Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/237436 
Year of Publication: 
2021
Citation: 
[Journal:] CBN Journal of Applied Statistics [ISSN:] 2476-8472 [Volume:] 12 [Issue:] 1 [Publisher:] The Central Bank of Nigeria [Place:] Abuja [Year:] 2021 [Pages:] 23-43
Publisher: 
The Central Bank of Nigeria, Abuja
Abstract: 
The study investigates the stock price movement of quoted Nigerian oil and gas firms using the Markovian model. Specifically, the study estimates the change in likelihoods and steady-state distribution of the share prices of the firms to determine the average time spent by the share price to move to another state and the turnover rate of the selected stocks. Markov chain-based stochastic modelling approach was employed by using the daily closing share prices of all the seven oil and gas firms quoted on the Nigerian Stock Exchange from April 2017 to January 2020. The study finds that the transition probabilities and the steady-state distribution of all the firms are stationary at first-order, implying that chain depends on the previous state. The steady-state probabilities of all the firms examined exhibit relatively high price stability in the long run. The study recommends that investors with diverse attitudes to risk-taking can explore the estimated long-run prospect of the investigated stocks in making guided investment decisions.
Subjects: 
Markov chain
oil and gas firms
share prices
stochastic process
transition probabilities
JEL: 
C01
C02
C15
Persistent Identifier of the first edition: 
Document Type: 
Article

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