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A Markovian Analysis of the Nigerian Stock Market Weekly Index

机译：尼日利亚股票市场每周指数的马尔可夫分析

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摘要

This paper is focused primarily on the application of Markovian analysis on Nigerian stock market weekly returns with the aim of describing the distribution of the market returns, investigating its trend, cross-checking if a current market return depends on its preceding market return and the time independence of the transition probabilities, investigating the probability of an investor earning return and the expected time a market return remains in a state before moving to another state. The data used in this study is a secondary data sourced from the official websites and bulletins of Nigerian Stock Market. The results of this study revealed that the distribution of the return is a leptokurtic Non - Guassian distribution. The returns of the NSE index exhibited on trend. The return follows a first order Markov chain where its current weeks return depends on its immediate weeks return. Also, the transition probabilities are independent of time. The returns of the Nigerian Stock Market index will go into steady-state at week eight. The study also showed that an investor can earn above the overall average weekly return on a short run but cannot earn above in the long run. In order words, when the very short time is considered, information in the past data is not fully reflected in present prices.
机译：本文主要关注马尔可夫分析在尼日利亚股票市场每周收益中的应用，目的是描述市场收益的分布，调查其趋势，交叉检查当前市场收益是否取决于其先前的市场收益和时间。过渡概率的独立性，调查投资者获得回报的可能性以及市场回报在转移到另一个州之前保持在一个州的预期时间。本研究中使用的数据是来自尼日利亚股票市场的官方网站和公告的辅助数据。这项研究的结果表明，收益率的分布是瘦素的非高斯分布。 NSE指数的回报呈现趋势。收益遵循一阶马尔可夫链，其当前周收益取决于其周收益。同样，过渡概率与时间无关。尼日利亚股票市场指数的收益率将在第八周进入稳定状态。该研究还表明，投资者短期内可以赚取高于整体平均每周回报，但长期而言则无法赚取高于。换句话说，考虑到时间很短，过去数据中的信息不能完全反映在当前价格中。

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