In this first part of the homework, you will collect the data which you will use for
Question:
In this first part of the homework, you will collect the data which you will use for both this and next parts of the homework. You will also perform some preliminary analyses given below:
1) Obtain closing price data for you assigned stock from Borsa Istanbul and Borsa Istanbul 100 stock index for the time period between Jan 2 , 2018 and Dec 31, 2019.
2) Generate return series for price series using the following formula:
rt=Pt-Pt-1/Pt-1
3) For each price and return series , calculate sample mean, median, variance, standard deviation and range using spreadsheet formulas.
4) Plot each price and return series with respect to time.
5) Generate a scatter plot of returns of your assigned stock with respect to market index returns.
6) Calculate the covariance and correlation between returns of your assigned stock and market index.
7) Do you think you findings are consistent with the finance theory? Comment.
In this part of the homework, test the following null hypotheses using your assigned stock and BIST 100 stock index daily return data you calculated in Part I, against two-sided alternatives at 1%, 5% and 10% significance levels:
i) Mean BIST 100 daily return is equal to 0.
ii) Mean BIST 100 daily return is equal to 0.0002.
iii) Mean BIST 100 daily return is equal to 0.0004.
iv) Mean daily return of your assigned stock is equal to 0.
v) Mean daily return of your assigned stock is equal to 0.0002.
vi) Mean daily return of your assigned stock is equal to 0.0004.
Business Statistics a decision making approach
ISBN: 978-0133021844
9th edition
Authors: David F. Groebner, Patrick W. Shannon, Phillip C. Fry