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Assignment explanation: Regress monthly returns of Apple on: a) monthly returns of SP500, b) monthly returns of DJIA and c) monthly returns of NASDAQ. (I

Assignment explanation:

Regress monthly returns of Apple on: a) monthly returns of SP500, b) monthly returns of DJIA and c) monthly returns of NASDAQ. (I have already calculated returns for you, see last 4 columns of Data for Assignment 15 file). Note, we have 3 regression lines: Apple returns as dependent variable and returns of SP500, returns of DJIA and returns of NASDAQ as independent variable one at the time.

Make a table in which you show intercepts, slopes, and R-squares of all three regression lines (i.e. your table contains 9 numbers: 3 intercepts, 3 slopes, and 3 R-squares).

In 6 lines discuss which market index (SP500, or DJIA, or NASDAQ) explains variations in Apple returns better and why?

Date SP500 DJIA NASDAQ Apple RSP500 RDJIA RNASDAQ RAPPLE
11/1/2015 2080.40991 17719.9199 5108.66992 115.725212 -1.7685659 -1.6781788 -2.0020235 -11.67903
12/1/2015 2043.93994 17425.0293 5007.41016 102.969025 -5.2067617 -5.6591722 -8.1834481 -7.822354
1/4/2016 1940.23999 16466.3008 4613.9502 95.221397 -0.4136906 0.30439657 -1.2211362 -0.1288313
2/1/2016 1932.22998 16516.5 4557.9502 95.098801 6.39049904 6.83620216 6.61901521 11.9746127
3/1/2016 2059.73999 17685.0898 4869.8501 107.196381 0.26957617 0.49945931 -1.9593821 -15.073119
4/1/2016 2065.30005 17773.6406 4775.35986 92.197342 1.52083667 0.07625576 3.55241851 6.93142781
5/2/2016 2096.94995 17787.1992 4948.04981 98.814621 0.09105065 0.79956894 -2.1527315 -4.3596423
6/1/2016 2098.86011 17929.9902 4842.66992 94.599213 3.49904331 2.7626575 6.38830569 8.62352802
7/1/2016 2173.6001 18432.2402 5162.12988 103.11908 -0.1219987 -0.1702782 0.9848486 2.33764785
8/1/2016 2170.94995 18400.8809 5213.22022 105.558037 -0.1235213 -0.5052199 1.87706639 6.34482053
9/1/2016 2168.27002 18308.1504 5312 112.472542 -1.9616837 -0.9093499 -2.3400406 0.43249806
10/3/2016 2126.1499 18142.4199 5189.14014 112.960037 3.62877172 5.05544641 3.62467864 -1.5433945
11/1/2016 2204.71997 19083.1797 5380.68018 111.230003 . . . .

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