Analysis of the price fluctuations using a markov chain model: A case study of Dar es salaam Stock Exchange (DSE)

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Date
2006
Journal Title
Journal ISSN
Volume Title
Publisher
University of Dar es Salaam
Abstract
Prices are very important so long as they stabilize and influence producers to supply at appropriate levels that regulate the demand for goods and services in the market. Price movements are the normal phenomena. However, if the nature or trends of fluctuations are known, it will help to measure the efficiency of the market for the decision in the future development of the firm concerned. The aim of this study was to analyse the price fluctuations at the DSE in Dar es salaam City, Tanzania. In the study, three levels or states of price movements were identified as “Unchanged price”, “Gain in price” or “Loss in price” in reference to the immediate price. Six years secondary data were collected directly from DSE records of daily security prices through the management. When the data were analysed, they were found to satisfy the randomness test. Which is a requirement for Markov chain modeling. The matrix approach of the Markov chain model was used such that the TPM and steady state vectors of different periods were obtained and summarized in tabular forms. Findings of the study reveal that using the steady state vector (0.5177, 0.2003), about 52% of the time the price decreased. The results of this work should be taken into consideration by all concerned as suggested in chapter five so as to improve future performance of the firm
Description
Available in print form, East Africana Collection, Dr.Wilbert Chagula Library, (THS EAF QA274.7S55)
Keywords
Markoc processes, Markov chain analysis, Accounting and price fluctuations, Dar es salaam Stock Exchange (DSE)
Citation
Sima, S.A (2006) Analysis of the price fluctuations using a markov chain model: A case study of Dar es salaam Stock Exchange (DSE), Masters dissertation, University of Dar es Salaam, Dar es Salaam.