Application of Markov Chain Techniques for Selecting Efficient Financial Stocks for Investment Portfolio Construction

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dc.contributor.authorKallah-Dagadu, G.
dc.contributor.authorApatu, V.
dc.contributor.authorMettle, F. O.
dc.contributor.authorArku, D.
dc.contributor.authorDebrah, G.
dc.date.accessioned2022-09-30T10:46:27Z
dc.date.available2022-09-30T10:46:27Z
dc.date.issued2022
dc.descriptionResearch Articleen_US
dc.description.abstractIn this paper, we apply Markov chain techniques to select the best financial stocks listed on the Ghana Stock Exchange based on the mean recurrent times and steady-state distribution for investment and portfolio construction. Weekly stock prices from Ghana Stock Exchange spanning January 2017 to December 2020 was used for the study. A three-state Markov chain was used to estimate the transition matrix, long-run probabilities, and mean recurrent times for stock price movements from one state to another. Generally, the results revealed that the long-run distribution of the stock prices showed that the constant state recorded the highest probabilities as compared to the point loss and point gain states. However, the results showed that the mean recurrent time to the point gain state ranges from three weeks to thirty-five weeks approximately. Finally, Standard Chartered Bank, GCB, Ecobank, and Cal Bank emerged as the top best performing stocks with respect to the mean recurrent times and steady-state distribution, and therefore, these equities should be considered when constructing asset portfolios for higher returns.en_US
dc.identifier.otherhttps://doi.org/10.1155/2022/2863302
dc.identifier.urihttp://localhost:8080/handle/123456789/38303
dc.language.isoenen_US
dc.publisherJournal of Applied Mathematicsen_US
dc.subjectMarkov Chain Techniquesen_US
dc.subjectInvestmenten_US
dc.subjectPortfolio Constructionen_US
dc.subjectGhanaen_US
dc.titleApplication of Markov Chain Techniques for Selecting Efficient Financial Stocks for Investment Portfolio Constructionen_US
dc.typeArticleen_US

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