Forecasting and Quantitative Analysis of ANZ Stock Returns

FORECASTING AND
QUANTITATIVE
ANALYSIS

Table of Contents
INTRODUCTION...........................................................................................................................3
MAIN BODY..................................................................................................................................4
Presentation of data graphically and discussion of results..........................................................4
Calculation & presentation of descriptive statistics for the stock returns of ANZ......................5
Regression analysis to test the predictive power of past returns on future returns......................6
Summarizing the results, providing conclusions and making recommendations........................7
REFERENCES................................................................................................................................9
Books and Journals......................................................................................................................9

INTRODUCTION
Forecasting and quantitative analysis with regards to stocks involve statistical analysis to
determine the future returns by holding the stock in alignment with the past or lagged returns
derived through the stock. This report would be based on the forecasting & quantitative analysis
of one such Australian listed stock that is, ANZ which is one of the stock forming part of ASX
200 index. ANZ or the Australia & New Zealand Banking Group limited is a multinational
financial services & banking company of Australia headquartered in Melbourne, Victoria. This
bank has obtained second largest & fourth largest place in Australia on the basis of assets held
and market capitalization. The current corporate entity of the bank was set up in 1970 on 1st
October with the merger between ANZ and ES&A bank which was considered as the largest
merger of the Australian history (Ghosal and et. al. 2020).
ANZ is a public limited bank and accordingly traded as ASX: ANZ and NZX: ANZ along with
being one of the component of ASX 200 Index. It served the population across the globe through
range of financial & banking services such as consumer banking, corporate banking, private
banking, investment management & banking, credit cards, private equity, mortgages and global
wealth management (Gunst and Mason, 2018). With 51000 employee base, this bank is serving
approximately 9 million customers across the globe where six million are belonging from
Australia itself who are served through 570 or more branches of the bank.
In this report, the weekly stock returns of ANZ would be calculated and presented
graphically. Further, the calculation, presentation and discussion will be done of description
results obtained for the weekly stock returns of ANZ for past two years. Next, the regression
model will be used to determine the predictive power of past returns on future returns along with
explaining correlation, slope and p value of the series. At last the summary will be presented for
the results and accordingly, recommendations will be made for the improvement in analysis.
The time interval chosen for the forecasting & quantitative analysis performed here is weekly
data where the opening stock prices of ANZ will be taken into account to indicate how returns
have changed every week during the last two years. Daily data if taken for six months would
give a short picture of ANZ stock performance while the monthly data of ANZ stock prices for 5
or more years makes the analysis time consuming (Valaskova, Kliestik and Kovacova, 2018).