang Chen
Yubin Chen

DOI:

https://doi.org/10.54691/bcpbm.v26i.2048

Keywords:

Price, volatility, change.

Abstract

China Duty Free Group is crucial to the duty-free market in China. The study base on heterogeneous autoregressive (HAR) theory and establishes the HAR-RV model to analyse the volatility for China Duty-Free Group on market by combining structural destruction and weekday effects, thereby establishing new heterogeneous autoregressive (HAR) models. It shows that the weekday effect contained much predictive information about the duty-free market forecast. Moreover, we apply regression analysis to predict the future market. According to the survey, the phenomenon we found is that the Day-of-the-week effect has a significantly negative influence on duty-free market futures’ price volatility, moreover stock price has grown rapidly after mid-2020.

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