Question
Date Bonds Stocks 30.05.2006 10,98 11094,43 26.05.2006 11,02 11278,61 25.05.2006 11,01 11211,05 24.05.2006 11,05 11117,32 23.05.2006 11,03 11098,35 22.05.2006 11,05 11125,32 19.05.2006 11,05 11144,06 18.05.2006
Date Bonds Stocks
30.05.2006 10,98 11094,43
26.05.2006 11,02 11278,61
25.05.2006 11,01 11211,05
24.05.2006 11,05 11117,32
23.05.2006 11,03 11098,35
22.05.2006 11,05 11125,32
19.05.2006 11,05 11144,06
18.05.2006 11,01 11128,29
17.05.2006 10,91 11205,61
16.05.2006 10,98 11419,89
15.05.2006 10,93 11428,77
12.05.2006 10,89 11380,99
11.05.2006 10,97 11500,73
10.05.2006 11,01 11642,65
09.05.2006 11 11639,77
08.05.2006 11,01 11584,54
05.05.2006 11,01 11577,74
04.05.2006 10,96 11438,86
03.05.2006 10,96 11400,28
02.05.2006 11 11416,44
01.05.2006 10,97 11343,29
28.04.2006 11,03 11367,14
27.04.2006 10,96 11382,51
26.04.2006 10,95 11354,49
25.04.2006 10,98 11283,25
24.04.2006 11,08 11336,32
21.04.2006 11,04 11347,45
20.04.2006 10,99 11342,89
19.04.2006 11 11278,77
18.04.2006 11,06 11268,77
17.04.2006 11,04 11073,78
13.04.2006 11 11137,65
12.04.2006 11,07 11129,97
11.04.2006 11,12 11089,63
10.04.2006 11,08 11141,33
07.04.2006 11,08 11120,04
06.04.2006 11,17 11216,5
05.04.2006 11,24 11239,55
04.04.2006 11,22 11203,85
03.04.2006 11,22 11144,94
31.03.2006 11,24 11109,32
30.03.2006 11,19 11150,7
29.03.2006 11,24 11215,7
28.03.2006 11,3 11154,54
27.03.2006 11,38 11250,11
24.03.2006 11,41 11279,97
23.03.2006 11,35 11270,29
22.03.2006 11,39 11317,43
21.03.2006 11,37 11235,47
20.03.2006 11,42 11274,53
17.03.2006 11,4 11279,65
16.03.2006 11,44 11253,24
15.03.2006 11,36 11209,77
14.03.2006 11,4 11151,34
13.03.2006 11,32 11076,02
10.03.2006 11,35 11076,34
09.03.2006 11,38 10972,28
08.03.2006 11,38 11005,74
07.03.2006 11,38 10980,69
06.03.2006 11,39 10958,59 The data above contains information concerning the closing value of the Dow Jones Industrial Average and the Vanguard Long-Term Bond Index Fund for 60 consecutive business days, ending May 30, 2006. The variables included are Date Current day Bonds Closing price of Vanguard Long-Term Bond Index Fund Stocks Closing price of the Dow Jones Industrial Average Source: Extracted from finance.yahoo.com, May 31, 2006.
a. Compute and interpret the correlation coefficient, r, for the variables Stocks and Bonds.
b. At the 0.05 level of significance, is there a cointegration between these two time series? Explain.
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Options Futures And Other Derivatives
Authors: John C. Hull
11th Edition
013693997X, 9780136939979
