FIN11101 Statistics – Probability and Risk-output and SPSS instructions


You are required to submit two documents
(a)    A written report, the contents of which are detailed below.
(b)    A Word or PDF document containing your output and SPSS instructions. 
(c)    Both files should be submitted through Turnitin
There are two basic tasks:

1.Choose a stock market index and a company listed in it
2.Submit the “Output Book” material. This will be worth 20% of the available marks.
3.Produce a report of your findings. This will be worth 80% of the available marks. A possible structure for your report is given below.

3. Include a brief section on each of the tasks discussed in the report. For example:
• Behaviour of stock price, and stock returns, over time. Do prices “trend upwards”?
• Nature of stock price, and stock returns, over time. What distribution fits them better?
• Are stock movements predictable? Analyse “Up” and “Down” movements.
• Modelling stock price movements. Can you find a pattern that could help predict them?
• Statistical analysis of “Up” and “Down” movements. We can test whether stock prices appear to fluctuate “randomly” by assessing whether the proportion of “Up” and “Down” movements are equal.
• Correlation between stock price returns. We can analyse whether current stock returns and past returns (over either a single, or many, time periods) are independent.
• Modelling stock price returns. We can try and predict future stock returns from past returns (over either a single, or many, time periods) using linear regression.
• Abnormal stock returns “appear” to exist. For example, stock returns seem to be higher in January compared to all other months. We can perform a statistical analysis to formally test this.
• Correlation between different stocks. To build a stock portfolio we need to analyse how stocks “interact”, and the correlation coefficient (and the covariance) provides an important measure.
• Correlation between stocks and the market. We (traditionally) measure this in terms of the beta value of a stock, which indicates how sensitive a stock is to changes in the underlying market. Beta values can be computed either in terms of covariances, or via regression.
• Efficient stock portfolios. To combine stocks into an efficient portfolio we seek to minimise risk (variance) for a given level of return or, for a given risk, to maximise expected return.

Read less

Leave a Reply

Your email address will not be published. Required fields are marked *