Time series modeling using Box-Jenkins model for shariah compliant healthcare sector in Malaysia

Abstract

Most economic and financial time series are trended and not stationary and therefore the raw data need to be detrended by differencing. An appropriate and efficient model is a good practice for evaluating the stock price performance. This paper utilized the Box-Jenkins methodology for modeling the stock price for the healthcare sector in the Malaysian stock market. This study focused on one shariah compliant company, namely Hartalega Holdings Berhad, which is one of the major healthcare companies that manufactured clinical Nitrile gloves in Malaysia. The data of monthly stock price is collected from April 2008 until December 2020. The findings of this study showed that ARIMA(2,1,0) is the best model to represent the time series data according to the smallest values of AIC and SC as well as the satisfaction of Ljung-Box test statistics. Through this study, investors able to monitor the investment portfolio from estimating the stock price performance of healthcare sector, while considering the current healthcare economic situation in Malaysia.