Structural Model for the Analysis of Stock Market Price Index
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Date
2011
Authors
Agwuegbo, S.O.N.
Mojekwu, J.N.
Adewole, A.P.
Maduegbuna, A.N.
Journal Title
Journal ISSN
Volume Title
Publisher
International Journal of Marketing Studies
Abstract
Stock market returns are predictable from a variety of financial and macroeconomic variables and have long been an attraction for equity investors. Recently increasing attention has shifted on the market index as a method of measuring a section of the stock market. The stock market index is regarded as an important indicator by the investing public at large and can be used as a benchmark by which investor or fund manager compares the returns of their own portfolio.
In this study, attempts are made to model the Nigerian stock market index using a structural model. The procedure is based on the relationship between the state space and the autoregressive moving average (ARMA) model. The time series procedure from S-PLUS software is used in the analysis. The result obtained shows that the Nigerian stock market price index is an autoregressive model (AR) of order 1. It is also found that the AIC is at minimum at lag 1which corresponds to the same model identified for the series by using the sample ACF and PACF.
Description
Staff publication
Keywords
Dynamical system , Filter , Markov process , Signal process , Research Subject Categories::TECHNOLOGY::Information technology::Computer science::Computer science
Citation
Agwuegbo, S.O.N., Mojekwu, J.N., Adewole, A.P., & Maduegbuna, A.N. (2011). Structural Model for the Analysis of Stock Market Price Index. International Journal of Marketing Studies, Vol.3(4):17-22pp.