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Applied Statistics for Finance and Economics Project Report - Coursework Example

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This essay applies the econometrics knowledge learned in the practical application. Two main variables of interest were used. STATA software was employed for the analysis of the data. There exists a positive relationship between log returns of the variables y (‘dly’) and that of sap (‘dlsap’)…
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Applied Statistics for Finance and Economics Project Report
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Download file to see previous pages We present the summary statistics (which includes the mean, standard deviation, skewness, kurtosis and the plots) for the log returns. The for the log returns for sap (dlsap) is given as 1.9539 while that of end-of-week share price for a particular stock (dly) is given as 0.4551. The skewness for dlsap is 0.2553 while that of dly is 0.1481; the two values are greater than zero which implies that we have a Right skewed distribution in both cases - most values are concentrated on left of the mean, with extreme values to the right. In regard to the kurtosis, the dlsap has a kurtosis of 2.2926 while that of dly is 2.225; the two values are less than 3 implying that we have a Platykurtic distribution, flatter than a normal distribution with a wider peak. The probability for extreme values is less than for a normal distribution, and the values are wider spread around the mean. To understand the flow of data over time, we constructed a time series plot and it can clearly be observed that the values for dly have been on the decrease from 2002 to end of 2004 before it began to rise again. On the other hand, the values for dlsap began to rise from 2004 and it maintained the rise all through. The two histograms for dly and dlsap are presented below. The histograms are in an attempt to check for the normality of the data. It is clear that dly does not show the element of being normally distributed while dlsap is close to being normal as from the shape. Apart from the graphical visualization, we conducted a statistical test to check for normality of the data. Shapiro-Wilk test was used to check for the normality. ...Download file to see next pagesRead More
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