A Random Walk Model for Stock Market Prices

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dc.contributor.authorAgwuegbo, S.O.N.
dc.contributor.authorAdewole, A.P.
dc.contributor.authorMaduegbuna, A.N.
dc.date.accessioned2019-09-10T11:03:55Z
dc.date.available2019-09-10T11:03:55Z
dc.date.issued2010
dc.descriptionStaff publicationsen_US
dc.description.abstractAbstract: Problem statement: The stock exchange market has been one of the most popular investments in the recent past due to its high returns. The market has become an integral part of the global economy to the extent that any fluctuation in this market influences personal and corporate financial lives and the economic health of a country. The daily behavior of the market prices revealed that the future stock prices cannot be predicted based on past movements. Approach: In this study, we analyzed the behavior of daily return of Nigerian stock market prices. The sample included daily market prices of all securities listed in the Nigeria Stock Exchange (NSE). Results: The result from the study provided evidence that the Nigerian stock exchange is not efficient even in weak form and that NSE follow the random walk model. The idealized stock price in the Nigerian stock exchange is a martingale. Conclusion: Martingale defines the fairness or unfairness of the investment and no investor can alter the stock price as defined by expectation.en_US
dc.identifier.citationAgwuegbo S.O.N., Adewole A.P., and Maduegbuna A.N. (2010). A Random Walk Model for Stock Market Prices. Journal of Mathematics and Statistics. Vol.6 (3): 342-346pp.en_US
dc.identifier.issn1549-3644
dc.identifier.urihttps://ir.unilag.edu.ng/handle/123456789/5459
dc.language.isoenen_US
dc.publisherJournal of Mathematics and Statisticsen_US
dc.relation.ispartofseriesJournal of Mathematics and Statistics;Vol.6(3)
dc.subjectEconometric techniquesen_US
dc.subjectForecastingen_US
dc.subjectMarkov chainen_US
dc.subjectMartingaleen_US
dc.subjectRandom walken_US
dc.subjectStock marketen_US
dc.subjectResearch Subject Categories::TECHNOLOGY::Information technology::Computer science::Computer scienceen_US
dc.titleA Random Walk Model for Stock Market Pricesen_US
dc.typeArticleen_US
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