Author(s)

Baoyu Zhang

Corresponding Author

Baoyu Zhang

ABSTRACT

As an important pillar of national economy, automobile industry plays an increasingly significant role in the development of national economy. By studying the fluctuation rules of the stocks of companies in the front, middle and back industrial chain of the automobile industry, we can provide reference for investors in the stock market of the automobile industry. In this paper, a total of 10,908 samples of 9 stocks are selected as the research objects. HP filtering method is used to analyze the problem according to ARIMA model. The results show that :(1) By eliminating the influence of short-term fluctuations by HP filtering, it can be seen that the automobile industry has basically experienced a complete cycle of "troughs - peaks - troughs"; (2) It is feasible to predict the stock price of automobile industry by HP-ARIMA method; (3) According to the stability test results, the conclusion of ARIMA model can still be obtained, and the model is robust.

KEYWORDS

Equity Valuation, Quantitative Investment, The Car Industry, The HP Filter Method, ARIMA Model