Suppose two ordinary shares traded on Ghana Stock Exchange: Eco Menz Lid (Y) and National Gas...
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Suppose two ordinary shares traded on Ghana Stock Exchange: Eco Menz Lid (Y) and National Gas pipeline (Y2). The prices and dividends from these two companies were collected for three years on a quarterly basis ending 2017. Emmanuela is seeking your investment advice. Dividend YI Return Y2 Return Quarter GSE INDEX Y1 Cluse 236.25 159.82 1 234567 8 9 10 11 12 2512 2050.8 1938.7 1722.3 1891.5 2045.8 2125.4 2187.1 2237.3 2192.22 2297.66 2430.05 126 114.25 124.29 172.79 207.72 308.19 285.85 230.75 217.44 248 Y2 Close 588.77 497 410 379.51 397.1 425.05 408.15 428.25 487.62 516 $28.02 541.26 5.75 5.75 6 6 6.25 6.25 6.5 6.5 6.75 6.75 7.1 7.1 -0.299 -0.174 -0.046 0.143 0.441 0.240 0.515 -0.051 -0.169 -0.027 0.173 v) Compute coefficient of variation for the two securities. vi) Calculate the covariance for the two securities and explain the results. vii) Caculate the correlation coefficient and explain the results. -0.146 -0.163 -0.060 -0.063 0.086 -0.024 0.065 0.154 0.072 0.037 0.039 i) Compute the individual average return of the two securities Y1, Y2 and explain the results. (4 Marks) the portfolio (2 Marks) (6 Marks) ii) Suppose Emmanuela wish to put 2/3 of her capital in Y1 and 1/3 in Y2, calculate return. iii) Calculate the individual risk of the two securities and explain the results. iv) Assume that the risk-free rate is given as 0.015, compute the sharpe ratic and price of risks for the two individual securities. (4 Marks) (2 Marks) (3 Marks) (3 Marks) viii) Suppose the Emmanuela decided to maintain the same proportions she used in question (ii) above, calculate the portfolio risk. (4 Marks) vix) What is your advice to Emmanuela as to how to diversify the portfolio following your answers? (2 Marks) (Total Marks 30) Suppose two ordinary shares traded on Ghana Stock Exchange: Eco Menz Lid (Y) and National Gas pipeline (Y2). The prices and dividends from these two companies were collected for three years on a quarterly basis ending 2017. Emmanuela is seeking your investment advice. Dividend YI Return Y2 Return Quarter GSE INDEX Y1 Cluse 236.25 159.82 1 234567 8 9 10 11 12 2512 2050.8 1938.7 1722.3 1891.5 2045.8 2125.4 2187.1 2237.3 2192.22 2297.66 2430.05 126 114.25 124.29 172.79 207.72 308.19 285.85 230.75 217.44 248 Y2 Close 588.77 497 410 379.51 397.1 425.05 408.15 428.25 487.62 516 $28.02 541.26 5.75 5.75 6 6 6.25 6.25 6.5 6.5 6.75 6.75 7.1 7.1 -0.299 -0.174 -0.046 0.143 0.441 0.240 0.515 -0.051 -0.169 -0.027 0.173 v) Compute coefficient of variation for the two securities. vi) Calculate the covariance for the two securities and explain the results. vii) Caculate the correlation coefficient and explain the results. -0.146 -0.163 -0.060 -0.063 0.086 -0.024 0.065 0.154 0.072 0.037 0.039 i) Compute the individual average return of the two securities Y1, Y2 and explain the results. (4 Marks) the portfolio (2 Marks) (6 Marks) ii) Suppose Emmanuela wish to put 2/3 of her capital in Y1 and 1/3 in Y2, calculate return. iii) Calculate the individual risk of the two securities and explain the results. iv) Assume that the risk-free rate is given as 0.015, compute the sharpe ratic and price of risks for the two individual securities. (4 Marks) (2 Marks) (3 Marks) (3 Marks) viii) Suppose the Emmanuela decided to maintain the same proportions she used in question (ii) above, calculate the portfolio risk. (4 Marks) vix) What is your advice to Emmanuela as to how to diversify the portfolio following your answers? (2 Marks) (Total Marks 30)
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To solve the given questions lets organize the data provided Quarter GSE INDEX Y1 Close Y2 Close Dividend Y1 Return Y2 Return 2512 23625 58877 575 20508 15982 497 497 42825 65 48762 675 0065 154 498 2... View the full answer
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Financial Institutions Management A Risk Management Approach
ISBN: 978-0071051590
8th edition
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
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