Volume 5, Issue 1, February 2017, Page: 24-30
A Trinomial Probability Model for Occurrences of Stock Price Change: Evidence from Dhaka Stock Exchange
Md. Zahirul Islam, Department of Business Administration, Shanto-Mariam University of Creative Technology, Dhaka, Bangladesh
Shakil Ahmad, Department of Business Administration, Daffodil International University, Dhaka, Bangladesh
Received: Dec. 8, 2016;       Accepted: Dec. 19, 2016;       Published: Jan. 18, 2017
DOI: 10.11648/j.sjams.20170501.14      View  2427      Downloads  65
Abstract
This paper is concerned with modeling the occurrences of stock price uncertainty of Dhaka Stock Exchange. Daily closing prices of three different banks are selected for analysis. This report focuses on the overall condition of the stock market to find out the amount of probability of uncertainty of occurrences by analytically chosen model to the financial data of Banking Sector (leading three Banks of Bangladesh: AB Bank, City Bank and National Bank). Various popular variability-forecasting models with techniques of measuring and evaluating performance of forecasting were reviewed. In this research, a trinomial probability distribution model is fitted considering the outcome (closing price) of a stock (per day) such as low, unchanged and high for the quoted three banks. Maximum likelihood estimations are derived for estimating the parameters of the model. To check the model acceptability chi-square goodness-of-fit test is conducted. It is found that the probability of occurrences of unchanged price for AB bank is low (0.014). On the other hand the probability of occurrence of high and low price are high (0.478 and 0.508) and these probabilities are almost same for the other banks (City and National bank).
Keywords
Trinomial Probability Model, Dhaka Stock Exchange, Time Series Analysis, Stock Price and Stock Market
To cite this article
Md. Zahirul Islam, Shakil Ahmad, A Trinomial Probability Model for Occurrences of Stock Price Change: Evidence from Dhaka Stock Exchange, Science Journal of Applied Mathematics and Statistics. Vol. 5, No. 1, 2017, pp. 24-30. doi: 10.11648/j.sjams.20170501.14
Copyright
Copyright © 2017 Authors retain the copyright of this article.
This article is an open access article distributed under the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0/) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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