Question
THE TASKS Task 1: Download and prepare the data for analysis (15 marks) * First, choose the leader of your team. * Second, using the
THE TASKS
Task 1: Download and prepare the data for analysis (15 marks)
* First, choose the leader of your team.
* Second, using the table below, identify the Data Group by the team leader's student ID number. (For example, if the team leader's student ID number is 20430066 at BU/CB/OL, then the team's Data Group is D.)
Campus Data Group
Data Period From.
Student ID number of the team leader
To
BU/CB/OL
A
31/08/2017
BU/CB/OL
30/06/2017
BU/CB/OL
30/04/2017
BU/CB/OL
31/01/2017
BU/CB/OL
BU/CB/OL
30/11/2016 30/09/2016
31/08/2022 30/06/2022 30/04/2022 31/01/2022 30/11/2021 30/09/2021
The last digit of student ID is ended by 0 or 1 The last digit of student ID is ended by 2 or 3 The last digit of student ID is ended by 4 or 5 The last digit of student ID is ended by 6 or 7 The last digit of student ID is ended by 8 The last digit of student ID is ended by 9
*Third, download the monthly data on the 4 variables listed above, for the time period corresponding to your team's Data Group.
(An example instruction on how to download data, using the hyperlinks listed above, is provided separately on the assessment page. See under Assessment 2 at LMS.)
* Fourth, get ready for analysis by arranging the 4 separately downloaded data sets into one Excel spread sheet. (As mentioned in the data-download instruction, you use only the Close price.)
* Finally, generate the following 3 additional variables within the same data sheet.
RM = RNSDQ = Return to NSDQ
RBHP = Return to BHP
RTEAM = Return to TEAM
Hints: We computed stock returns in Workshop 2 using two prices, i.e. Rt = 100*In(Pt/ Pt-1). If there are n observations on the price, then there should be n - 1 observations on the return. Note that returns are expressed in percentage, but do not include the percentage sign (%) in your data series. For example, if the return is 0.72%, you should see only 0.72, not 0.72%, in the data cell.
Below is the complete dataset:
| Time | P_BHP (US$) | P_TEAM (US$) | P_NSDQ (US$) | R_BHP (%) | R_TEAM (%) | R_M (%) | R_F (%) |
| 01/09/2017 | 36.16 | 35.15 | 6495.96 | 2.326 | |||
| 01/10/2017 | 36.56 | 48.37 | 6727.67 | 1.01 | 1.38 | 1.04 | 2.376 |
| 01/11/2017 | 37.07 | 46.69 | 6873.97 | 1.01 | 0.97 | 1.02 | 2.417 |
| 01/12/2017 | 41.03 | 45.52 | 6903.39 | 1.11 | 0.97 | 1.00 | 2.405 |
| 01/01/2018 | 43.73 | 53.99 | 7411.48 | 1.07 | 1.19 | 1.07 | 2.72 |
| 01/02/2018 | 41.48 | 54.29 | 7273.01 | 0.95 | 1.01 | 0.98 | 2.868 |
| 01/03/2018 | 39.63 | 53.92 | 7063.45 | 0.96 | 0.99 | 0.97 | 2.741 |
| 01/04/2018 | 41.70 | 55.98 | 7066.27 | 1.05 | 1.04 | 1.00 | 2.936 |
| 01/05/2018 | 44.41 | 63.79 | 7442.12 | 1.06 | 1.14 | 1.05 | 2.822 |
| 01/06/2018 | 44.61 | 62.52 | 7510.30 | 1.00 | 0.98 | 1.01 | 2.849 |
| 01/07/2018 | 46.62 | 72.41 | 7671.79 | 1.04 | 1.16 | 1.02 | 2.964 |
| 01/08/2018 | 42.85 | 90.01 | 8109.54 | 0.92 | 1.24 | 1.06 | 2.853 |
| 01/09/2018 | 44.46 | 96.14 | 8046.35 | 1.04 | 1.07 | 0.99 | 3.056 |
| 01/10/2018 | 41.20 | 75.91 | 7305.90 | 0.93 | 0.79 | 0.91 | 3.159 |
| 01/11/2018 | 39.57 | 85.94 | 7330.54 | 0.96 | 1.13 | 1.00 | 3.013 |
| 01/12/2018 | 43.08 | 88.98 | 6635.28 | 1.09 | 1.04 | 0.91 | 2.686 |
| 01/01/2019 | 45.66 | 98.40 | 7281.74 | 1.06 | 1.11 | 1.10 | 2.635 |
| 01/02/2019 | 47.19 | 107.48 | 7532.53 | 1.03 | 1.09 | 1.03 | 2.711 |
| 01/03/2019 | 48.77 | 112.39 | 7729.32 | 1.03 | 1.05 | 1.03 | 2.414 |
| 01/04/2019 | 47.23 | 110.15 | 8095.39 | 0.97 | 0.98 | 1.05 | 2.509 |
| 01/05/2019 | 46.31 | 125.88 | 7453.15 | 0.98 | 1.14 | 0.92 | 2.142 |
| 01/06/2019 | 51.84 | 130.84 | 8006.24 | 1.12 | 1.04 | 1.07 | 2 |
| 01/07/2019 | 49.00 | 140.12 | 8175.42 | 0.95 | 1.07 | 1.02 | 2.021 |
| 01/08/2019 | 43.85 | 134.51 | 7962.88 | 0.89 | 0.96 | 0.97 | 1.506 |
| 01/09/2019 | 44.05 | 125.44 | 7999.34 | 1.00 | 0.93 | 1.00 | 1.675 |
| 01/10/2019 | 43.63 | 120.79 | 8292.36 | 0.99 | 0.96 | 1.04 | 1.691 |
| 01/11/2019 | 45.97 | 127.11 | 8665.47 | 1.05 | 1.05 | 1.04 | 1.776 |
| 01/12/2019 | 48.80 | 120.34 | 8972.60 | 1.06 | 0.95 | 1.04 | 1.919 |
| 01/01/2020 | 45.59 | 147.00 | 9150.94 | 0.93 | 1.22 | 1.02 | 1.52 |
| 01/02/2020 | 38.64 | 144.96 | 8567.37 | 0.85 | 0.99 | 0.94 | 1.127 |
| 01/03/2020 | 32.73 | 137.26 | 7700.10 | 0.85 | 0.95 | 0.90 | 0.698 |
| 01/04/2020 | 36.29 | 155.49 | 8889.55 | 1.11 | 1.13 | 1.15 | 0.622 |
| 01/05/2020 | 42.02 | 185.30 | 9489.87 | 1.16 | 1.19 | 1.07 | 0.648 |
| 01/06/2020 | 44.36 | 180.27 | 10058.77 | 1.06 | 0.97 | 1.06 | 0.653 |
| 01/07/2020 | 47.14 | 176.65 | 10745.27 | 1.06 | 0.98 | 1.07 | 0.536 |
| 01/08/2020 | 49.12 | 191.76 | 11775.46 | 1.04 | 1.09 | 1.10 | 0.693 |
| 01/09/2020 | 46.13 | 181.79 | 11167.51 | 0.94 | 0.95 | 0.95 | 0.677 |
| 01/10/2020 | 42.92 | 191.62 | 10911.59 | 0.93 | 1.05 | 0.98 | 0.86 |
| 01/11/2020 | 49.77 | 225.05 | 12198.74 | 1.16 | 1.17 | 1.12 | 0.844 |
| 01/12/2020 | 58.29 | 233.87 | 12888.28 | 1.17 | 1.04 | 1.06 | 0.917 |
| 01/01/2021 | 59.57 | 231.13 | 13070.69 | 1.02 | 0.99 | 1.01 | 1.093 |
| 01/02/2021 | 67.72 | 237.70 | 13192.35 | 1.14 | 1.03 | 1.01 | 1.46 |
| 01/03/2021 | 61.90 | 210.76 | 13246.87 | 0.91 | 0.89 | 1.00 | 1.746 |
| 01/04/2021 | 64.91 | 237.56 | 13962.68 | 1.05 | 1.13 | 1.05 | 1.631 |
| 01/05/2021 | 66.11 | 233.28 | 13748.74 | 1.02 | 0.98 | 0.98 | 1.581 |
| 01/06/2021 | 64.97 | 256.86 | 14503.95 | 0.98 | 1.10 | 1.05 | 1.443 |
| 01/07/2021 | 70.08 | 325.12 | 14672.68 | 1.08 | 1.27 | 1.01 | 1.239 |
| 01/08/2021 | 59.00 | 367.06 | 15259.24 | 0.84 | 1.13 | 1.04 | 1.304 |
| 01/09/2021 | 47.74 | 391.42 | 14448.58 | 0.81 | 1.07 | 0.95 | 1.529 |
| 01/10/2021 | 48.92 | 458.13 | 15498.39 | 1.02 | 1.17 | 1.07 | 1.557 |
| 01/11/2021 | 50.12 | 376.32 | 15537.69 | 1.02 | 0.82 | 1.00 | 1.443 |
| 01/12/2021 | 53.84 | 381.29 | 15644.97 | 1.07 | 1.01 | 1.01 | 1.512 |
| 01/01/2022 | 56.74 | 324.34 | 14239.88 | 1.05 | 0.85 | 0.91 | 1.782 |
| 01/02/2022 | 60.47 | 305.72 | 13751.40 | 1.07 | 0.94 | 0.97 | 1.839 |
| 01/03/2022 | 68.91 | 293.83 | 14220.52 | 1.14 | 0.96 | 1.03 | 2.327 |
| 01/04/2022 | 59.75 | 224.83 | 12334.64 | 0.87 | 0.77 | 0.87 | 2.887 |
| 01/05/2022 | 63.03 | 177.32 | 12081.39 | 1.05 | 0.79 | 0.98 | 2.844 |
| 01/06/2022 | 56.18 | 187.40 | 11028.74 | 0.89 | 1.06 | 0.91 | 2.972 |
| 01/07/2022 | 55.04 | 209.32 | 12390.69 | 0.98 | 1.12 | 1.12 | 2.642 |
| 01/08/2022 | 54.89 | 247.66 | 11816.20 | 1.00 | 1.18 | 0.95 | 3.133 |
Task 2: Hypothesis testing of means and variance equality (35 marks) (i) Perform and report the Jarque-Berra test of normally distributed returns for each of the two stocks, RBHP and RTEAM. Given your test results, what do you infer about the distribution of returns to each company's stock? (ii) Test the hypothesis that the average return on BHP is different from 3 percent at the 5% level of significance. Make sure you present the test step by step leading to the conclusion, explaining which test statistic you use to perform this hypothesis test and why. [Hint: Hypothesis test about a population mean] (iii) Before investing in one of the two stocks, we would like to compare the risks associated with the two stocks. For this comparison, perform and present an appropriate hypothesis test at the 5% level of significance, and interpret your result. [Hint: Hypothesis test about homoskedasticity] (iv) We would also like to check whether both stocks have the same return on average. Using the confidence interval approach, perform and present an appropriate hypothesis test at the 5% level of significance, and interpret your result. Which stock would you prefer and why? [Hint: Hypothesis test about two population means.
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Public Finance A Contemporary Application of Theory to Policy
Authors: David N Hyman
11th edition
9781305474253, 1285173953, 1305474252, 978-1285173955
