MARKOV CHAIN ASSET PRICING MODEL FOR AN EMERGING MARKET

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dc.contributor.author Adesokan, Ibrahim
dc.date.accessioned 2018-06-27T10:59:48Z
dc.date.available 2018-06-27T10:59:48Z
dc.date.issued 2018-06-27
dc.identifier.citation Adesokan2018 en_US
dc.identifier.uri http://hdl.handle.net/123456789/4694
dc.description Degree of Master of Science in Mathematics (Finance Option) en_US
dc.description.abstract The chances of success of an investor in the stock market depends heavily on the decisions he takes based on his knowledge of the behavior of the stock market. In this study, the behavior of a stock on the Nigerian stock exchange market was studied. The Markov Chain with a threshold to determine movement between states, was used to estimate expected long and short-run returns, and the result was compared to the expected return of the Capital Asset Pricing Model. It was observed that the mean return of the stock and the expected return of the Capital Asset Pricing Model will not be realized in the long- run regardless of the present state. The study indicates a way to forestall the problem of overpricing or under-pricing returns when using the Capital Asset Pricing Model. en_US
dc.description.sponsorship Dr. Philip Ngare, School of Mathematics, University of Nairobi, Kenya. Dr. Abdulhakeem Kilishi, Department of Economics, University of Ilorin, Nigeria. en_US
dc.language.iso en en_US
dc.publisher JKUAT en_US
dc.subject MARKOV CHAIN en_US
dc.subject ASSET PRICING en_US
dc.subject EMERGING MARKET en_US
dc.title MARKOV CHAIN ASSET PRICING MODEL FOR AN EMERGING MARKET en_US
dc.type Thesis en_US


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