Assignment – 2008 ________________________________________ Required Using the data provided in page two apply the following tests on any two of the indices, a. Auto and serial correlation (10 Marks) b. Runs (5 Marks) c. The Distribution of Returns (10 Marks) d. Using the results gained from the above tests discuss your results with reference to the Efficient Market Hypothesis (25 Marks) Objectives 1. To get students acquainted with the basic methods of descriptive statistical analysis which constitutes the core methodology of the early tests of the Efficient Market Theory. Hence, students must produce an autocorrelation and correlation study of the data, a runs test and use the descriptive statistics to describe the distribution of the data and its suitability for parametric analysis. 2. To use what theory they have acquired and the analysis in part (1) to draw inferences about the pricing efficiency of the chosen indices. This second object will display evidence of the student’s further research in the area of study. 3. Students are expected and encouraged to provide more analysis (for ex than that called for in the assignment. However, this additional work is left unspecified as it gives the student the opportunity to develop their own expertise and subject knowledge. ________________________________________ Marking: 1. The standard numerical analysis in part (a) gets 8 marks with comments on the results a further two marks. 2. The numerical work for the runs tests gets 4 marks while one mark is left for comment. 3. The standard numerical analysis for part (c) includes the following, mean, mode, median, standard deviation, standard error of the mean and ‘t’ test for significance. It will also include the coefficients for skew and kurtosis, and their standard errors and ‘t’ tests for significance. Lastly, students are expected to estimate the Jarque-Bera coefficient for normality. The numerical work gets 9 marks and the there is a mark for comments. 4. Section (d) is meant to pulll all the analysis together. Hence, the marks depend on the integration of the results for sections (a) to (c) and the evidence of further reading and additional analysis. Date World Britain 36523 1413.2 6836.7 05-Jan-00 1359.5 6535.9 12-Jan-00 1378 6532.8 19-Jan-00 1386.2 6445.4 26-Jan-00 1355.5 6375.6 02-Feb-00 1356.3 6302.8 09-Feb-00 1381.4 6315.4 16-Feb-00 1353.8 6147.4 23-Feb-00 1342 6144.1 01-Mar-00 1359 6364.9 08-Mar-00 1354.2 6411.2 15-Mar-00 1339.8 6447 22-Mar-00 1421.5 6609.6 29-Mar-00 1443.7 6598.8 05-Apr-00 1410.3 6379.3 12-Apr-00 1402.1 6350.8 19-Apr-00 1361 6074 26-Apr-00 1379.6 6256.5 03-May-00 1348.1 6184.8 10-May-00 1317 6100.6 17-May-00 1345.6 6196.2 24-May-00 1300.4 6118.6 31-May-00 1339.5 6359.3 07-Jun-00 1391.9 6503.8 14-Jun-00 1390 6536.3 21-Jun-00 1386.3 6477.8 28-Jun-00 1376.1 6313.5 05-Jul-00 1385.3 6382.5 12-Jul-00 1395.2 6518.5 19-Jul-00 1381.3 6465.4 26-Jul-00 1364.1 6387.1 02-Aug-00 1343.4 6391 09-Aug-00 1356.4 6414 16-Aug-00 1371.3 6532 23-Aug-00 1374.6 6566.2 30-Aug-00 1374.9 6615.1 06-Sep-00 1373.5 6694.7 13-Sep-00 1335.7 6478.2 20-Sep-00 1308.4 6279.9 27-Sep-00 1299.4 6269.3 04-Oct-00 1297.7 6334.9 11-Oct-00 1247.7 6117.6 18-Oct-00 1217 6148.2 25-Oct-00 1240.8 6367.8 01-Nov-00 1288.2 6457.6 08-Nov-00 1284.7 6477.4 15-Nov-00 1264.3 6432.3 22-Nov-00 1198.7 6221.4 29-Nov-00 1218.7 6164.9 06-Dec-00 1238.4 6273.3 13-Dec-00 1245 6403 20-Dec-00 1219.5 6295 27-Dec-00 1219 6220.3 03-Jan-01 1227.5 6039.9 10-Jan-01 1202.4 6060.6 17-Jan-01 1219.4 6197.4 24-Jan-01 1236.4 6264.4 31-Jan-01 1244.2 6297.5 07-Feb-01 1219.2 6225.6 14-Feb-01 1191.4 6176.2 21-Feb-01 1146.8 5972.4 28-Feb-01 1137.9 5917.9 07-Mar-01 1152 6001.8 14-Mar-01 1066.2 5625.9 21-Mar-01 1039.6 5540.7 28-Mar-01 1065.4 5614 04-Apr-01 1031.5 5535.7 11-Apr-01 1078.9 5786.1 18-Apr-01 1118.8 5890.2 25-Apr-01 1120.2 5827.5 02-May-01 1153.8 5904.2 09-May-01 1137.1 5893.7 16-May-01 1148.9 5884 23-May-01 1155.8 5897.4 30-May-01 1120.6 5796.9 06-Jun-01 1128.3 5901.5 13-Jun-01 1103.4 5820.2 20-Jun-01 1081.7 5699.6 27-Jun-01 1074.7 5607.9 04-Jul-01 1086.9 5600.5 11-Jul-01 1045.7 5391.9 18-Jul-01 1058.8 5404.6 25-Jul-01 1046.5 5275.7 01-Aug-01 1075.7 5546.9 08-Aug-01 1055.6 5476.5 15-Aug-01 1046.7 5463.3 22-Aug-01 1044.6 5408.7 29-Aug-01 1033.2 5417.6 05-Sep-01 1004.8 5316 12-Sep-01 949.2 4882.1 19-Sep-01 907.6 4721.7 26-Sep-01 898.6 4696.1 03-Oct-01 942.6 4881.8 10-Oct-01 957.2 5153.1 17-Oct-01 965.3 5203.4 24-Oct-01 966.7 5167.6 31-Oct-01 943.2 5039.7 07-Nov-01 981.6 5216.3 14-Nov-01 993.9 5240.7 21-Nov-01 995.6 5313.8 28-Nov-01 987.2 5205.2 05-Dec-01 1021.4 5333.5 12-Dec-01 996.2 5120 19-Dec-01 995.9 5151.1 26-Dec-01 991.6 5176.9 02-Jan-02 1006.5 5218.3