Sains Malaysiana 50(9)(2021): 2833-2846

http://doi.org/10.17576/jsm-2021-5009-26

Predicting Index Price Based on the COVID-19 Cases and Deaths

(Peramalan Harga Indeks berasaskan Kes dan Kematian COVID-19)

NUR SABRINA RAZALI & R. NUR-FIRYAL*

Department of Mathematical Sciences, Faculty of Science and Technology, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor Darul Ehsan, Malaysia

Received: 31 January 2021/Accepted: 12 May 2021

ABSTRACT

COVID-19 pandemic has impacted global financial market. In this paper, we study the impact of COVID-19 pandemic on four countries indexes which are United Kingdom, United States, Japan and Malaysia to see the effect of the spread of the virus on economy. Based on descriptive analysis, most index market suffer for a short period of time after the World Health Organization (WHO) declared COVID-19 as a pandemic on 11 March 2020. However, most markets manage to get back on track after a few months. We want to see the effect of number of COVID-19 cases and deaths on the index price because we believe that they will impact the economic growth of most countries. This will indirectly impact the countries index market as most businesses could not operate in full scale. Moreover, an increase in number of cases, most countries had to implement a partial or total lockdown which then impact the economic growth. Based on our studies, we conclude that the number of COVID-19 cases and deaths did have an impact on the four countries index price. Prediction analysis shows that the time series linear model can predict index price better than ARIMA model that relies on historical data. As of right now, COVID-19 does have a huge impact on the countries financial market and economic growth.

Keywords: ARIMA Model; COVID-19; predictive analysis; time series linear model

ABSTRAK

Pandemik COVID-19 memberi kesan kepada pasaran kewangan global. Dalam kajian ini, kami mengkaji kesan pandemik COVID-19 kepada empat indeks negara iaitu United Kingdom, Amerika Syarikat, Jepun dan Malaysia untuk melihat kesan penyebaran virus ini terhadap ekonomi dan kewangan negara. Berdasarkan analisis deskriptif, kebanyakan pasaran indeks mengalami kerugian dalam jangka masa pendek terutama setelah Pertubuhan Kesihatan Sedunia (WHO) mengisytiharkan COVID-19 sebagai wabak pada 11 Mac 2020. Namun, kebanyakan harga pasaran meningkat semula setelah beberapa bulan. Dalam kajian ini, kami ingin melihat kesan jumlah kes dan kematian COVID-19 pada harga indeks kerana kami percaya bahawa ini akan mempengaruhi pertumbuhan ekonomi kebanyakan negara. Ini secara tidak langsung akan mempengaruhi pasaran indeks negara kerana kebanyakan perniagaan tidak dapat beroperasi dalam skala penuh. Peningkatan jumlah kes juga menyebabkan kebanyakan negara harus melaksanakan penyekatan kepada rakyat dan perniagaan yang mempengaruhi pertumbuhan ekonomi. Berdasarkan kajian ini, kami menyimpulkan bahawa jumlah kes dan kematian COVID-19 mempunyai kesan terhadap harga indeks keempat-empat negara. Analisis ramalan menunjukkan bahawa model linear siri masa dapat meramalkan harga indeks lebih baik daripada model ARIMA yang hanya bergantung kepada data masa lampau. COVID-19 mempunyai kesan besar terhadap pertumbuhan pasaran kewangan dan ekonomi negara.

Kata kunci: Analisis ramalan; COVID-19; model ARIMA; model linear siri masa

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*Corresponding author; email: nurfiryal@ukm.edu.my