Answered step by step
Verified Expert Solution
Question
1 Approved Answer
Refer to the file hkex.Rds. Construct a new column in the table and call it VWAP by dividing the monthly turnover in dollar amount (TURN_DOL)
Refer to the file hkex.Rds. Construct a new column in the table and call it VWAP by dividing the monthly turnover in dollar amount (TURN_DOL) by monthly turnover by share (TURN_SH). Construct a new table by finding the monthly return using closing and VWAP respectively. Then use the ANOVA model r=+i+, where i is the effect for CLOSING vs VWAP. Then use the ANOVA model r=+i+j+k+, where j is the stock effect and k is the month effect. Compare the results and conclude whether VWAP return and CLOSING return are significantly different and by how much (annualized). Refer to the file hkex.Rds. Construct a new column in the table and call it VWAP by dividing the monthly turnover in dollar amount (TURN_DOL) by monthly turnover by share (TURN_SH). Construct a new table by finding the monthly return using closing and VWAP respectively. Then use the ANOVA model r=+i+, where i is the effect for CLOSING vs VWAP. Then use the ANOVA model r=+i+j+k+, where j is the stock effect and k is the month effect. Compare the results and conclude whether VWAP return and CLOSING return are significantly different and by how much (annualized)
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started