Calculate the standard deviation, Financial Econometrics

You are required to conduct a stock market simulation for a period of  four weeks (week 4 - week 7). This is a group project which may consist of five members only. Each group will be allocated a cash amount of RM150,000  to trade in  the chosen company's shares in  Bursa Malaysia.  The  numbers  of trading are  restricted to minimum of  two  to maximum of  six  in  four weeks. All shares are expected to be sold by the end of the week four to realize capital gains/losses. Prior to trading, you are advised  to review the past performance of the company chosen and other materials to enhance the  share  investment  return, and eventually make  the experience more rewarding.     
 
Prior to trading, you should conduct research on some potential companies (3 to 5) of your choice in order to select one to trade to maximize your return as an investor.

Risk and Return:

Obtain

the closing share price (in the beginning of each month) of the company you have selected and;

the FTSE Bursa Malaysia Kuala Lumpur Composite Index (FBM KLCI) for the past months from May 2011 until June 2012.

a)  Calculate the average monthly returns for your company and the FBM KLCI from Bursa Malaysia.

b)  Calculate the  standard deviation of the monthly returns for  your company and the FBM KLCI.

c)  Calculate the covariance and correlation between the monthly returns of your company and the FBM KLCI.

(d) Comment on your findings in Part 1(a), (b) and (c).

 2.  Capital Asset Pricing Model (CAPM):

a)  Calculate the beta for your company.

b)  Determine the risk free rate and calculate the required rate of return for your company using the Capital Assets Pricing Model.
 
c)  Evaluate the sensitivity of your company's systematic risk, and recommend how it could be managed.

Posted Date: 2/15/2013 4:29:11 AM | Location : United States







Related Discussions:- Calculate the standard deviation, Assignment Help, Ask Question on Calculate the standard deviation, Get Answer, Expert's Help, Calculate the standard deviation Discussions

Write discussion on Calculate the standard deviation
Your posts are moderated
Related Questions
To buy a retirement home, you will need $525,000 in 18 years. If funds can be invested at an effective return of 6 percent a year, how much must you invest today to have the desire

why is research important in the feild of finance

1. Apply investment appraisal techniques to project cash flows in different business scenarios and in situations of uncertainty, to arrive at investment decisions and to evaluate t

Organisations involved in international trade and investment seek economic and political stability. For this reason it is prudent for those organisations to conduct a country risk

Q. Conservative policy for financing working capital? A conservative policy for financing working capital is one where short-term finance is usedto fund: A : All of the flu

Differentiate between Ordinary shares and Preference shares. Briefly explain three characteristics that any security for a loan should have.

a rural population (given in thousands) is thought to decline according to the equation p=15e^(-0.1t). if t=0 at the beginning of 1998. calculate the numbers in the population at t

You decide to max-out your annual investment into your Individual Retirement Account and invest $6,000 at the end of each year for the next 17 years. At the end of this investment

Acceptance Sampling is a statistical measure used in quality control. A company cannot test all of its products because of ruining the products, or the volume of products being ver

Power is a listed group reporting under IFRS. The group was established when Power purchased an 80% of the ordinary share capital of Shuttle, a listed company, on 1 January 2009 fo