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Quantitative analyst at an investment firm - Company ASX200 List

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You allocated company can be found in the “ASX200 List” file in Group Assignment folderunder resources. For example, if you enroll in Group 29, then Bellamy's Australia (Ticker:BAL) is your allocated company. Please note, as we need to download two year of historicaldata for the company (see assignment question for detail), you need to check whether yourallocated company has valid and enough observations over the sample period. If the allocated company has less than 378 observations (1.5 year observations, 252+126), please contactme, you group with be assigned a new company....

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You allocated company can be found in the “ASX200 List” file in Group Assignment folderunder resources. For example, if you enroll in Group 29, then Bellamy's Australia (Ticker:BAL) is your allocated company. Please note, as we need to download two year of historicaldata for the company (see assignment question for detail), you need to check whether yourallocated company has valid and enough observations over the sample period. If the allocated company has less than 378 observations (1.5 year observations, 252+126), please contactme, you group with be assigned a new company.Questions:You are invited to work as a quantitative analyst at an investment firm, and you have beendirected to prepare a report for an S&P/ASX 200 company’s performance.Part A [ 6 marks](A.1) Download the daily adjust close S&P/ASX 200 index and daily adjust close price ofyour assigned company’s stock for the period of 1 November 2016 – 30 October 2018 (viaYahoo Finance).(A.2) Write a brief overview of the S&P/ASX 200 index and of your assigned company.(About 200 words each)(A.3) Calculate continuously compounded daily returns for both the S&P/ASX 200 indexand your company’s stock.(A.4) Obtain descriptive statistics for S&P/ASX 200 index and for your company’s stockprices, as well as their returns obtained in (A.3), respectively.(A.5) Construct separate time series graphs for S&P/ASX 200 index and its return, also yourcompany’s stock prices and its returns.Page 2Part B [ 12 marks](B.1) Construct the frequency distributions (inclding relative frequency and cumulativefrequency) for S&P/ASX 200 index and for your company’s stock prices. Use 25 intervals.(B.2) Based on returns calculated in (A.3), obtain a histogram for S&P/ASX 200 daily indexreturn and a histogram for your company’s stock daily returns. Use the number of bins of 25.(B.3) Based on returns calculated in (A.3), calculate the values of(i) mode, (ii) median, (iii) mean, (iv) first quartile.(B.4) Calculate the mean values and the standard deviation of daily returns for S&P/ASX200 index for the first year and second year respectively. Obtain the percentage of valuesthat are within one and two standard deviations of the mean. Which year of return has alarger variation? Give reason(s).(B.5) Calculate target semi-variance of daily returns for S&P/ASX 200 index and yourallocated company, where the target is the S&P/ASX200 or company incur daily loss. (B.6)Compare the total risk of your allocated company versus that of S&P/ASX200 over thesample period. Does the conclusion change if you compare the coefficients of variation?(B.7) Does the distribution of daily return for S&P/ASX 200 index and your allocatedcompany have negative or positive skewness (comparing with Normal distribution) duringthe sample period? Give evidence for your conclusion.(B.8) Do you think the distribution of daily returns of S&P/ASX 200 index is different fromthe distribution of daily returns of your company’s stock? Provide evidence.Part C [ 9 marks](C.1) Test whether the mean returns of S&P/ASX 200 index and your company aresignificantly different from zero at 5% level of significance. (C.2) Find the correlation between the S&P/ASX 200 index returns and your company’sstock returns. Is the correlation statistically significant at 5% and 10% level? Describe yourresults.Page 3(C.3) Assuming there is a linear relationship between your company’s stock returns andS&P/ASX 200 index returns. You are invited to run a simple linear regression by using yourcompany’s stock returns being dependent variable, and S&P/ASX 200 index returns beingindependent variable.• Show the linear regression model you obtained, is the intercept coefficent significantat 5% level? Is the slope coefficient significant at 5% level? Give reason(s).• Show the confidence interval of the slope coefficent at 5% level.• Obtain the coefficeint of determination, interpret it.• Obtain standard error of the estimate for your linear regression model

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