Stock price valuation analysis of the digital technology industry based on the HP-ARIMA method - with 18 listed companies of different volume sizes in its 3 segments as an example

Abstract

The world securities market has formed a more complete system since its origin in the 17th century, with a considerable number of small and medium-sized investors and institutional investors, and proposing innovative new methods for securities valuation models can assist investors in making more accurate investment decisions. This paper proposes for the first time to use an interdisciplinary analysis method, ARIMA + HP filter analysis, to analyze the valuation of the securities market, by taking the opening prices of individual stocks in digital technology industry segments: blockchain, artificial intelligence, and Beidou navigation as examples for valuation analysis, firstly, the initial data of the opening prices of individual stocks from 2019-2021 are analyzed by HP filter analysis, and secondly, the data are analyzed while doing Tobit model test. By analyzing the long-term trend of the digital technology industry after noise reduction, its corresponding valuation forecast and value judgment results show that the head effect of the digital technology industry is more significant, and the opening price volatility shows a U-shaped relationship with company size and profitability, and the opening price volatility of individual stocks is less, while the shorter the company's establishment time, the greater the stock price volatility. While the past literature focused on the traditional valuation of financial conditions and historical data analysis of a single variable, this paper analyzes the data of individual stocks in the digital technology industry through an interdisciplinary analysis method, which allows for a more comprehensive use of historical data and prediction of possible stochastic fluctuations, providing a more reliable valuation method for securities investors and opening up new ideas for research related to the field of valuation analysis.