MARKOV CHAIN ASSET PRICING MODEL FOR AN EMERGING MARKET

Adesokan, Ibrahim

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