The data regarding the closing prices of four stock indices (SP500 = SP500 USA; DJI = Dow Jones Index USA; ASX200 = Australia; N225 = Nikkei 225 Japan) are as follows:

Date SP500 DJI ASX200 NIKKEI225

01-Jan-17 2,279 19,864 5,621 19,041

01-Feb-17 2,364 20,812 5,712 19,119

01-Mar-17 2,363 20,663 5,865 18,909

01-Apr-17 2,384 20,941 5,924 19,197

01-May-17 2,412 21,009 5,725 19,651

01-Jun-17 2,423 21,350 5,722 20,033

01-Jul-17 2,470 21,891 5,721 19,925

01-Aug-17 2,472 21,948 5,715 19,646

01-Sep-17 2,519 22,405 5,682 20,356

01-Oct-17 2,575 23,377 5,909 22,012

01-Nov-17 2,585 24,272 5,970 22,725

01-Dec-17 2,674 24,719 6,065 22,765

01-Jan-18 2,824 26,149 6,038 23,098

01-Feb-18 2,714 25,029 6,016 22,068

01-Mar-18 2,641 24,103 5,759 21,454

01-Apr-18 2,648 24,163 5,983 22,468

01-May-18 2,705 24,416 6,012 22,202

01-Jun-18 2,718 24,271 6,195 22,305

01-Jul-18 2,816 25,415 6,280 22,554

01-Aug-18 2,902 25,965 6,320 22,865

01-Sep-18 2,914 26,458 6,208 24,120

01-Oct-18 2,712 25,116 5,830 21,920

01-Nov-18 2,760 25,538 5,667 22,351

01-Dec-18 2,507 23,327 5,646 20,015

01-Jan-19 2,704 25,000 5,865 20,773

01-Feb-19 2,784 25,916 6,169 21,385

01-Mar-19 2,834 25,929 6,181 21,206

01-Apr-19 2,946 26,593 6,326 22,259

01-May-19 2,752 24,815 6,397 20,601

01-Jun-19 2,942 26,600 6,619 21,276

01-Jul-19 2,980 26,864 6,813 21,522

01-Aug-19 2,926 26,403 6,604 20,704

01-Sep-19 2,977 26,917 6,688 21,756

01-Oct-19 3,038 27,046 6,663 22,927

01-Nov-19 3,141 28,051 6,846 23,294

01-Dec-19 3,231 28,538 6,684 23,657

Suppose that the global market index returns refer to the equally-weighted average returns from those four indices.

[a] Briefly explain what you can learn from the historical data

[b] Construct an analysis similar to the security market line (SML). Explain your main findings!

[c] Explain the main issue(s) of the "SML" analysis on your [b]'s answers!

[d] If we believe in the efficient market hypothesis (EMH), what will happen in the forthcoming few months?