Reference no: EM131482646

ANALYTICAL METHODS

You have been directed to study U.S stock markets, and have been provided the monthly- adjusted close price of Apple Inc. (APPL), S&P500 index and NASDAQ index for the period of January 2001 - December 2016.

Note: Data available via Resources -> Assessment Resources -> Assignment 2017 folder

Please complete the following questions:

1. Calculate monthly discrete returns (hint: holding period returns) for the S&P 500 index, NASDAQ index, and Apple Inc. (APPL) stock prices, respectively.

2. Compute descriptive statistics for monthly Apple Inc. (APPL) stock prices, S&P500 index and NASDAQ index, respectively.

3. Construct the frequency distributions (including relative frequency and cumulative frequency) for APPL returns, S&P 500 index returns and NASDAQ index returns, respectively. Use 10 intervals.

4. What is the probability of the S&P 500 index returns above 10%? What is the probability of the NASDAQ index returns being between 2% and 8%?

5. Is the distribution of monthly APPL returns Normal distribution? Are the distributions of S&P 500 index returns and NASDAQ index returns different? Provide evidences.

6. In order to predict the monthly APPL returns, your supervisor advised two simple linear regression models:

Model A: Assuming a linear relationship between monthly APPL returns and S&P 500 index returns.
Model B: Assuming a linear relationship between monthly APPL returns and NASDAQ index returns

For model A, test if the intercept coefficient is significant at the 5% level; Calculate 95% confidence interval for the slope coefficient.

For model B, Predict the APPL return when NASDAQ index return being 2%, and calculate its 90 percent prediction interval.

Attachment:- data_2017 (1).csv