The relationship between country credit ratings and the volatility of the countries' stock markets was examined in
Question:
a. Write a model that describes the relationship between volatility (y) and credit rating (x1) as two nonparallel lines, one for each type of market. Specify the dummy variable coding scheme you use.
b. Plot volatility y against credit rating x1 for all the developed markets in the sample. On the same graph, plot y against x1 for all emerging markets in the sample. Does it appear that the model specified in part a is appropriate? Explain.
c. Fit the model, part a, to the data using a statistical software package. Report the least squares prediction equation for each of the two types of markets.
d. Plot the two prediction equations of part c on a scatterplot of the data.
e. Is there evidence to conclude that the slope of the linear relationship between volatility y and credit rating x1 depends on market type? Test using α = .01.
Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Statistics For Business And Economics
ISBN: 9780321826237
12th Edition
Authors: James T. McClave, P. George Benson, Terry T Sincich
Question Posted: