Please up-load one (and one only)
either word or pdf file with both your name and student number clearly
printed on the first page. Use a file name that gives your identity. For the
excel sections it is ok to take screen shots to show some of your
workings then cut and paste into your document. For the maths sections, if you
prefer, you can hand write then scan and add to your document.
The data to be used for all, except
Question 5, is in the Excel file ECON
1095 Data Sem 2 2020 where you will find monthly international share price
indices from 1990 to 2020. Please go to the Reserve Bank of Australia’s website www.rba.gov.au (the source of this data) and update
for July and August 2020.
Although recent events in
Hong Kong have created uncertainty, often such things can also provide
opportunities for investors. As a first step, an investor considering the Hong
Kong share market, examines the long term continuous returns for the Hang Seng.
Use Excel’s Data Analysis/Descriptive Statistics to find the Hang Seng monthly
returns from start of 1991 until August or September 2020.
Calculate the 95% confidence interval for the monthly returns
for the Hang Seng over this period.
As the investor is concerned about the possibility of
negative returns, test to see whether the average monthly returns for the Hang
Seng are less than or equal to zero. Making reference to this hypothesis test, briefly discuss whether the
investor should be worried about the possibility of negative returns if they
invest in the Hong Kong share market. Discuss type 1 and type 2 error and how
they may relate to this hypothesis test.
Test to see whether the monthly returns on the Hang
Seng over this period are normally distributed using the Jarque-Bera test. This
should be done in Excel, by calculating the Jarque-Bera statistic using the
formulas from the notes and Data Analysis/Descriptive Statistics. Using the
results of this test, comment on the accuracy of the probabilities calculated
in parts (a) and (b) of this question.
(d) The Hang Seng monthly returns over the sample period
are negatively skewed. Explain why this is the case and the implications for
(e) Using the continuous returns on the Hang Seng, determine
whether the rises and falls are independent using a runs test. What are the
implications of your findings?
the investor would like to look at the long-term relationship between the Hang
Seng and the United State S&P 500 (US). Using the same time-period as in
Examine the connection between the Hang Seng and US
using a series of graphs. Please do a few graphs, both as levels and returns
and as XY and line (time series) graphs. Does it look as though the Hang Seng
and US are dependent or independent? Feel free to re-use graphs you produced in
Calculate correlation coefficients between the Hang
Seng and US (data analysis, correlation). Again, do
this both for the levels and returns. Please interpret the coefficients and
offer a brief explanation for their values.
It is likely that September 2020 will be available before submission date, if
wish you can also add this up-date, but if you choose not to that is fine.
Use the same time-period for all questions that use this data set in the
 Use a level of significance of a =
0.05 for this and all other tests in this assignment.
Note that when Excel calculates kurtosis it subtracts 3 from the value.
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