You are analysing U.S stock markets. You have been provided weekly adjusted close prices for…

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You are analysing U.S stock markets. You have been provided weekly adjusted close prices

for NASDAQ (National Association of Securities Dealers Automated Quotations) Composite

index, Intel Corporation (INTC), and Microsoft Corporation (MSFT) for the period of

January 2010 – December 2019.

Data available via Resources – Assessment resources — Assignment folder.

Please complete the following questions:

1. Calculate weekly holding period returns for the NASDAQ index, Intel Corporation

(INTC) and Microsoft Corporation (MSFT) stocks prices, respectively.

2. Which one has the highest relative risk among the weekly returns of NASDAQ index,

INTC and MSFT? Provide evidences.

3. Assuming Normality, what is the probability of the INTC returns above 3%? What is

the probability of the MSFT returns being between -2% and 2%?

4. Test whether the mean returns of NASDAQ index is significantly different from zero

at the 1% level of significance. Test whether the mean returns of INTC is

significantly different from 0.5% at the 5% level of significance.

5. What is the covariance of NASDAQ index returns and INTC returns? What is the

correlation coefficient between the MSFT stock returns and INTC stock returns?

6. In order to predict the weekly Intel Corporation (INTC) returns, your supervisor

advised two linear regression models:

Model A: Assuming a linear relationship between INTC returns and MSFT returns.

Model B: Assuming a linear relationship between INTC returns and MSFT returns

and NASDAQ index return jointly.

6.1: For model A, is the intercept coefficient significant at 5% level? is the slope

coefficient significant at 1% level?

6.2: For model B, Construct the 99% confidence interval for the intercept coefficient,

and interpret it.

6.3: Which model you would recommend to your supervisor, and why?

Attachments:

DATA–1-.csv
MAF759-Assign….pdf

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