QUANTITATIVE METHODS FOR FINANCE

It has to contain two files:

one Word file, and one Excel file containing all data, calculations and pertinent workings, please using the following files names:
MAF759_word;
MAF759_excel;

You are analysing stocks traded in NASDAQ (National Association of Securities Dealers Automated Quotations). You have been provided the monthly adjusted close price for NASDAQ Composite (^IXIC) index, Intel Corporation (INTC), and Microsoft Corporation (MSFT) for the period of January 2000 - December 2015.

Note: Data available via Resources - Assignment 2016 folder

Please complete the following questions:

1. Calculate monthly discrete returns (hint: holding period returns) for the NASDAQ index, Intel Corporation (INTC) and Microsoft Corporation (MSFT) stocks prices, respectively.

2. Which one has the highest risk among the monthly NASDAQ index returns, INTC stock returns and MSFT stock returns? Provide evidences.

3. Are the distributions of monthly INTC returns and NASDAQ index returns different? Are the distributions of monthly INTC returns and MSFT returns different? Provide evidences.

4. Test whether the mean returns of NASDAQ index is significantly different from zero at the 1% level of significance.

5. Calculate the correlation coefficient between the Microsoft Corporation stock returns and Intel Corporation stock returns. Is the correlation coefficient statistically significant at the 5% level?

6. In order to predict the monthly Intel Corporation (INTC) returns, your supervisor advised two simple linear regression models:

Model A: Assuming a linear relationship between monthly INTC returns and NASDAQ index returns. Model B: Assuming a linear relationship between monthly INTC returns and MSFT returns.

6.1: By using both models, predict INTC returns when NASDAQ index return being 1.5%, and when MSFT return being 0.75%, respectively.

6.2: Which model you would recommend to your supervisor, and why?

Attachment:- quants excel.xlsx