Statistics of Business & Finance - Calculations and Interpretation

STATISTICS OF
BUSINESS &
FINANCE
STUDENT NAME/ID
[Pick the date]

PART A: CALCULATIONS
TASK B
(1) Using the given formula and Excel, returns on each of the given stock (i.e GD & BA) have
been computed along with the S&P 500 Index.
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In order to test if the stock returns are normally distributed or not, the Jarque Berra test has been
performed using the following hypotheses.
Level of significance = 5%
The computation of JB test statistic can be carried out using the following formula
The above formula has been used and test statistic for GD and Boeing stock are as estimated
below.
The JB test statistic for the GD stock estimated above tend to be higher than the corresponding
critical value for α = 0.05. As a result, it may be correct to conclude that the available evidence
with regards to GD stock highlights rejection of null hypothesis and acceptance of alternative
hypothesis. However, in case of BA returns, the JB statistic is lower than the corresponding
critical value α = 0.05. As a result, it may be correct to conclude that the available evidence with
regards to BA stock does not highlight rejection of null hypothesis and acceptance of alternative
hypothesis.
(2) Considering that GD returns distribution is not normal, hence the appropriate distribution for
these returns would be a student t distribution. The relevant hypothesis based on the claim
regarding GD stock return is shown as follows.
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