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Investment Analysis Assignment

This document contains analysis of stock market returns and market index data over a period of 30 days. It includes daily stock prices, returns, standard deviation of returns, variance, covariance and other statistical measures. Regression analysis was performed to analyze the relationship between stock returns and market index returns, resulting in a multiple R-squared value of 0.23465 indicating a moderate fit of the regression model.

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Maria Mumtaz
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518 views6 pages

Investment Analysis Assignment

This document contains analysis of stock market returns and market index data over a period of 30 days. It includes daily stock prices, returns, standard deviation of returns, variance, covariance and other statistical measures. Regression analysis was performed to analyze the relationship between stock returns and market index returns, resulting in a multiple R-squared value of 0.23465 indicating a moderate fit of the regression model.

Uploaded by

Maria Mumtaz
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Investment

Analysis
Assignment 1,2 and 3
Kanwal Shafqat (MBA 10)

Days
30-Nov
29-Nov
28-Nov
27-Nov
26-Nov
23-Nov
22-Nov
21-Nov
20-Nov
19-Nov
16-Nov
15-Nov
14-Nov
13-Nov
12-Nov
8-Nov
7-Nov
6-Nov
5-Nov
2-Nov
1-Nov

Variance
Standard
Deviation

Prices
Return(Ri)
Deviation (Ri-R)
(Ri-R)^2
10,159.54
0
0
0
10,694.25
5.263%
5.564%
0.310%
10,185.00
-4.762%
-4.461%
0.199%
9,700.00
-4.762%
-4.461%
0.199%
9,650.00
-0.515%
-0.215%
0.000%
9,650.00
0.000%
0.301%
0.001%
9,650.00
0.000%
0.301%
0.001%
9,596.67
-0.553%
-0.252%
0.001%
9,600.00
0.035%
0.335%
0.001%
9,501.00
-1.031%
-0.731%
0.005%
9,501.00
0.000%
0.301%
0.001%
9,501.00
0.000%
0.301%
0.001%
9,501.00
0.000%
0.301%
0.001%
9,501.00
0.000%
0.301%
0.001%
9,501.00
0.000%
0.301%
0.001%
9,501.00
0.000%
0.301%
0.001%
9,774.99
2.884%
3.185%
0.101%
9,600.50
-1.785%
-1.484%
0.022%
9,849.50
2.594%
2.894%
0.084%
9,985.30
1.379%
1.679%
0.028%
9,510.00
-4.760%
-4.459%
0.199%
-0.301%
1.157%
0.0578%
0.02404864

Days

(RiRetur KSE(Rm(RmDeviation (RiRi2)x(RmPrices n(Ri)


100
Rm
Rm2) Rm2)^2 (Ri-R)
R)^2 Rm2)
10159 0.000 1657
0.00
30-Nov
.54
%
3
0
0
0
0.000%
0%
0
10694 5.263 1652 0.27 0.090
0.31
29-Nov
.25
%
7
8%
% 0.000%
5.564%
0%
-0.005%
10185 4.762 1642 0.62 0.437
0.19
28-Nov
.00
%
4
5%
% 0.002%
-4.461%
9%
0.020%
9700. 4.762 1636 0.36 0.178
0.19
27-Nov
00
%
4
6%
% 0.000%
-4.461%
9%
0.008%
9650. 0.515 1627 0.57 0.388
0.00
26-Nov
00
%
0
6%
% 0.002%
-0.215%
0%
0.001%
9650. 0.000 1626 0.03 0.151
0.00
23-Nov
00
%
4
7%
% 0.000%
0.301%
1%
0.000%
9650. 0.000 1625 0.04 0.139
0.00
22-Nov
00
%
6
9%
% 0.000%
0.301%
1%
0.000%
9596. 0.553 1625 0.03 0.157
0.00
21-Nov
67
%
1
1%
% 0.000%
-0.252%
1%
0.000%
9600. 0.035 1619 0.33 0.145
0.00
20-Nov
00
%
7
3%
% 0.000%
0.335%
1%
0.000%
9501. 1.031 1614 0.33 0.146
0.00
19-Nov
00
%
3
4%
% 0.000%
-0.731%
5%
0.001%
9501. 0.000 1619 0.33 0.522
0.00
16-Nov
00
%
7
4%
% 0.003%
0.301%
1%
0.002%
9501. 0.000 1614 0.33 0.146
0.00
15-Nov
00
%
3
4%
% 0.000%
0.301%
1%
0.000%
9501. 0.000 1612 0.14 0.045
0.00
14-Nov
00
%
0
3%
% 0.000%
0.301%
1%
0.000%
9501. 0.000 1612 0.05 0.244
0.00
13-Nov
00
%
9
6%
% 0.001%
0.301%
1%
0.001%
9501. 0.000 1621 0.51 0.707
0.00
12-Nov
00
%
3
9%
% 0.005%
0.301%
1%
0.002%
9501. 0.000 1624 0.18 0.373
0.00
8-Nov
00
%
3
5%
% 0.001%
0.301%
1%
0.001%
7-Nov 9774. 2.884 1621
- 0.034 0.000%
3.185% 0.10
0.001%

99

5-Nov

9600.
50
9849.
50

1.785
%
2.594
%

1605
1
1615
6

2-Nov

9985.
30

1-Nov

9510.
00

6-Nov

Covariance
Varaiance (Rm)
Standard
Deviation (Rm)
Variance (Ri)
Standard
Deviation (Ri)
Beta
Unsystematic
Variance
Unsystematic
S.D

0.005
%
0.002
%
0.004
12
0.058
%
0.024
049
2.806
4611
0.056
%
0.023
6932

1.379
%
4.760
%
0.301
%

1610
1
1596
2

0.15
4%
1.03
5%
0.65
2%
0.34
1%
0.86
7%
0.18
8%

%
0.847
%
0.840
%
0.153
%
0.679
%

1%

0.007%

-1.484%

0.007%

2.894%

0.02
2%
0.08
4%

0.000%

1.679%

0.02
8%

-0.003%

0.005%

-4.459%

0.19
9%

0.030%

1.15
7%

0.095%

0.034%

0.013%
0.024%

Prices
10159.54
10694.25
10185.00
9700.00
9650.00
9650.00
9650.00
9596.67
9600.00
9501.00
9501.00
9501.00
9501.00
9501.00
9501.00
9501.00
9774.99
9600.50
9849.50
9985.30
9510.00

Return(Ri)
0.000%
5.263%
-4.762%
-4.762%
-0.515%
0.000%
0.000%
-0.553%
0.035%
-1.031%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
2.884%
-1.785%
2.594%
1.379%
-4.760%
-0.301%

KSE-100
16573
16527
16424
16364
16270
16264
16256
16251
16197
16143
16197
16143
16120
16129
16213
16243
16218
16051
16156
16101
15962

Rm
0
-0.278%
-0.625%
-0.366%
-0.576%
-0.037%
-0.049%
-0.031%
-0.333%
-0.334%
0.334%
-0.334%
-0.143%
0.056%
0.519%
0.185%
-0.154%
-1.035%
0.652%
-0.341%
-0.867%
-0.188%

Rfr
0.13%
0.12%
0.12%
0.10%
0.11%
0.10%
0.09%
0.09%
0.07%
0.07%
0.07%
0.06%
0.07%
0.08%
0.08%
0.08%
0.06%
0.05%
0.05%
0.04%
0.05%

Ri-Rfr

Rm-Rfr

0
5.143%
-4.882%
-4.862%
-0.625%
-0.100%
-0.090%
-0.643%
-0.035%
-1.101%
-0.070%
-0.060%
-0.070%
-0.080%
-0.080%
-0.080%
2.824%
-1.835%
2.544%
1.339%
-4.810%

0
-0.398%
-0.745%
-0.466%
-0.686%
-0.137%
-0.139%
-0.121%
-0.403%
-0.404%
0.264%
-0.394%
-0.213%
-0.024%
0.439%
0.105%
-0.214%
-1.085%
0.602%
-0.381%
-0.917%

SUMMARY OUTPUT
Regression Statistics
0.48441
Multiple R
4721
0.23465
R Square
7622
Adjusted R
0.19213
Square
8601
Standard
0.02219
Error
5452
Observation
s
20
ANOVA
df

Significa
nce F
0.030428
161

Upper
95%

Lower
95.0%

Upper
95.0%

0.01611
4688
5.34654
1056

0.00868
374
0.29832
5374

0.01611
4688
5.34654
1056

Residual

18

Total

19
Coefficie
nts

Standard
Error

t Stat

P-value

Lower
95%

0.00371
5472
2.82243
3215

0.005901
797
1.201428
609

0.62954
926
2.34923
09

0.53689
913
0.03042
816

0.008683
74
0.298325
374

Regression

Intercept
X Variable 1

MS
0.00271
881
0.00049
264

F
5.51888
583

SS
0.002718
813
0.008867
485
0.011586
299

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