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Markovian Approach To Stock Price Modelling In The Nigerian Oil And Gas Sector, Ayo Adekunle S., Uwabor Eboigbe S.
Markovian Approach To Stock Price Modelling In The Nigerian Oil And Gas Sector, Ayo Adekunle S., Uwabor Eboigbe S.
CBN Journal of Applied Statistics (JAS)
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 …