Econometrics: Analysis of GFC and Great Recession - Case Study

This case study examines the impact of the Global Financial Crisis (GFC) and the Great Recession on Apple's share price using econometric analysis. The assignment utilizes dummy variables to represent the beginning, continuation, and ending of these economic events. The analysis involves regression models to determine the significance of these events on Apple's stock performance. The results indicate that, based on the provided data, the GFC and Great Recession did not significantly affect Apple's share price, suggesting the company's resilience during these periods. The study also includes the calculation and interpretation of t-statistics and F-statistics to assess the significance of the dummy variables and the overall model fit. This analysis provides insights into how macroeconomic events can impact individual company performance and the application of econometric tools in financial analysis.

Running head: BASIC ECONOMETRICS
Basic Econometrics
Name of the Student
Name of the University
Author note

2BASIC ECONOMETRICS
Table of Contents
Case Study 2....................................................................................................................................3
Answer d......................................................................................................................................3
Answer e......................................................................................................................................4

3BASIC ECONOMETRICS
Case Study 2
Answer d
Dependent Variable: RS
Method: Least Squares
Date: 10/02/17 Time: 21:09
Sample (adjusted): 2001M07 2016M06
Included observations: 180 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.019347 0.007300 2.650086 0.0088
RM 1.353615 0.163521 8.277922 0.0000
DA1 0.011218 0.023252 0.482450 0.6301
DE1 -0.187169 0.094476 -1.981122 0.0491
R-squared 0.305289 Mean dependent var 0.023344
Adjusted R-squared 0.293447 S.D. dependent var 0.109235
S.E. of regression 0.091819 Akaike info criterion -1.916013
Sum squared resid 1.483824 Schwarz criterion -1.845058
Log likelihood 176.4411 Hannan-Quinn criter. -1.887244
F-statistic 25.78086 Durbin-Watson stat 2.021131
Prob(F-statistic) 0.000000
Dependent Variable: RS
Method: Least Squares
Date: 10/02/17 Time: 21:15
Sample (adjusted): 2001M07 2016M06
Included observations: 180 after adjustments
Variable Coefficient Std. Error t-Statistic Prob.
C 0.032418 0.010498 3.088029 0.0023
RM 1.364154 0.160253 8.512522 0.0000
DA2 -0.023227 0.013894 -1.671720 0.0964
DE2 0.060182 0.092575 0.650085 0.5165
R-squared 0.302022 Mean dependent var 0.023344
Adjusted R-squared 0.290125 S.D. dependent var 0.109235
S.E. of regression 0.092035 Akaike info criterion -1.911322
Sum squared resid 1.490800 Schwarz criterion -1.840368
Log likelihood 176.0190 Hannan-Quinn criter. -1.882553
F-statistic 25.38569 Durbin-Watson stat 2.028347
Prob(F-statistic) 0.000000

4BASIC ECONOMETRICS
The additive dummy variables DA1 and DA2 denote indicate the beginning, continuation
and ending of GFC and Great Recession. DE2 denotes the official ending period of GFC and
Great Recession. The t statistics correspond to DA1 and DA2 are 0.482450 and -1.671720
respectively. Both the t statistics lie outside the critical region implying acceptance of non
significance of two dummies. t statistics for event dummy DE2 is 0.650085. The t value is less
than the critical value. F statistics for DA1, DA2 and DE2 are insignificant as implied from
probability value of F statistics. Therefore, GFC and Great Recession do not make any difference
in the market models.
Answer e
The regression of Apple’s share price on additive and event dummy correspond to GFC
and Great Recession shows the effect of this event on share price of Apple. Significance of the
coefficients of theses dummy variables imply GFCD and Great Recession have significant effect
on the share price.
However, the regression result indicates insignificance of the additive and event dummy
variables. This implies GFC and Great Recession do not have any significant impact on Apple’s
share price though it ought to be. This shows ability of the company to maintain stability in its
share and stock prices.