BAYESIAN LINEAR REGRESSION MODEL:

ANALYSIS OF THE FINANCIAL ACTIVITIES

OF THE BANKING SECTOR OF THE
NIGERIA STOCK EXCHANGE.
AN ASSIGNMENT PROPOSER SUBMITTED
BY

OGUNSHOLA STEPHEN ADESHINA (081004105)

(Mathematics Department, University of Lagos)
SUBMITTED TO
DR M. ADAMU-IRIA
STATISTICAL PACKAGES
MAT 829
MAY 2015

INTRODUCTION

Bayesian statistics is an approach to statistics which formally seeks use of prior information with
the data. Bayes Theorem provides the formal basis for making use of both sources of
information in a formal manner. The Bayesian analysis is the study of different features of
posterior density. In this assignment, Bayesian Regression analysis using R software (with
MCMC pack) will use to explore data extracted from the Nigeria Stock Exchange in the Capital
market (case study of two banks; Access Bank PLC and United Bank of Africa PLC). Data
collected for this project shall be a secondary data from Nigeria stock Exchange; All-share Index,
daily price of stock, interest rate, exchange rate and daily oil price for the period of five years
2005-2009. For this purpose, we shall define the response variable as the Nigeria Stock
Exchange All-share Index (NSEAI). The covariates will be the Daily price of stock, Interest rate
(Lending rate), Exchange rate and Oil price. Simulation approach of Bayesian analysis shall be
employed in this study.