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21 Quantitative Applications in Finance (FIN201) Assignment Marking Guide Total marks: 100 Personal ID: [Enter your Personal ID] I have read the Assignment Guide in the ‘General assessment...

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21
Quantitative Applications in Finance
(FIN201)
Assignment Marking Guide
Total marks: 100
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Criteria-based Marking Guide
The Criteria-based Marking Guide provided at the end of each question is designed to assist students to understand what is expected of them in each question and to let them know how their performance will be judged. It provides advice about the criteria used in the marking of the question and what discriminates between an excellent, satisfactory and unsatisfactory answer.
Data file and Excel Template
You have been provided with data on a number of stocks and an index in order to run a number of statistical analysis techniques. The data to enable you to answer Questions 1 through 8 is contained in ‘Assignment Excel template’ (i.e. FIN201_AS_v6.xlsx) under ‘Assignment’ in KapLearn.
The workbook is separated into worksheets for each question, which have been labelled accordingly. As a guide, cells that might need to be populated by formulas (or Excel outputs) in order to answer the question have been shaded yellow.
Note: The excel template and yellow shaded areas are a guide only. You may alter the spreadsheet if you wish providing your workings are shown
Section A (Questions 1 to 5)
You have been provided a sample of historical price level of the following shares and index at the end of each month from June 2007 to June 2017 (‘Section A_Monthly Price&Index’ tab) in order to run a number of statistical analysis techniques.
Qantas Airways Limited (QAN)
Telstra Corporation Limited (TLS)
Westpac Banking Corporation (WBC)
All Ordinaries (AORD)
Question 1    (10 marks | Word limit: 200 words)
(a)        Using the historical price level of the QAN, TLS and WBC shares and AORD index available in the tab ‘Section A_Monthly Price&Index’, calculate the monthly rate of returns (%) of these shares and index to two (2) decimal places in the tab ‘Section A_Q1’. From your Excel results, paste a copy of the monthly returns for the shares and index for the months of July 2007 and June 2017 only in the Word document of your assignment (and in the format below). (2 marks)
    Month
    QAN returns
    TLS returns
    WBC returns
    AORD returns
    July 2007
    
    
    
    
    June 2017
    
    
    
    
(b)        Use Excel’s Data Analysis to work out the descriptive statistics for these monthly returns to two (2) decimal places. From your Excel results, paste a copy of the following descriptive statistics in the Word document of your assignment (and in the format below). (4 marks)
    
    QAN returns
    TLS returns
    WBC returns
    AORD returns
    Sample size
    
    
    
    
    Sample mean (%)
    
    
    
    
    Sample standard deviation (%)
    
    
    
    
    Sample variance (%)
    
    
    
    
    Skewness
    
    
    
    
    Kurtosis
    
    
    
    
(c)        Evaluate QAN, TLS, WBC and AORD return series, with reference to sample mean, sample standard deviation, skewness and kurtosis statistics. (4 marks)
Criteria-based marking guide for Question 1(a)–(c)
    Excellent (Mark range: 8–10 marks)
    Satisfactory (Mark range: 5–7.5 marks)
    Unsatisfactory (Mark range: 0–4.5 marks)
    •    Co
ect calculation of monthly rate of returns and presenting the results for the appropriate months in word document
•    Co
ect use of Excel’s Data Analysis
•    Accurately fill the table of descriptive statistics in word document
•    Accurately evaluate four return series with respect to sample mean, sample standard deviation, skewness and kurtosis statistics
    •    Mostly co
ect calculation of monthly rate of returns
•    Encounter problems in the use of Excel’s Data Analysis
•    Encounter problems in filling the table of descriptive statistics in word document
•    Encounter problems when evaluating four return series with respect to sample mean, sample standard deviation, skewness and kurtosis statistics
    •    Inco
ect calculation of monthly rate of returns
•    Unable to use Excel’s Data Analysis
•    Unable to fill the table of descriptive statistics in word document
•    Unable to evaluate four return series with respect to sample mean, sample standard deviation, skewness and kurtosis statistics
Insert your answers to Question 1
End of answers to Question 1(a)–(c)
Question 2    (10 marks | Word limit: 200 words)
a) Set up a hypothesis test at 5% significance level to determine whether QAN’s mean return is significantly different from zero. Show all your workings in the Word document.
i.        What are the null and alternative hypothesis for this test? (1 marks)
ii.        Explain the risks associated with Type I and Type II e
ors in this context. (2 marks)
    iii.        What type of test and distribution would you recommend for this test? Provide reasons for your recommendation. (1 marks)            
    iv.        Based on your recommendation above, find the appropriate critical value, calculate the test statistic for the hypothesis testing at 5% significance level. (2 marks)
    v.        What is your conclusion for this hypothesis test? (1 marks)
) Set up the null hypothesis and alternative hypothesis to determine whether TLS’s monthly return is significantly different from WBC’s monthly return.
    i.        What are the null and alternative hypothesis for this test? (1 marks)
    ii.        By Using Excel’s paired t-Test (see tab Section A_Q2), find the critical value and test statistic for the hypothesis testing at 5% significance level. (1 marks)
    iii.        What is your conclusion for this hypothesis test? (1 marks)
Criteria-based marking guide for Question 2(a)–(b)
    Excellent (Mark range: 8–10 marks)
    Satisfactory (Mark range: 5–7.5 marks)
    Unsatisfactory (Mark range: 0–4.5 marks)
    •    Co
ect set up of the null and alternative hypothesis
• Accurately explain the risks associated with Type I and Type II in in relation to hypothesis testing determining whether QAN’s mean return is significantly different from zero
•    Co
ectly identify the appropriate hypothesis test for the QAN’s returns with appropriate justification
• Co
ect critical value, the test statistic at 5% significance level and conclusion
•    Co
ect result of paired t-test for BSL and CBA monthly returns and conclusion
    •    Co
ect set up of the null and alternative hypothesis
• Adequate explanation of the risks associated with Type I and Type II in in relation to hypothesis testing determining whether QAN’s mean return is significantly different from zero
•    Mostly co
ect identification of the appropriate hypothesis test for the QAN’s returns with appropriate justification
• Mostly co
ect critical value, the test statistic at 5% significance level and conclusion
•    Mostly co
ect result of paired t-test for BSL and CBA monthly returns and conclusion
    •    Inco
ect set up of the null and alternative hypothesis
• Inadequate explanation of the risks associated with Type I and Type II in in relation to hypothesis testing determining whether QAN’s mean return is significantly different from zero
•    Inco
ectly identify the type of hypothesis test for the QAN’s returns and inco
ect justification
• Inco
ect critical value, the test statistic at 5% significance level and conclusion
•    Inco
ect result of paired t-test for BSL and CBA monthly returns and conclusion
Insert your answers to Question 2
End of answers to Question 2(a)–(b)
Question 3    (10 marks | Word limit: 500 words)
An outlier of a sample may affect the accurate statistical analysis. If an observation is away from its sample mean by more than 3 standard deviations, it can be considered as an outlier.
(a)        Standardise the monthly returns using the formula to two (2) decimal places using tab ‘Section A_Q3’. From your Excel results, paste a copy of the standardised returns for the shares and index for the months of July 2007 and June 2017 only in the Word document of your assignment (and in the format below). (4 marks)
    Month
    QAN standardised returns
    TLS standardised returns
    WBC standardised returns
    AORD standardised returns
    July 2007
    
    
    
    
    June 2017
    
    
    
    
(b)        Identify the only standardised monthly return which is either greater than 3 or smaller than -3 (i.e. more than 3 standard deviations away from zero). Report the stock, month, actual value and standardised value. (2 marks)
(c)        You decide to replace the outlier with the mean observation calculated for Question 3 in ‘Section A_Q3’ tab instead. Explain how this is likely to affect the mean return, standard deviation, skewness, and kurtosis of the BSL monthly returns (note: no calculations are required). (2 marks)
(d)        What are two alternative adjustments you could make to the data in order to avoid having the outlier skew the results. (2marks)
Criteria-based marking guide for Question 3(a)–(d)
    Excellent (Mark range: 8–10 marks)
    Satisfactory (Mark range: 5–7.5 marks)
    Unsatisfactory (Mark range: 0–4.5 marks)
    •    Co
ect standardisation of monthly rate of returns and presenting the results for the appropriate months in word document
•    Co
ect identification of the outlie
•    Accurately explain the effect of replacing the outlier with the mean on descriptive statistics and provide two alternative adjustments to the data.
    •    Mostly co
ect standardisation of monthly rate of returns
•    Encounter problems in the identification of the outlie
•    Encounter problems in explaining the effect of replacing the outlier with the mean on descriptive statistics and provide two alternative adjustments to the data.
    •    Inco
ect standardisation of monthly rate of returns
•    Unable to identify outliers
•    Unable to explain the effect of replacing the outlier with the mean on descriptive statistics and provide two alternative adjustments to the data.
Insert your answers to Question 3:
End of answers to Question 3(a)–(d)
Question 4    (20 marks | Word limit: 600 words)
Run a regression analysis for WBC stock against the AORD Index using the monthly rate of returns data from July 2007 to June 2017 inclusively (see tab Section A_Q4).
Hint: Use the ‘Regression’ function in the ‘Data Analysis’ add-in. Select ‘Residuals’ and ‘Residual plots’ from the regression window.
(a)        Provide the estimated regression equation for WBC, with coefficients to four (4) decimal places.
(2 marks)
(b)        Predict the WBC returns when AORD is XXXXXXXXXXto four (4) decimal places. (2 marks)
(c)        At 0.05 level of significance, is there evidence of a linear relationship between WBC and AORD? Show all your workings in relation to your conclusion. (3 marks)
(d)        What is the R-square statistic and interpret its meaning for this regression? (2 marks)
(e)        Generate the residual plot (scatter plot of residuals of the above regression against AORD) for the above regression. Past your residual plot from excel file to word document. Comment on heteroscedasticity of this regression with reference to the residual plot. (2 marks)
(f)        Discuss the ways of eliminating heteroscedasticity issues.
Answered Same Day Apr 19, 2020 FIN201

Solution

Pooja answered on Apr 28 2020
150 Votes
Section A_Monthly Price&Index
        AORD    QAN    TLS    WBC
    2007/06    6187.5000    4.6572    1.578561    11.0509
    2007/07    6248.2998    4.5273    1.499633    11.4727
    2007/08    6580.8999    4.6973    1.57027    12.0210
    2007/09    6779.1001    4.9751    1.685519    12.8815
    2007/10    6593.6001    4.9246    1.681918    11.9493
    2007/11    6421.0000    4.5795    1.689121    12.1670
    2007/12    5697.0000    3.931292    1.563067    11.1473
    2008/01    5674.7002    3.552469    1.753949    10.1624
    2008/02    5409.7002    3.490366    1.584676    10.3498
    2008/03    5657.0000    3.019655    1.712635    10.6723
    2008/04    5773.8999    3.081826    1.783995    10.1319
    2008/05    5332.8999    2.699932    1.59245    9.0835
    2008/06    5052.6001    2.94861    1.690101    9.7875
    2008/07    5215.5000    3.001891    1.633764    10.6959
    2008/08    4631.2998    2.961919    1.646872    9.7557
    2008/09    3982.7000    2.290048    1.623232    9.2107
    2008/10    3672.7000    2.195415    1.599594    8.1252
    2008/11    3659.3000    2.48877    1.508976    8.0827
    2008/12    3478.1001    2.318439    1.493217    7.4492
    2009/01    3296.8999    1.480964    1.398659    8.0446
    2009/02    3532.3000    1.651295    1.264703    9.0924
    2009/03    3744.7000    1.975263    1.395548    9.1449
    2009/04    3813.3000    1.910412    1.303349    8.9877
    2009/05    3947.8000    2.005193    1.420693    10.0404
    2009/06    4249.5000    2.314443    1.479364    10.7544
    2009/07    4484.1001    2.523947    1.366212    12.0832
    2009/08    4739.2998    2.85315    1.454219    13.0153
    2009/09    4646.8999    2.793301    1.476455    13.0749
    2009/10    4715.5000    2.593773    1.516479    11.9692
    2009/11    4882.7002    2.982844    1.525374    12.9657
    2009/12    4596.8999    2.833198    1.485349    12.2278
    2010/01    4651.1001    2.633679    1.320805    13.3911
    2010/02    4893.1001    2.833198    1.419544    14.2675
    2010/03    4833.8999    2.833198    1.509748    13.9395
    2010/04    4453.6001    2.494018    1.395805    11.7614
    2010/05    4324.7998    2.194735    1.542982    11.3045
    2010/06    4507.3999    2.464089    1.528739    12.7742
    2010/07    4438.7998    2.503994    1.3056    11.5549
    2010/08    4636.8999    2.783325    1.334017    12.3748
    2010/09    4733.3999    2.833198    1.359476    12.0873
    2010/10    4676.3999    2.623702    1.430759    11.4111
    2010/11    4846.8999    2.533924    1.420575    12.3910
    2010/12    4850.0000    2.394254    1.425667    12.8373
    2011/01    4923.6001    2.334396    1.41803    13.1274
    2011/02    4928.6001    2.174782    1.539898    13.5737
    2011/03    4899.0000    2.104948    1.589043    13.8582
    2011/04    4788.8999    2.094971    1.64911    12.3464
    2011/05    4659.7998    1.835594    1.578122    13.0186
    2011/06    4500.5000    1.840587    1.632729    11.9424
    2011/07    4369.8999    1.56624    1.654571    12.0477
    2011/08    4070.1001    1.406627    1.81076    11.8957
    2011/09    4360.5000    1.608141    1.81076    13.0537
    2011/10    4184.7002    1.511375    1.845807    12.0302
    2011/11    4111.0000    1.456509    1.945107    12.3399
    2011/12    4325.7002    1.571233    1.945107    13.0494
    2012/01    4388.1001    1.725863    1.927584    12.8952
    2012/02    4420.0000    1.780728    2.041477    13.5060
    2012/03    4467.2002    1.631082    2.196604    14.0243
    2012/04    4133.7002    1.486429    2.20281    12.5188
    2012/05    4135.5000    1.072422    2.289681    13.7509
    2012/06    4289.3999    1.137273    2.482039    15.0980
    2012/07    4339.0000    1.14725    2.388963    16.1197
    2012/08    4406.2998    1.217075    2.563879    16.1718
    2012/09    4535.3999    1.326816    2.70777    16.6013
    2012/10    4518.0000    1.321832    2.818959    16.5948
    2012/11    4664.6001    1.486429    2.858202    17.7743
    2012/12    4901.0000    1.526335    3.008634    19.1395
    2013/01    5120.3999    1.641059    3.002094    21.0029
    2013/02    4979.8999    1.780728    3.082942    20.9961
    2013/03    5168.6001    1.895452    3.404224    23.0711
    2013/04    4914.0000    1.591186    3.240164    19.4126
    2013/05    4775.3999    1.346768    3.260672    20.5751
    2013/06    5035.7002    1.256981    3.411059    22.0071
    2013/07    5125.2998    1.366721    3.349537    22.3633
    2013/08    5217.7002    1.471469    3.536057    23.3180
    2013/09    5420.2998    1.242021    3.685468    24.4293
    2013/10    5314.2998    1.217075    3.60009    23.4248
    2013/11    5353.1001    1.092375    3.735272    24.0593
    2013/12    5205.1001    1.097368    3.657008    22.9374
    2014/01    5415.3999    1.16221    3.592975    24.8692
    2014/02    5403.0000    1.102351    3.762783    25.6791
    2014/03    5470.7998    1.217075    3.866482    26.0952
    2014/04    5473.7998    1.401634    3.955367    25.5751
    2014/05    5382.0000    1.256981    3.859075    26.1367
    2014/06    5623.1001    1.331809    4.066472    26.6998
    2014/07    5624.6001    1.466485    4.118322    27.0316
    2014/08    5296.7998    1.386674    4.077978    24.7944
    2014/09    5505.0000    1.675981    4.33189    26.8310
    2014/10    5298.1001    1.915405    4.378056    25.1106
    2014/11    5388.6001    2.394254    4.593495    26.5912
    2014/12    5551.6001    2.603749    5.001294    27.6337
    2015/01    5898.5000    2.883079    4.901268    30.4724
    2015/02    5861.8999    3.112527    5.018281    31.5790
    2015/03    5773.7002    3.381881    4.954658    29.2375
    2015/04    5774.8999    3.511575    4.946705    26.9120
    2015/05    5451.2002    3.152433    4.883082    27.0178
    2015/06    5681.7002    3.741022    5.161433    29.0971
    2015/07    5222.1001    3.351952    4.588824    26.5388
    2015/08    5058.6001    3.711093    4.636166    24.7902
    2015/09    5288.6001    3.700171    4.46262    26.3707
    2015/10    5218.2002    3.409778    4.429564    27.0178
    2015/11    5344.6001    3.831316    4.636166    29.4841
    2015/12    5056.6001    3.634598    4.652694    27.1032
    2016/01    4947.8999    3.615863    4.338659    25.2582
    2016/02    5151.7998    3.812581    4.404771    26.6639
    2016/03    5316.0000    3.016342    4.624616    27.2789
    2016/04    5447.7998    2.885196    4.82306    26.9714
    2016/05    5310.3999    2.641641    4.797176    26.9867
    2016/06    5644.0000    2.960137    4.978364    28.5380
    2016/07    5529.3999    3.035077    4.538336    27.0418
    2016/08    5525.2002    2.922666    4.657123    27.0877
    2016/09    5402.3999    2.953588    4.477312    27.9689
    2016/10    5502.3999    3.185242    4.540246    28.7032
    2016/11    5719.1001    3.214199    4.585198    30.9513
    2016/12    5675.0000    3.291417    4.495293    30.3859
    2017/01    5761.0000    3.619593    4.333462    32.2928
    2017/02    5903.7998    3.754725    4.189612    33.5960
    2017/03    5947.6001    4.187469    3.976691    33.5960
    2017/04    5761.2998    4.947929    4.146313    29.2264
    2017/05    5764.0000    5.649133    4.052078    30.5100
    2017/06    5773.8999    5.254089    3.863609    31.8200
Section A_Q1
        Monthly Returns                        AORD        QAN        TLS        WBC
        AORD    QAN    TLS    WBC
    2007/07    0.98%    -2.79%    -5.00%    3.82%            Mean    0.000318648    Mean    0.0067307924    Mean    0.0088613897    Mean    0.0111240469
    2007/08    5.32%    3.75%    4.71%    4.78%            Standard E
or    0.0038383003    Standard E
or    0.0096078496    Standard E
or    0.0047863334    Standard E
or    0.0061369825
    2007/09    3.01%    5.91%    7.34%    7.16%            Median    0.0013665287    Median    0.0089318644    Median    0.0104870232    Median    0.0228319807
    2007/10    -2.74%    -1.02%    -0.21%    -7.24%            Mode    ERROR:#N/A    Mode    ERROR:#N/A    Mode    0    Mode    ERROR:#N/A
    2007/11    -2.62%    -7.01%    0.43%    1.82%            Standard Deviation    0.0420464727    Standard Deviation    0.1052487195    Standard Deviation    0.0524316557    Standard Deviation    0.0672272755
    2007/12    -11.28%    -14.15%    -7.46%    -8.38%            Sample Variance    0.0017679059    Sample Variance    0.011077293    Sample Variance    0.0027490785    Sample Variance    0.0045195066
    2008/01    -0.39%    -9.64%    12.21%    -8.83%            Kurtosis    0.4529942371    Kurtosis    0.5064118204    Kurtosis    0.0407073087    Kurtosis    -0.5884868528
    2008/02    -4.67%    -1.75%    -9.65%    1.84%            Skewness    -0.6759066674    Skewness    -0.4384951419    Skewness    -0.4032325073    Skewness    -0.4742725322
    2008/03    4.57%    -13.49%    8.07%    3.12%            Range    0.2164693432    Range    0.6112224762    Range    0.2680829487    Range    0.2888312707
    2008/04    2.07%    2.06%    4.17%    -5.06%            Minimum    -0.1400470454    Minimum    -0.3612236509    Minimum    -0.1459627837    Minimum    -0.1585782841
    2008/05    -7.64%    -12.39%    -10.74%    -10.35%            Maximum    0.0764222978    Maximum    0.2499988253    Maximum    0.122120165    Maximum    0.1302529867
    2008/06    -5.26%    9.21%    6.13%    7.75%            Sum    0.0382377629    Sum    0.8076950899    Sum    1.0633667581    Sum    1.3348856304
    2008/07    3.22%    1.81%    -3.33%    9.28%            Count    120    Count    120    Count    120    Count    120
    2008/08    -11.20%    -1.33%    0.80%    -8.79%
    2008/09    -14.00%    -22.68%    -1.44%    -5.59%
    2008/10    -7.78%    -4.13%    -1.46%    -11.79%
    2008/11    -0.36%    13.36%    -5.67%    -0.52%
    2008/12    -4.95%    -6.84%    -1.04%    -7.84%
    2009/01    -5.21%    -36.12%    -6.33%    7.99%
    2009/02    7.14%    11.50%    -9.58%    13.03%
    2009/03    6.01%    19.62%    10.35%    0.58%
    2009/04    1.83%    -3.28%    -6.61%    -1.72%
    2009/05    3.53%    4.96%    9.00%    11.71%
    2009/06    7.64%    15.42%    4.13%    7.11%
    2009/07    5.52%    9.05%    -7.65%    12.36%
    2009/08    5.69%    13.04%    6.44%    7.71%
    2009/09    -1.95%    -2.10%    1.53%    0.46%
    2009/10    1.48%    -7.14%    2.71%    -8.46%
    2009/11    3.55%    15.00%    0.59%    8.33%
    2009/12    -5.85%    -5.02%    -2.62%    -5.69%
    2010/01    1.18%    -7.04%    -11.08%    9.51%
    2010/02    5.20%    7.58%    7.48%    6.54%
    2010/03    -1.21%    0.00%    6.35%    -2.30%
    2010/04    -7.87%    -11.97%    -7.55%    -15.63%
    2010/05    -2.89%    -12.00%    10.54%    -3.88%
    2010/06    4.22%    12.27%    -0.92%    13.00%
    2010/07    -1.52%    1.62%    -14.60%    -9.55%
    2010/08    4.46%    11.16%    2.18%    7.10%
    2010/09    2.08%    1.79%    1.91%    -2.32%
    2010/10    -1.20%    -7.39%    5.24%    -5.59%
    2010/11    3.65%    -3.42%    -0.71%    8.59%
    2010/12    0.06%    -5.51%    0.36%    3.60%
    2011/01    1.52%    -2.50%    -0.54%    2.26%
    2011/02    0.10%    -6.84%    8.59%    3.40%
    2011/03    -0.60%    -3.21%    3.19%    2.10%
    2011/04    -2.25%    -0.47%    3.78%    -10.91%
    2011/05    -2.70%    -12.38%    -4.30%    5.44%
    2011/06    -3.42%    0.27%    3.46%    -8.27%
    2011/07    -2.90%    -14.91%    1.34%    0.88%
    2011/08    -6.86%    -10.19%    9.44%    -1.26%
    2011/09    7.13%    14.33%    0.00%    9.73%
    2011/10    -4.03%    -6.02%    1.94%    -7.84%
    2011/11    -1.76%    -3.63%    5.38%    2.57%
    2011/12    5.22%    7.88%    0.00%    5.75%
    2012/01    1.44%    9.84%    -0.90%    -1.18%
    2012/02    0.73%    3.18%    5.91%    4.74%
    2012/03    1.07%    -8.40%    7.60%    3.84%
    2012/04    -7.47%    -8.87%    0.28%    -10.73%
    2012/05    0.04%    -27.85%    3.94%    9.84%
    2012/06    3.72%    6.05%    8.40%    9.80%
    2012/07    1.16%    0.88%    -3.75%    6.77%
    2012/08    1.55%    6.09%    7.32%    0.32%
    2012/09    2.93%    9.02%    5.61%    2.66%
    2012/10    -0.38%    -0.38%    4.11%    -0.04%
    2012/11    3.24%    12.45%    1.39%    7.11%
    2012/12    5.07%    2.68%    5.26%    7.68%
    2013/01    4.48%    7.52%    -0.22%    9.74%
    2013/02    -2.74%    8.51%    2.69%    -0.03%
    2013/03    3.79%    6.44%    10.42%    9.88%
    2013/04    -4.93%    -16.05%    -4.82%    -15.86%
    2013/05    -2.82%    -15.36%    0.63%    5.99%
    2013/06    5.45%    -6.67%    4.61%    6.96%
    2013/07    1.78%    8.73%    -1.80%    1.62%
    2013/08    1.80%    7.66%    5.57%    4.27%
    2013/09    3.88%    -15.59%    4.23%    4.77%
    2013/10    -1.96%    -2.01%    -2.32%    -4.11%
    2013/11    0.73%    -10.25%    3.75%    2.71%
    2013/12    -2.76%    0.46%    -2.10%    -4.66%
    2014/01    4.04%    5.91%    -1.75%    8.42%
    2014/02    -0.23%    -5.15%    4.73%    3.26%
    2014/03    1.25%    10.41%    2.76%    1.62%
    2014/04    0.05%    15.16%    2.30%    -1.99%
    2014/05    -1.68%    -10.32%    -2.43%    2.20%
    2014/06    4.48%    5.95%    5.37%    2.15%
    2014/07    0.03%    10.11%    1.28%    1.24%
    2014/08    -5.83%    -5.44%    -0.98%    -8.28%
    2014/09    3.93%    20.86%    6.23%    8.21%
    2014/10    -3.76%    14.29%    1.07%    -6.41%
    2014/11    1.71%    25.00%    4.92%    5.90%
    2014/12    3.02%    8.75%    8.88%    3.92%
    2015/01    6.25%    10.73%    -2.00%    10.27%
    2015/02    -0.62%    7.96%    2.39%    3.63%
    2015/03    -1.50%    8.65%    -1.27%    -7.41%
    2015/04    0.02%    3.83%    -0.16%    -7.95%
    2015/05    -5.61%    -10.23%    -1.29%    0.39%
    2015/06    4.23%    18.67%    5.70%    7.70%
    2015/07    -8.09%    -10.40%    -11.09%    -8.79%
    2015/08    -3.13%    10.71%    1.03%    -6.59%
    2015/09    4.55%    -0.29%    -3.74%    6.38%
    2015/10    -1.33%    -7.85%    -0.74%    2.45%
    2015/11    2.42%    12.36%    4.66%    9.13%
    2015/12    -5.39%    -5.13%    0.36%    -8.08%
    2016/01    -2.15%    -0.52%    -6.75%    -6.81%
    2016/02    4.12%    5.44%    1.52%    5.57%
    2016/03    3.19%    -20.88%    4.99%    2.31%
    2016/04    2.48%    -4.35%    4.29%    -1.13%
    2016/05    -2.52%    -8.44%    -0.54%    0.06%
    2016/06    6.28%    12.06%    3.78%    5.75%
    2016/07    -2.03%    2.53%    -8.84%    -5.24%
    2016/08    -0.08%    -3.70%    2.62%    0.17%
    2016/09    -2.22%    1.06%    -3.86%    3.25%
    2016/10    1.85%    7.84%    1.41%    2.63%
    2016/11    3.94%    0.91%    0.99%    7.83%
    2016/12    -0.77%    2.40%    -1.96%    -1.83%
    2017/01    1.52%    9.97%    -3.60%    6.28%
    2017/02    2.48%    3.73%    -3.32%    4.04%
    2017/03    0.74%    11.53%    -5.08%    0.00%
    2017/04    -3.13%    18.16%    4.27%    -13.01%
    2017/05    0.05%    14.17%    -2.27%    4.39%
    2017/06    0.17%    -6.99%    -4.65%    4.29%
        0.06%    8.12%    -2.21%    -0.06%
Section A_Q2
        Monthly Returns
        AORD    QAN    TLS    WBC            t-Test: Paired Two Sample for Means
    2007/07    0.98%    -2.79%    -5.00%    3.82%
    2007/08    5.32%    3.75%    4.71%    4.78%                TLS    WBC
    2007/09    3.01%    5.91%    7.34%    7.16%            Mean    0.0088613897    0.0111240469
    2007/10    -2.74%    -1.02%    -0.21%    -7.24%            Variance    0.0027490785    0.0045195066
    2007/11    -2.62%    -7.01%    0.43%    1.82%            Observations    120    120
    2007/12    -11.28%    -14.15%    -7.46%    -8.38%            Pearson Co
elation    0.1885548637
    2008/01    -0.39%    -9.64%    12.21%    -8.83%            Hypothesized Mean Difference    0
    2008/02    -4.67%    -1.75%    -9.65%    1.84%            df    119
    2008/03    4.57%    -13.49%    8.07%    3.12%            t Stat    -0.3216181139
    2008/04    2.07%    2.06%    4.17%    -5.06%            P(T<=t) one-tail    0.3741531279
    2008/05    -7.64%    -12.39%    -10.74%    -10.35%            t Critical one-tail    1.6577592849
    2008/06    -5.26%    9.21%    6.13%    7.75%            P(T<=t) two-tail    0.7483062558
    2008/07    3.22%    1.81%    -3.33%    9.28%            t Critical two-tail    1.9800998765
    2008/08    -11.20%    -1.33%    0.80%    -8.79%
    2008/09    -14.00%    -22.68%    -1.44%    -5.59%
    2008/10    -7.78%    -4.13%    -1.46%    -11.79%            one sample z test:
    2008/11    -0.36%    13.36%    -5.67%    -0.52%            critical value
    2008/12    -4.95%    -6.84%    -1.04%    -7.84%            z(a/2) = z(0.05/2) = 1.96
    2009/01    -5.21%    -36.12%    -6.33%    7.99%
    2009/02    7.14%    11.50%    -9.58%    13.03%            mean=    0.00673
    2009/03    6.01%    19.62%    10.35%    0.58%            u=    0
    2009/04    1.83%    -3.28%    -6.61%    -1.72%            sd=    0.10525
    2009/05    3.53%    4.96%    9.00%    11.71%            n=    120
    2009/06    7.64%    15.42%    4.13%    7.11%
    2009/07    5.52%    9.05%    -7.65%    12.36%            test statistic:
    2009/08    5.69%    13.04%    6.44%    7.71%            z = (mean-u)/(sd/sqrt(n))
    2009/09    -1.95%    -2.10%    1.53%    0.46%             =(0.00673-0)/(0.10525/SQRT(120))
    2009/10    1.48%    -7.14%    2.71%    -8.46%            0.7005513896
    2009/11    3.55%    15.00%    0.59%    8.33%
    2009/12    -5.85%    -5.02%    -2.62%    -5.69%
    2010/01    1.18%    -7.04%    -11.08%    9.51%
    2010/02    5.20%    7.58%    7.48%    6.54%
    2010/03    -1.21%    0.00%    6.35%    -2.30%
    2010/04    -7.87%    -11.97%    -7.55%    -15.63%
    2010/05    -2.89%    -12.00%    10.54%    -3.88%
    2010/06    4.22%    12.27%    -0.92%    13.00%
    2010/07    -1.52%    1.62%    -14.60%    -9.55%
    2010/08    4.46%    11.16%    2.18%    7.10%
    2010/09    2.08%    1.79%    1.91%    -2.32%
    2010/10    -1.20%    -7.39%    5.24%    -5.59%
    2010/11    3.65%    -3.42%    -0.71%    8.59%
    2010/12    0.06%    -5.51%    0.36%    3.60%
    2011/01    1.52%    -2.50%    -0.54%    2.26%
    2011/02    0.10%    -6.84%    8.59%    3.40%
    2011/03    -0.60%    -3.21%    3.19%    2.10%
    2011/04    -2.25%    -0.47%    3.78%    -10.91%
    2011/05    -2.70%    -12.38%    -4.30%    5.44%
    2011/06    -3.42%    0.27%    3.46%    -8.27%
    2011/07    -2.90%    -14.91%    1.34%    0.88%
    2011/08    -6.86%    -10.19%    9.44%    -1.26%
    2011/09    7.13%    14.33%    0.00%    9.73%
    2011/10    -4.03%    -6.02%    1.94%    -7.84%
    2011/11    -1.76%    -3.63%    5.38%    2.57%
    2011/12    5.22%    7.88%    0.00%    5.75%
    2012/01    1.44%    9.84%    -0.90%    -1.18%
    2012/02    0.73%    3.18%    5.91%    4.74%
    2012/03    1.07%    -8.40%    7.60%    3.84%
    2012/04    -7.47%    -8.87%    0.28%    -10.73%
    2012/05    0.04%    -27.85%    3.94%    9.84%
    2012/06    3.72%    6.05%    8.40%    9.80%
    2012/07    1.16%    0.88%    -3.75%    6.77%
    2012/08    1.55%    6.09%    7.32%    0.32%
    2012/09    2.93%    9.02%    5.61%    2.66%
    2012/10    -0.38%    -0.38%    4.11%    -0.04%
    2012/11    3.24%    12.45%    1.39%    7.11%
    2012/12    5.07%    2.68%    5.26%    7.68%
    2013/01    4.48%    7.52%    -0.22%    9.74%
    2013/02    -2.74%    8.51%    2.69%    -0.03%
    2013/03    3.79%    6.44%    10.42%    9.88%
    2013/04    -4.93%    -16.05%    -4.82%    -15.86%
    2013/05    -2.82%    -15.36%    0.63%    5.99%
    2013/06    5.45%    -6.67%    4.61%    6.96%
    2013/07    1.78%    8.73%    -1.80%    1.62%
    2013/08    1.80%    7.66%    5.57%    4.27%
    2013/09    3.88%    -15.59%    4.23%    4.77%
    2013/10    -1.96%    -2.01%    -2.32%    -4.11%
    2013/11    0.73%    -10.25%    3.75%    2.71%
    2013/12    -2.76%    0.46%    -2.10%    -4.66%
    2014/01    4.04%    5.91%    -1.75%    8.42%
    2014/02    -0.23%    -5.15%    4.73%    3.26%
    2014/03    1.25%    10.41%    2.76%    1.62%
    2014/04    0.05%    15.16%    2.30%    -1.99%
    2014/05    -1.68%    -10.32%    -2.43%    2.20%
    2014/06    4.48%    5.95%    5.37%    2.15%
    2014/07    0.03%    10.11%    1.28%    1.24%
    2014/08    -5.83%    -5.44%    -0.98%    -8.28%
    2014/09    3.93%    20.86%    6.23%    8.21%
    2014/10    -3.76%    14.29%    1.07%    -6.41%
    2014/11    1.71%    25.00%    4.92%    5.90%
    2014/12    3.02%    8.75%    8.88%    3.92%
    2015/01    6.25%    10.73%    -2.00%    10.27%
    2015/02    -0.62%    7.96%    2.39%    3.63%
    2015/03    -1.50%    8.65%    -1.27%    -7.41%
    2015/04    0.02%    3.83%    -0.16%    -7.95%
    2015/05    -5.61%    -10.23%    -1.29%    0.39%
    2015/06    4.23%    18.67%    5.70%    7.70%
    2015/07    -8.09%    -10.40%    -11.09%    -8.79%
    2015/08    -3.13%    10.71%    1.03%    -6.59%
    2015/09    4.55%    -0.29%    -3.74%    6.38%
    2015/10    -1.33%    -7.85%    -0.74%    2.45%
    2015/11    2.42%    12.36%    4.66%    9.13%
    2015/12    -5.39%    -5.13%    0.36%    -8.08%
    2016/01    -2.15%    -0.52%    -6.75%    -6.81%
    2016/02    4.12%    5.44%    1.52%    5.57%
    2016/03    3.19%    -20.88%    4.99%    2.31%
    2016/04    2.48%    -4.35%    4.29%    -1.13%
    2016/05    -2.52%    -8.44%    -0.54%    0.06%
    2016/06    6.28%    12.06%    3.78%    5.75%
    2016/07    -2.03%    2.53%    -8.84%    -5.24%
    2016/08    -0.08%    -3.70%    2.62%    0.17%
    2016/09    -2.22%    1.06%    -3.86%    3.25%
    2016/10    1.85%    7.84%    1.41%    2.63%
    2016/11    3.94%    0.91%    0.99%    7.83%
    2016/12    -0.77%    2.40%    -1.96%    -1.83%
    2017/01    1.52%    9.97%    -3.60%    6.28%
    2017/02    2.48%    3.73%    -3.32%    4.04%
    2017/03    0.74%    11.53%    -5.08%    0.00%
    2017/04    -3.13%    18.16%    4.27%    -13.01%
    2017/05    0.05%    14.17%    -2.27%    4.39%
    2017/06    0.17%    -6.99%    -4.65%    4.29%
Section A_Q3
        Monthly standardised Returns
        AORD    QAN    TLS    WBC                    month     standardised Returns    actul value    stock
    2007/07    0.23    -0.33    -1.12    0.40                    2008/09    -3.34    -14.00%    AORD
    2007/08    1.26    0.29    0.73    0.55
    2007/09    0.71    0.50    1.23    0.90
    2007/10    -0.66    -0.16    -0.21    -1.24
    2007/11    -0.63    -0.73    -0.09    0.11
    2007/12    -2.69    -1.41    -1.59    -1.41                    month     standardised Returns    actul value    stock
    2008/01    -0.10    -0.98    2.16    -1.48                    2009/01    -3.4960467451    -36.12%    QAN
    2008/02    -1.12    -0.23    -2.01    0.11
    2008/03    1.08    -1.35    1.37    0.30
    2008/04    0.48    0.13    0.63    -0.92
    2008/05    -1.82    -1.24    -2.22    -1.70
    2008/06    -1.26    0.81    1.00    0.99
    2008/07    0.76    0.11    -0.80    1.22
    2008/08    -2.67    -0.19    -0.02    -1.47
    2008/09    -3.34    -2.22    -0.44    -1.00
    2008/10    -1.86    -0.46    -0.45    -1.92
    2008/11    -0.09    1.21    -1.25    -0.24
    2008/12    -1.19    -0.71    -0.37    -1.33
    2009/01    -1.25    -3.50    -1.38    1.02
    2009/02    1.69    1.03    -2.00    1.77
    2009/03    1.42    1.80    1.80    -0.08
    2009/04    0.43    -0.38    -1.43    -0.42
    2009/05    0.83    0.41    1.55    1.58
    2009/06    1.81    1.40    0.62    0.89
    2009/07    1.31    0.80    -1.63    1.67
    2009/08    1.35    1.18    1.06    0.98
    2009/09    -0.47    -0.26    0.12    -0.10
    2009/10    0.34    -0.74    0.35    -1.42
    2009/11    0.84    1.36    -0.06    1.07
    2009/12    -1.40    -0.54    -0.67    -1.01
    2010/01    0.27    -0.73    -2.28    1.25
    2010/02    1.23    0.66    1.26    0.81
    2010/03    -0.30    -0.06    1.04    -0.51
    2010/04    -1.88    -1.20    -1.61    -2.49
    2010/05    -0.70    -1.20    1.84    -0.74
    2010/06    1.00    1.10    -0.35    1.77
    2010/07    -0.37    0.09    -2.95    -1.59
    2010/08    1.05    1.00    0.25    0.89
    2010/09    0.49    0.11    0.19    -0.51
    2010/10    -0.29    -0.77    0.83    -1.00
    2010/11    0.86    -0.39    -0.30    1.11
    2010/12    0.01    -0.59    -0.10    0.37
    2011/01    0.35    -0.30    -0.27    0.17
    2011/02    0.02    -0.71    1.47    0.34
    2011/03    -0.15    -0.37    0.44    0.15
    2011/04    -0.54    -0.11    0.55    -1.79
    2011/05    -0.65    -1.24    -0.99    0.64
    2011/06    -0.82    -0.04    0.49    -1.40
    2011/07    -0.70    -1.48    0.09    -0.03
    2011/08    -1.64    -1.03    1.63    -0.35
    2011/09    1.69    1.30    -0.17    1.28
    2011/10    -0.97    -0.64    0.20    -1.33
    2011/11    -0.43    -0.41    0.86    0.22
    2011/12    1.23    0.68    -0.17    0.69
    2012/01    0.34    0.87    -0.34    -0.34
    2012/02    0.17    0.24    0.96    0.54
    2012/03    0.25    -0.86    1.28    0.41
    2012/04    -1.78    -0.91    -0.12    -1.76
    2012/05    0.00    -2.71    0.58    1.30
    2012/06    0.88    0.51    1.43    1.29
    2012/07    0.27    0.02    -0.88    0.84
    2012/08    0.36    0.51    1.23    -0.12
    2012/09    0.69    0.79    0.90    0.23
    2012/10    -0.10    -0.10    0.61    -0.17
    2012/11    0.76    1.12    0.10    0.89
    2012/12    1.20    0.19    0.83    0.98
    2013/01    1.06    0.65    -0.21    1.28
    2013/02    -0.66    0.74    0.34    -0.17
    2013/03    0.89    0.55    1.82    1.30
    2013/04    -1.18    -1.59    -1.09    -2.52
    2013/05    -0.68    -1.52    -0.05    0.73
    2013/06    1.29    -0.70    0.71    0.87
    2013/07    0.42    0.77    -0.51    0.08
    2013/08    0.42    0.66    0.89    0.47
    2013/09    0.92    -1.55    0.64    0.54
    2013/10    -0.47    -0.25    -0.61    -0.78
    2013/11    0.17    -1.04    0.55    0.24
    2013/12    -0.67    -0.02    -0.57    -0.86
    2014/01    0.95    0.50    -0.50    1.09
    2014/02    -0.06    -0.55    0.73    0.32
    2014/03    0.29    0.92    0.36    0.08
    2014/04    0.01    1.38    0.27    -0.46
    2014/05    -0.41    -1.04    -0.63    0.16
    2014/06    1.06    0.50    0.86    0.16
    2014/07    -0.00    0.90    0.07    0.02
    2014/08    -1.39    -0.58    -0.36    -1.40
    2014/09    0.93    1.92    1.02    1.06
    2014/10    -0.90    1.29    0.03    -1.12
    2014/11    0.40    2.31    0.77    0.71
    2014/12    0.71    0.77    1.52    0.42
    2015/01    1.48    0.96    -0.55    1.36
    2015/02    -0.16    0.69    0.29    0.37
    2015/03    -0.37    0.76    -0.41    -1.27
    2015/04    -0.00    0.30    -0.20    -1.35
    2015/05    -1.34    -1.04    -0.41    -0.11
    2015/06    1.00    1.71    0.92    0.98
    2015/07    -1.93    -1.05    -2.28    -1.47
    2015/08    -0.75    0.95    0.03    -1.15
    2015/09    1.07    -0.09    -0.88    0.78
    2015/10    -0.32    -0.81    -0.31    0.20
    2015/11    0.57    1.11    0.72    1.19
    2015/12    -1.29    -0.55    -0.10    -1.37
    2016/01    -0.52    -0.11    -1.46    -1.18
    2016/02    0.97    0.45    0.12    0.66
    2016/03    0.75    -2.05    0.78    0.18
    2016/04    0.58    -0.48    0.65    -0.33
    2016/05    -0.61    -0.87    -0.27    -0.16
    2016/06    1.49    1.08    0.55    0.69
    2016/07    -0.49    0.18    -1.85    -0.95
    2016/08    -0.03    -0.42    0.33    -0.14
    2016/09    -0.54    0.04    -0.91    0.32
    2016/10    0.43    0.68    0.10    0.23
    2016/11    0.93    0.02    0.02    1.00
    2016/12    -0.19    0.16    -0.54    -0.44
    2017/01    0.35    0.88    -0.86    0.77
    2017/02    0.58    0.29    -0.80    0.43
    2017/03    0.17    1.03    -1.14    -0.17
    2017/04    -0.75    1.66    0.64    -2.10
    2017/05    0.00    1.28    -0.60    0.49
    2017/06    0.03    -0.73    -1.06    0.47
        0.01    0.71    -0.59    -0.17
Section A_Q4
        Monthly Returns
        AORD    QAN    TLS    WBC
    2007/07    0.98%    -2.79%    -5.00%    3.82%            SUMMARY OUTPUT
    2007/08    5.32%    3.75%    4.71%    4.78%
    2007/09    3.01%    5.91%    7.34%    7.16%            Regression Statistics
    2007/10    -2.74%    -1.02%    -0.21%    -7.24%            Multiple R    0.7123251098
    2007/11    -2.62%    -7.01%    0.43%    1.82%            R Square    0.507407062
    2007/12    -11.28%    -14.15%    -7.46%    -8.38%            Adjusted R Square    0.5032676256        0.096125
    2008/01    -0.39%    -9.64%    12.21%    -8.83%            Standard E
or    0.047189389
    2008/02    -4.67%    -1.75%    -9.65%    1.84%            Observations    121
    2008/03    4.57%    -13.49%    8.07%    3.12%
    2008/04    2.07%    2.06%    4.17%    -5.06%            ANOVA
    2008/05    -7.64%    -12.39%    -10.74%    -10.35%                df    SS    MS    F    Significance F
    2008/06    -5.26%    9.21%    6.13%    7.75%            Regression    1    0.2729631343    0.2729631343    122.5787779969    5.13102775631092E-20
    2008/07    3.22%    1.81%    -3.33%    9.28%            Residual    119    0.2649937739    0.0022268384
    2008/08    -11.20%    -1.33%    0.80%    -8.79%            Total    120    0.5379569081
    2008/09    -14.00%    -22.68%    -1.44%    -5.59%
    2008/10    -7.78%    -4.13%    -1.46%    -11.79%                Coefficients    Standard E
or    t Stat    P-value    Lower 95%    Upper 95%    Lower 95.0%    Upper 95.0%
    2008/11    -0.36%    13.36%    -5.67%    -0.52%            Intercept    0.0106616603    0.0042900716    2.4851940039    0.0143374264    0.00216689    0.0191564307    0.00216689    0.0191564307
    2008/12    -4.95%    -6.84%    -1.04%    -7.84%            AORD    1.1390659226    0.1028824305    11.0715300658    5.13102775631096E-20    0.9353484346    1.3427834105    0.9353484346    1.3427834105
    2009/01    -5.21%    -36.12%    -6.33%    7.99%
    2009/02    7.14%    11.50%    -9.58%    13.03%
    2009/03    6.01%    19.62%    10.35%    0.58%
    2009/04    1.83%    -3.28%    -6.61%    -1.72%            RESIDUAL OUTPUT                        PROBABILITY OUTPUT
    2009/05    3.53%    4.96%    9.00%    11.71%
    2009/06    7.64%    15.42%    4.13%    7.11%            Observation    Predicted WBC    et    (et - e_(t-1))^2            Percentile    WBC
    2009/07    5.52%    9.05%    -7.65%    12.36%            1    0.0218543844    0.0163        sum{(et - e_(t-1))^2} t=2,…,n        0.4132231405    -0.1585782841
    2009/08    5.69%    13.04%    6.44%    7.71%            2    0.0712947048    -0.0235    0.0016    0.6294        1.2396694215    -0.1562512711
    2009/09    -1.95%    -2.10%    1.53%    0.46%            3    0.0449674691    0.0266    0.0025            2.0661157025    -0.1300627301
    2009/10    1.48%    -7.14%    2.71%    -8.46%            4    -0.0205071859    -0.0519    0.0062    sum{et^2}        2.8925619835    -0.1178530979
    2009/11    3.55%    15.00%    0.59%    8.33%            5    -0.0191555699    0.0374    0.0080    0.2649937739        3.7190082645    -0.1090954525
    2009/12    -5.85%    -5.02%    -2.62%    -5.69%            6    -0.1177737435    0.0340    0.0000            4.5454545455    -0.1073471486
    2010/01    1.18%    -7.04%    -11.08%    9.51%            7    0.006203008    -0.0946    0.0165    d=        5.3719008264    -0.1034754041
    2010/02    5.20%    7.58%    7.48%    6.54%            8    -0.0425310122    0.0610    0.0242    sum{(et - e_(t-1))^2} /...
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