Question
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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