Research on the Returns of SSE STAR Market Chip Index Based on the ARMA Model

Abstract

Since 2021, China’s semiconductor industry and chip industry have been in the hot stage. While the scale of the two industries has continued to expand, there are also problems of bubble economy and excessive competition. In the first half of 2022, the stock market has entered an adjustment cycle. In order to predict the returns trend of the adjustment cycle and help investors make reasonable decisions. This paper uses AIC and BIC criteria to determine the order of the model, test the significance of the model and its parameters, then build the ARMA(2,1) model to predict the closing price of the SSE STAR Market Chip Index from January 2^nd, 2020 to February 21^st, 2022. According to the results, this paper finds out that both fitting effect and forecasting effect are good. The index will maintain a downward trend in the next 30 periods. Through the above empirical analysis, this paper puts forward two suggestions: firstly, in the face of industry differentiation, people need to invest rationally; secondly, semiconductor companies and chip companies should attach importance to mergers and acquisitions.