economics_Task -- 2

1500 word report,

data file is attached

a) Download the monthly data series from DataStream for the period between January 2000 and December 2019 for the following:

 the share price from a company that has been randomly assigned to you,

(you will be provided with the name of the company assigned to you in the ‘Assessments’ folder in Introduction to Financial Econometrics site on DUO.)

 the FTSE All Share Index (proxy for the market portfolio), and

 the UK 3 Month Treasury Bill (proxy for the risk-free rate of return).

Note: the UK 3 Month Treasury Bill Interest Rate is given as an annual rate.


Transform prices into log returns, plot the return data, report the sample statistics, and examine whether the log returns are normally distributed.

b) Carry out a test for stationarity in your company return and the market return. Carefully explain the test procedure and the importance of your results.

c) Identify an univariate time-series model for the estimation of your company’s return. Comment on the procedure adopted and pay particular attention to the identification, estimation and diagnostic stages of the modelling process.

In finance it is customary to explain the changes in the excess return on an asset as a linear function of the excess return on the market portfolio, i.e.,

Rt=α+βRMt+ut (1)

where Rt is the excess return on a stock (with respect to the risk-free rate), RMt is the excess return on a market index (with respect to the risk-free rate).

Estimate the beta value of your company using the model described in equation (1) and check the adequacy of the model. (20 marks)

Construct an appropriate dummy variable and estimate a multiple regression model to investigate whether the result of British referendum to withdraw from the EU (‘Brexit’) has had an impact on your company’s return and its beta. (20 marks)

All results should be properly tabulated in the main body of the assignment along with any diagrams you deem appropriate. You should not include the raw software or EXCEL output. This should be reformulated into your own tables. Keep your answers as precise and concise as possible. You should properly reference any relevant econometric literature (theoretical and applied) referred to in the text.

You should include the raw data and return series for the first and last years in the sample (i.e. 2000 AND 2019) in an appendix

Skills: Business Analysis, Finance, Research Writing, Statistical Analysis, Statistics

See more: task implement quicksort using linked lists instead arrays, using ebay stock image, using excel stock control, writing task 2 many governments think that economic progress is their most important goal, ielts writing task 2, ielts 12 test 8 writing task 2, ielts essay on economic development, some people claim that not enough of the waste, economic growth is the only way to stop poverty and hunger, meaning of economic progress, some people say that the only reason for learning a foreign language, using mysql stock control, automate some task -- 2, automate some task 2, management task 2, psd 2 html using theme - work right now and all night, small java task -- 2, small java task 2, academic writing task 2, acadmic ielts writing task 2

About the Employer:
( 610 reviews ) Bangalore, India

Project ID: #24694823

7 freelancers are bidding on average ₹2679 for this job


Hello, ‌Hope you doing well.I have checked all your requirements and we able to do this and deliver in time.I have 5 years of experience in these types of work. So, I believe we can do that work with your support. ‌Reg More

₹3000 INR in 3 days
(36 Reviews)

Let's professional within the discipline of writing manage your project, I have spent 7 years in this subject. My Writing Work creates perception, interplay, and impact. • Fresh Well-Written and a hundred% Original con More

₹2000 INR in 7 days
(1 Review)

Hi, We are a group of freelancers. We have an expert in business analysis and business writing. He is a regular reader of economist and regularly watch CNBC TV18. He himself is investor in Indian share market and made More

₹2250 INR in 5 days
(0 Reviews)

I have 3+ years experience in stock market and 10+ years experience in financial statements related reporting. I have very good understanding of market price and statistical co-relations. Further I can put insights fr More

₹5250 INR in 7 days
(0 Reviews)

Am a student..I make Quality write ups,with 5years of experience in writing and research work. I know a trial will convince you! Thanks, Joe!!

₹1750 INR in 10 days
(0 Reviews)
₹2250 INR in 10 days
(0 Reviews)
₹2250 INR in 10 days
(0 Reviews)