QUESTION 6 Now the investor would like to know how various major international events affected these different share markets in the past - as this may provide a guide as to what could happen in the future. Given the size of the American economy the returns on US shares may be considered equivalent to the market returns, therefore can be used to estimate the market model for the other share markets. (a) Estimate the the systematic risk or betas for each of international share markets with respect to the US market. Do this using Excel's regression function to estimate the market model: Rit = Po + BRust, where i refers to the other nine share markets. Interpret the coefficient of determination, the F-statistic and the size and significance of the slope coefficients. (b) Conduct t-tests against unity for the betas to determine if these share markets would be considered 'passive', 'aggressive' or 'neutral' relative to the US. (c) Construct event dummy (or binary) variables to represent three international events that may have affected these markets: (i) The Asian financial crisis - one from Aug 1997 to Jul 1998, zero otherwise. (ii) The Global Financial Crisis (GFC) - one from Feb 2007 to Feb 2009, zero otherwise. (iii) Covid-19 - one from Jan 2020 to Mar 2020, zero otherwise. Re-estimate each of your market models for the international share markets with the addition of these event dummy variables as both intercept and slope coefficients. Evaluate these new models using the significance or otherwise of these dummy variables to identify how the international events affected the share markets. Briefly discuss your results.