Understanding Long-Term Share Price Behavior of Jubilee Holdings Limited on the Kenya Securities Exchange: A Markov Model Approach complemented by Ergodicity and Stationarity

This paper investigates the long-term behavior of Jubilee Holdings Limited’s share price by employing a Markov model to conduct a state-based analysis of its daily returns. The state space is defined by three states: Positive, Negative, and Zero. The Markov model results indicate long-term probabilities of 31.2% for a positive return, 30.0% for a negative return, and 38.8% for zero return. Additionally, the study incorporates the concepts of ergodicity and stationarity to assess the magnitude of the daily returns through drift analysis. The drift analysis further reveals that the ensemble mean of the daily returns of the share price is zero, as confirmed by a Z-test. These findings suggest that the share price demonstrates long-term stability, with no sustained directional movement. While this analysis focuses on capital gains, it highlights Jubilee Holdings Limited’s consistent dividend payments in recent years as a consideration for income-focused investors.