PERTANIKA JOURNAL OF SCIENCE AND TECHNOLOGY

Investment funds are growing in Malaysia since people are more knowledgeable about investments and aware of investment opportunities in order to secure good savings for the future. These investments include unit trusts, gold, fixed deposits, stock prices and property investments. It is essential for individuals or organisations to know the value of future share prices of their investment portfolio in order to predict the profit or loss in the future. The purpose of study is to identify the best duration of historical data and forecast days in order to accurately forecast share prices. The study uses Geometric Brownian Motion model in forecasting share prices of companies in Bursa Malaysia. This study focused on 40 listed companies in Bursa Malaysia from the top gainers list. It was found that 65 historical days could forecast the share prices for 21 days accurately.