The Stock Price of the ThyssenKrupp AG - A Time Series Analysis Using the Box Jenkins Approach

Seminar paper from the year 2008 in the subject Business economics - Banking Stock Exchanges Insurance Accounting grade: 10 (A) University of Wisconsin-Milwaukee (Department of Economics) course: Applied Econometrics language: English abstract: In this paper the Box- Jenkins forecasting technique should be applied to the stock price of the ThyssenKrupp AG. ThyssenKrupp arose from the merger of the Thyssen AGand the Friedrich Krupp AG Hoesch-Krupp in 1999. The main focus of the trust lies on steel industrial goods and services with its five sections Stainless Steel Technologies Elevator and Services. With 191350 employees in over 70 countries and a turnover of 51.7 billion Euro p.a. ThyssenKrupp is one of the largest industry and technology groups in the world. At the same time it is Germany's biggest steel and armaments manufacturer. I chose the stock price of the ThyssenKrupp trust for several reasons. First it is a blue chip listed on the stock exchange since 1999 allowing me easy access to a sufficient and reliableamount of data. Second I have no reason to believe that this trust underlies any influence of seasonality since it has so many different segments that contribute to its economicperformance. Third since the steel demand and thus prices are steadily increasing in the last years it is not surprising that the stock price of the ThyssenKrupp AG does this too (seefigure 2 further down) giving me a reason to question financial market theories. In particular financial investors and researches are very often interested to predict futurevalues of stock prices. On the one hand they do so to gain profits from investing in stocks from buying at a low price and selling at a higher price and on the other hand to verify iffinancial markets work efficiently. For the latter reason financial research for a long time believed stock prices to follow a random walk and thus that prices of the stock marketcannot be predicted2. This implie