Analyzing Malaysian Stock Indices Performance Using ARIMA

As of June 2023, describing Bursa Malaysia as a laggard among its regional peers would be an understatement. FTSE Bursa Malaysia KLCI ranks among the worst-performing benchmark indices in Asia, having declined by 8% year-to-date. This issue led to the objective of this study, which is to analyze Malaysian stock indices, examine the factors influencing their performance and identify the structural challenges contributing to their lagging position in the region. The objective is achieved by analyzing and comparing the performance of three key stock indices in Bursa Malaysia: FBM Top 30, FBM Mid 70, and FBM Top 100. The analysis applies the Autoregressive Integrated Moving Average (ARIMA) model to examine stock index prices using daily data from June 2023 to May 2024. It follows a four-phase process, beginning with exploring central tendency, variability, and distribution patterns, followed by a unit root test to assess data stationarity. Mean Absolute Percentage Error (MAPE) serves to validate model accuracy while identifying the best ARIMA equation for each index in the analysis conclusion. The FTSE Bursa Malaysia Mid 70 Index demonstrates maximum levels of volatility and risk therefore it functions as a key indicator for market oversight. This study provides valuable insights into stock market dynamics, offering practical implications for investors and policymakers while highlighting areas for further research on the interrelations between stock indices. © The Author(s), under exclusive license to Springer Nature Switzerland AG 2026.