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Hallo, Please assist with the assignment question Khaya & Monde Sharpe ratio of the ZSEEX Index is 0.77 Standard deviation of the ZSEEX world index

Hallo,

Please assist with the assignment question

Khaya & Monde

Sharpe ratio of the ZSEEX Index is 0.77

Standard deviation of the ZSEEX world index 10%

Risk free rate of return 3.7%

Degree of market integration for Apple 77%

Degree of market integration for Borrowdale 65%

Standard deviation of Apple stock returns 12%

Standard deviation of Borrowdale stock returns 21%

Correlation of Apple with ZSEEX World index 0.79

Correlation of Borrowdale with ZSEEX World Index 0.70

Estimated illiquidity premium for Apple 0.00%

Estimated illiquidity premium of Borrowdale 2.60%

a) Describe the steps on how to calculate the Expected returns and Betas for the two countries stock markets

b) Which steps to follow when calculating covariance between the two countries stock markets.

Thank you

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