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

Table 2

Summary statistics for initial market condition, steady-state distributions, and mean recurrent times.

	Initial market condition			Steady state distribution			Mean recurrent times
Equities	Loss	Constant	Gain	Loss	Constant	Gain
Access	0.158	0.684	0.158	0.153	0.691	0.156	1.192	6.880	1.320	6.212
ADB	0.010	0.962	0.029	0.005	0.966	0.029	1.030	67.667	2.000	34.833
Cal	0.368	0.330	0.301	0.362	0.343	0.295	1.434	3.718	1.615	3.302
EGH	0.344	0.316	0.340	0.339	0.322	0.339	1.507	3.730	1.892	2.971
ETI	0.273	0.512	0.215	0.258	0.516	0.226	1.293	4.909	1.438	4.415
EGL	0.368	0.421	0.211	0.362	0.428	0.210	1.246	8.350	2.050	5.073
GCB	0.321	0.316	0.364	0.313	0.315	0.372	1.576	4.552	2.621	2.737
RBG	0.172	0.689	0.139	0.166	0.680	0.154	1.175	10.412	1.824	6.710
SIC	0.215	0.636	0.148	0.209	0.643	0.148	1.175	8.045	1.824	6.710
SG-GH	0.263	0.478	0.258	0.251	0.483	0.266	1.354	6.333	2.240	3.827
SCB	0.340	0.292	0.368	0.333	0.290	0.377	1.598	4.889	2.923	2.673
TBG	0.062	0.861	0.077	0.057	0.867	0.076	1.078	14.923	1.167	13.791