(PDF) Stock market investing
Added on 2021-02-20
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Which stock should I invest in
ContentsTASK 2: HYPOTHESIS TESTING OF MEANS AND VARIANCE EQUALITY......................1(i) Jarque-Berra test of normally distributed returns for each of the two stocks, MSFT andAPPL......................................................................................................................................1(ii) Hypothesis test of average return on APPL is different form 3% at 5% of significant level................................................................................................................................................2(iii) Compare the risks associated with the two stocks...........................................................2(iv) Compare the risks associated with the two stocks...........................................................3TASK 3: REGRESSION ANALYSIS AND INFERENCE............................................................4(i) The excess market return...................................................................................................4(ii) Estimate the Capital Asset Pricing...................................................................................5(iii) Interpretation of estimated CAPM beta coefficient.........................................................7(iv) The 95% confidence interval for the slope coefficient....................................................7(v) Interpret the value of the coefficient of determination R2................................................7(vi) Test of hypothesis if stock is an aggressive stock at the 5% level of significance..........8
TASK 2: HYPOTHESIS TESTING OF MEANS AND VARIANCEEQUALITY(i) Jarque-Berra test of normally distributed returns for each of the two stocks, MSFT and APPLR_MSFT (%)R_APPL (%)Mean0.02102106Mean0.015649Standard Error0.00793276Standard Error0.00964Median0.020157713Median0.016623Mode#N/AMode#N/AStandard Deviation0.061956837Standard Deviation0.075295Sample Variance0.00383865Sample Variance0.005669Kurtosis0.990361162Kurtosis0.032881Skewness0.247615246Skewness-0.2614Range0.326509211Range0.380271Minimum-0.130247554Minimum-0.18404Maximum0.196261658Maximum0.196227Sum1.282284677Sum0.954596Count61Count61Largest(1)0.196261658Largest(1)0.196227Smallest(1)-0.130247554Smallest(1)-0.18404Confidence Level(95.0%)0.015867883Confidence Level(95.0%)0.019284R_MSFT (%)R_APPL (%)Jarque-Berra test4.31E+003.93E+00Kurtosis0.9903611620.032880786Skewness0.247615246-0.261404072(ii) Hypothesis test of average return on APPL is different form 3% at 5% of significant levelH0: μ < a > 3%Hα: μ ≠ 3%t-Test: Paired Two Sample for Means0.03Mean0.014743271Variance0.0057144621
Observations60Hypothesized Mean Difference3df59t Stat-305.8930622P(T<=t) one-tail1.98256E-96t Critical one-tail1.671093032P(T<=t) two-tail3.96513E-96t Critical two-tail2.000995378(iii) Compare the risks associated with the two stocksRisk associated with stocks of MSFTMFSTRisk factorsMean75.24649992.224596Variance820.46342490.127095676Observations6060Pearson Correlation-0.079934271Hypothesized Mean Difference0df59t Stat19.72576961P(T<=t) one-tail5.85638E-28t Critical one-tail1.671093032P(T<=t) two-tail1.17128E-27t Critical two-tail2.000995378Risk associated with Apple StockAPPLRisk factorsMean145.42999962.224596Variance1414.7097650.127095676Observations6060Pearson Correlation-0.048936862Hypothesized Mean Difference0df59t Stat29.47681233P(T<=t) one-tail2.67005E-372
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