Calculate the mean, standard deviation, variance, and correlation coefficient for and separately (for two sub-period in a
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Question:
- Calculate the mean, standard deviation, variance, and correlation coefficient for and separately (for two sub-period in a table-see next page) and comment on the result.
- Explain the value of beta that you have calculated.
- Why the estimated value of beta is different for two sub-periods?
| Period 1: | December 2020 to April 2022 | |||||||
| Date | AORD | COMPANY | rm | rj | RF | rm-RF | rj-RF | |
| Dec-20 | 6870.9 | 4.5 | 0.2963 | -7.2165 | 0.0810 | 0.2154 | -7.2975 | |
| Jan-21 | 6940.6 | 5 | 1.0144 | 11.1111 | 0.0873 | 0.9271 | 11.0238 | |
| Feb-21 | 7017 | 5.09 | 1.1008 | 1.8000 | 0.1105 | 0.9903 | 1.6895 | |
| Mar-21 | 7290.7 | 4.95 | 3.9005 | -2.7505 | 0.1411 | 3.7594 | -2.8916 | |
| Apr-21 | 7406.7 | 4.71 | 1.5911 | -4.8485 | 0.1386 | 1.4525 | -4.9871 | |
| May-21 | 7585 | 4.66 | 2.4073 | -1.0616 | 0.1373 | 2.2700 | -1.1989 | |
| Jun-21 | 7664.2 | 4.59 | 1.0442 | -1.5021 | 0.1267 | 0.9175 | -1.6288 | |
| Jul-21 | 7823.3 | 5.09 | 2.0759 | 10.8932 | 0.1039 | 1.9720 | 10.7893 | |
| Aug-21 | 7629.7 | 5.67 | -2.4747 | 11.3949 | 0.0941 | -2.5688 | 11.3008 | |
| Sep-21 | 7639.1 | 5.35 | 0.1232 | -5.6437 | 0.1062 | 0.0170 | -5.7499 | |
| Oct-21 | 7587.4 | 5.06 | -0.6768 | -5.4206 | 0.1414 | -0.8182 | -5.5620 | |
| Nov-21 | 7779.2 | 5.01 | 2.5279 | -0.9881 | 0.1493 | 2.3786 | -1.1374 | |
| Dec-21 | 7268.3 | 4.78 | -6.5675 | -4.5908 | 0.1331 | -6.7006 | -4.7239 | |
| Jan-22 | 7323.2 | 5.07 | 0.7553 | 6.0669 | 0.1560 | 0.5993 | 5.9110 | |
| Feb-22 | 7789.6 | 5.21 | 6.3688 | 2.7613 | 0.1742 | 6.1946 | 2.5871 | |
| Mar-22 | 7724.8 | 5.6 | -0.8319 | 7.4856 | 0.2060 | -1.0379 | 7.2796 | |
| Apr-22 | 7455.2 | 5.51 | -3.4901 | -1.6071 | 0.2473 | -3.7373 | -1.8544 | |
| average | 0.4018 | 0.7970 | ||||||
| stdev | 2.9248 | 6.2946 | ||||||
| variance | 8.5543 | 39.6215 | ||||||
| correlation | 0.0921 | |||||||
| beta | 0.1983 | |||||||
| Period 2: | September 2022 to January 2024 | ||||||
| Date | AORD | COMPANY | rm | rj | RF | rm-RF | rj-RF |
| Sep-22 | 7054.8 | 5.84 | 5.6313 | 16.3347 | 0.3070 | 5.3243 | 16.0276 |
| Oct-22 | 7480.7 | 6.24 | 6.0370 | 6.8493 | 0.3207 | 5.7163 | 6.5286 |
| Nov-22 | 7221.7 | 6.01 | -3.4622 | -3.6859 | 0.3029 | -3.7651 | -3.9888 |
| Dec-22 | 7686.1 | 6.34 | 6.4306 | 5.4908 | 0.2912 | 6.1394 | 5.1996 |
| Jan-23 | 7458 | 6.42 | -2.9677 | 1.2618 | 0.2955 | -3.2632 | 0.9663 |
| Feb-23 | 7373.3 | 6.62 | -1.1357 | 3.1153 | 0.3034 | -1.4391 | 2.8119 |
| Mar-23 | 7501 | 6.6 | 1.7319 | -0.3021 | 0.2845 | 1.4474 | -0.5866 |
| Apr-23 | 7273.5 | 6.65 | -3.0329 | 0.7576 | 0.2744 | -3.3073 | 0.4832 |
| May-23 | 7401.5 | 6.2 | 1.7598 | -6.7669 | 0.2871 | 1.4727 | -7.0540 |
| Jun-23 | 7622.2 | 6.53 | 2.9818 | 5.3226 | 0.3206 | 2.6612 | 5.0020 |
| Jul-23 | 7517.8 | 5.91 | -1.3697 | -9.4946 | 0.3303 | -1.7000 | -9.8249 |
| Aug-23 | 7249.7 | 5.18 | -3.5662 | -12.3519 | 0.3377 | -3.9039 | -12.6896 |
| Sep-23 | 6967.5 | 4.91 | -3.8926 | -5.2124 | 0.3443 | -4.2369 | -5.5567 |
| Oct-23 | 7297.7 | 5.3 | 4.7391 | 7.9430 | 0.3776 | 4.3616 | 7.5654 |
| Nov-23 | 7829.5 | 5.37 | 7.2872 | 1.3208 | 0.3737 | 6.9135 | 0.9470 |
| Dec-23 | 7912.8 | 5.56 | 1.0639 | 3.5382 | 0.3425 | 0.7215 | 3.1957 |
| Jan-24 | 7959.5 | 5.13 | 0.5902 | -7.7338 | 0.3418 | 0.2484 | -8.0756 |
| average | 0.7877 | 0.0560 | |||||
| stdev | 3.8797 | 7.2826 | |||||
| variance | 15.0520 | 53.0369 | |||||
| correlation | 0.6454 | ||||||
| beta | 1.2114 | ||||||
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