Financial analysis assignment: 10th May due
$30-250 USD
Pagado a la entrega
You are recently employed as financial analysts for the Australian think tank. Your first assignment
is to perform a thorough analysis using the Australian Ordinary Index (AOI). Using your skills and
knowledge, perform the following tasks:
a. Obtain continuously compounded daily returns of AOI. Draw a histogram and comment
on the graph. (3 marks)
b. Calculate the mean and the standard deviation of daily returns and obtain the percentage
of the values that are within
I. one standard deviation of the mean,
II. two standard deviations of the mean, and
III. three standard deviations of the mean. (3 marks)
c. Based on part b, do you think that the distribution of the daily returns have a thicker tail
than the Normal distribution. (2 marks)
d. What is the probability that the next day return is negative? (2 marks)
e. Calculate Skewness and Kurtosis and compare these values to the normally distributed
returns. (2 marks)
f. Test whether the average return is significantly different from zero at the 5% level of
significance. (2 marks)
g. Determine the shape of the return distribution based on Skewness and Kurtosis. (1.5
marks)
h. Simulate returns using the sample size, mean, and standard deviation of AOI. Assume
normality for the returns data. (2 marks)
i. Draw a histogram and compare it with the corresponding histogram in part a. above.
What differences do you observe? (2 marks)
j. Calculate the Skewness and Kurtosis of the simulated returns and compare them with that
of obtained in part g. above. (1.5 marks)
k. Choose the share price of a Market mover (among any volume leaders) and calculate
I. the coefficient of correlation between the returns of the market mover and the
returns of the AOI, and
II. estimate the equation:
Nº del proyecto: #5918680
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