Markov Models on Share Price Movements in Nigeria Stock Market Capitalization

Authors

Bright O. Osu, Department of Mathematics, Faculty of Physical Sciences, Abia State Unversity, Uturu, NigeriaFollow
Sandra C. Emenyonu, Department of Mathematics and Statistics, College of Natural and Applied Sciences, Gregory University, Uturu, NigeriaFollow
Chisara P. Ogbogbo, Department of Mathematics, College of Basic and Applied Sciences, University of Ghana, Legon, Accra, GhanaFollow
Chidinma Olunkwa, Department of Mathematics, Faculty of Physical Sciences, Abia State Unversity, Uturu, NigeriaFollow

Author Country (or Countries)

Nigeria

Abstract

The stock markets trends can impact companies in different ways. The rise and fall of share price values affect a company?s market capitalization and therefore its market value, and are exposed to market risk. This study assumed share volatility as a stochastic process with Markov property. Thus proposed a first order, time homogenuous Markov chain model for trend prediction of two banks; that is Fidelity bank and Access bank closing share prices from 1-4-2016 to 23 -03-2022. The prediction was done by establishing three states that exist in stock price change which are share prices increase, decline (decrease) or steady. The transition matrix was generated. The powers of transition matrices and probability vectors were also generated for some years and equilibrium was attained.

Digital Object Identifier (DOI)

https://dx.doi.org/10.18576/jsap/130124

Recommended Citation

O. Osu, Bright; C. Emenyonu, Sandra; P. Ogbogbo, Chisara; and Olunkwa, Chidinma (2024) "Markov Models on Share Price Movements in Nigeria Stock Market Capitalization," Journal of Statistics Applications & Probability: Vol. 13: Iss. 1, Article 24.
DOI: https://dx.doi.org/10.18576/jsap/130124
Available at: https://digitalcommons.aaru.edu.jo/jsap/vol13/iss1/24