Calculate the standard deviation, Financial Econometrics

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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.


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