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Applied statistics for economics - Essay Example

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Stock market prediction has been of major interest to the statisticians and econometricians for quite some time. Having an accurate idea and knowledge relating the future performance helps traders and farmers to invest in the most viable business opportunities thus maximizing the profits…
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Applied statistics for economics
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"Applied statistics for economics"

Download file to see previous pages Consistent with the research predictions, the study found out that standard & poor 500 indexes are more likely to release good news forecasts following larger stock price declines. Moreover, as expected there is no association between the likelihood of releasing good news forecasts and the magnitude of an exogenous stock price increase. Also to be illustrated in this report is the potential of Time-frequency Representation (TFR) techniques, for the analysis of stock markets data and compare their performances. It is for this reason that we seek to analyze the behavior of the stock market price over the period from 2002 to 2007. MAIN OBJECTIVES/BROAD PURPOSES OF THE PROJECT This report aims at investigating the following objectives; i) To investigate whether all the investors are risk averse and measure risk in terms of the standard deviation in a portfolio’s return. ii) To investigate whether all investors have a common time horizon for investment decisions (e.g., a year). iii) To investigate whether all investors have identical subjective estimates of future returns and risks for all securities. iv) To investigate whether there exists a risk-free asset and all investors may borrow or lend an unlimited amount at the risk free nominal rate of interest. v) To investigate whether all securities are completely divisible, there are no transactions costs or differential taxes, and there are no restrictions on short-selling. vi) To investigate whether information is freely and simultaneously available to all investors. We could summarize the above by stating that all individuals are price-takers and that markets are perfectly competitive. OUTCOMES OF THE PROJECT Comparing...
Applied Statistics For Economics

A time series can be said to collection of data yt (t=1,2,…,T), with the interval between yt and yt+1 being fixed and constant. Time series analysis is the estimation of difference equations containing stochastic (error) terms (Enders 2010). Time series forecasting takes the analysis from the time series data and tries to predict what the data may be in the near future, based on what it has been in the past. This is especially important in the field of stock market investment, as traders want to make the right moves at the right times to maximize financial profit. But because there are many factors influencing the fluctuation of the stock market, creating an accurate forecast based on the analysis alone is difficult. Therefore, many approaches and models have been developed to utilize the time series analysis and provide an accurate prediction of what is to come in the stock market. Standard & Poor 500 indices are designed to reflect the U.S. equity markets and, through the markets, the U.S. economy. The Standard & Poor 500 index focuses on the large-cap sector of the market; however, since it includes a significant portion of the total value of the market, it also represents the market. Companies in the Standard & Poor 500 index are considered leading companies in leading industries.
Comparing the mean of dly and that of dlsap, we observe that the end of week mean price for the logarithm of share price for a particular stock (denoted dly) is lower compared to the end of week mean for the logarithm of Standard & Poor 500 index. ...Download file to see next pagesRead More
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