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Page 2
You are analysing stocks traded in NASDAQ (National Association of Securities Dealers
Automated Quotations). You have been provided the monthly adjusted close price for
NASDAQ Composite (^IXIC) index, Intel Corporation (INTC), and Microsoft Corporation
(MSFT) for the period of January 2000 – December 2015.
Note: Data available via Resources – Assignment 2016 folder
Please complete the following questions:
1. Calculate monthly discrete returns (hint: holding period returns) for the NASDAQ
index, Intel Corporation (INTC) and Microsoft Corporation (MSFT) stocks prices,
respectively.
2. Which one has the highest risk among the monthly NASDAQ index returns, INTC
stock returns and MSFT stock returns? Provide evidences.
3. Are the distributions of monthly INTC returns and NASDAQ index returns different?
Are the distributions of monthly INTC returns and MSFT returns different? Provide
evidences.
4. Test whether the mean returns of NASDAQ index is significantly different from zero
at the 1% level of significance.
5. Calculate the correlation coefficient between the Microsoft Corporation stock returns
and Intel Corporation stock returns. Is the correlation coefficient statistically
significant at the 5% level?
6. In order to predict the monthly Intel Corporation (INTC) returns, your supervisor
advised two simple linear regression models:
Model A: Assuming a linear relationship between monthly INTC returns and
NASDAQ index returns.
Model B: Assuming a linear relationship between monthly INTC returns and MSFT
returns.
6.1: By using both models, predict INTC returns when NASDAQ index return being
1.5%, and when MSFT return being 0.75%, respectively.
6.2: Which model you would recommend to your supervisor, and why
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Posted on May 12, 2016Author TutorCategories Question, Questions