Analysing the Nepali Stock Market with Stochastic Models

Autor:	Radal M Lochowski, Karan Singh Thagunna
Rok vydání:	2016
Předmět:	Nepali Stochastic modelling Econometrics language Economics Stock market language.human_language
Zdroj:	Nepalese Journal of Management Science and Research. 1
ISSN:	2795-1545 2467-9356
DOI:	10.53056/njmsr-2016.001.1
Popis:	In this article we analyse the behaviour of the Nepali stock market and movements of stock prices of selected companies using (i) Efficient Market Hypothesis (EMH) (ii) geometric Brownian motion model (gBm) and (iii) Merton’s jump-diffusion model. Using the daily returns of the NEPSE index and the daily returns of stock prices of selected companies we estimate the geometric Brownian motion model and Merton’s jump-diffusion model. Further, we compare both models to identify the best fit for the Nepali stock market data. Keywords: Black-Scholes model, Efficient Market Hypothesis, geometric Brownian motion, Merton’s jump-diffusion Model, Variance Ratio Test
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2ed866f8ee51cedfcb98e651cd1ea195 https://doi.org/10.53056/njmsr-2016.001.1 Zobrazit plný text záznamu