• Why the estimated value of beta is different for two sub-periods? (5 marks)

Period 1

Date	AORD	TWD LTD	rm	rj	Rf	rm-Rf	rj-Rf
Mar-20	5597.7	1.884
Apr-20	5872.2	2.2844	4.9038	21.2527	0.0714	4.8324	21.1813
May-20	6001.3	2.0933	2.1985	-8.3654	0.0755	2.1230	-8.4410
Jun-20	6058.3	2.1265	0.9498	1.5860	0.0763	0.8734	1.5097
Jul-20	6245.9	2.517	3.0966	18.3635	0.0730	3.0235	18.2905
Aug-20	6009.3	2.5968	-3.7881	3.1704	0.0739	-3.8620	3.0966
Sep-20	6133.2	2.9505	2.0618	13.6206	0.0747	1.9871	13.5459
Oct-20	6742.1	2.9764	9.9279	0.8778	0.0681	9.8599	0.8097
Nov-20	6850.6	2.9764	1.6093	0.0000	0.0722	1.5371	-0.0722
Dec-20	6870.9	2.9333	0.2963	-1.4481	0.0813	0.2150	-1.5294
Jan-21	6940.6	3.0454	1.0144	3.8216	0.0871	0.9273	3.7346
Feb-21	7017	2.9678	1.1008	-2.5481	0.1093	0.9914	-2.6574
Mar-21	7290.7	3.112	3.9005	4.8588	0.1398	3.7608	4.7191
Apr-21	7406.7	3.112	1.5911	0.0000	0.1365	1.4546	-0.1365
May-21	7585	3.1476	2.4073	1.1440	0.1340	2.2733	1.0100
Jun-21	7664.2	3.2099	1.0442	1.9793	0.1258	0.9184	1.8535
Jul-21	7823.3	3.1832	2.0759	-0.8318	0.1036	1.9723	-0.9354
Aug-21	7629.7	3.2102	-2.4747	0.8482	0.0929	-2.5675	0.7553
					average	1.7835	3.3373
					stdev	2.9237	7.5525
					variance	8.5482	57.0409
					correlation	0.2292
					beta	0.5920

Period 2

Date	AORD	TWD	rm	rj	Rf	rm-Rf	rj-Rf
Sep-21	7639.1	3.2194
Oct-21	7587.4	2.8514	-0.6768	-11.4307	0.1422	-0.8190	-11.5729
Nov-21	7779.2	3.0446	2.5279	6.7756	0.1496	2.3783	6.6260
Dec-21	7268.3	3.0998	-6.5675	1.8130	0.1332	-6.7007	1.6799
Jan-22	7323.2	2.9986	0.7553	-3.2647	0.1553	0.6000	-3.4201
Feb-22	7789.6	3.0052	6.3688	0.2201	0.1742	6.1946	0.0459
Mar-22	7724.8	3.0431	-0.8319	1.2611	0.2060	-1.0379	1.0552
Apr-22	7455.2	2.7397	-3.4901	-9.9701	0.2474	-3.7375	-10.2175
May-22	6746.5	2.607	-9.5061	-4.8436	0.2774	-9.7835	-5.1210
Jun-22	7173.8	2.3321	6.3337	-10.5447	0.3089	6.0248	-10.8536
Jul-22	7226.1	2.133	0.7290	-8.5374	0.2806	0.4484	-8.8180
Aug-22	6678.7	1.9908	-7.5753	-6.6667	0.2766	-7.8519	-6.9433
Sep-22	7054.8	2.3416	5.6313	17.6211	0.3064	5.3249	17.3146
Oct-22	7480.7	2.2752	6.0370	-2.8357	0.3209	5.7161	-3.1566
Nov-22	7221.7	2.31	-3.4622	1.5295	0.3040	-3.7663	1.2255
Dec-22	7686.1	2.37	6.4306	2.5974	0.2927	6.1379	2.3047
Jan-23	7458	2.38	-2.9677	0.4219	0.2952	-3.2629	0.1268
Feb-23	7373.3	2.18	-1.1357	-8.4034	0.2992	-1.4349	-8.7026
					average	-0.3276	-2.2604
					stdev	5.1396	7.3880
					variance	26.4151	54.5826
					correlation	0.2761
					beta	0.3969