Test whether the mean returns of S&P/ASX 200 index and your company are significantly different from zero
Part C
(C.1) Test whether the mean returns of S&P/ASX 200 index and your company are significantly different from zero at 5% level of significance.
(C.2) Find the correlation between the S&P/ASX 200 index returns and your company’s stock returns. Is the correlation statistically significant at 5% and 10% level? Describe your results.
(C.3) Assuming there is a linear relationship between your company’s stock returns and S&P/ASX 200 index returns. You are invited to run a simple linear regression by using your company’s stock returns being dependent variable, and S&P/ASX 200 index returns being independent variable.
• Show the linear regression model you obtained, is the intercept coefficient significant at 5% level? Is the slope coefficient significant at 5% level? Give reason(s).
• Show the confidence interval of the slope coefficient at 5% level.
• Obtain the coefficient of determination, interpret it.
• Obtain standard error of the estimate for your linear regression model.
Hint
"The S&P/ASX 200 is a weighted index on the Australian Securities Exchange. It is a weighted average, the float-adjusted market capitalisation of the largest 200 companies. The weighted average is each company’s contribution to the index that is proportional to the value of their stock."...
"The S&P/ASX 200 is a weighted index on the Australian Securities Exchange. It is a weighted average, the float-adjusted market capitalisation of the largest 200 companies.
The weighted average is each company’s contribution to the index that is proportional to the value of their stock."
Login | Sign Up
