Evievs

Page 1 of 8

Evievs

By | Feb. 2013
Page 1 of 8
1 - )
In the first question, the answers are based on Sabancı Holding (SAHOL) stock price series between 01.10.2001 and 08.10.2007. a - ) Time Plot of the price series of SAHOL.

b - ) Descriptive statistics and histogram of simple returns of SAHOL are below.

c -) Descriptive statistics and histogram of log returns of SAHOL are below.

d )- In the simple return statistics, skewness is 0.4490 which is positive and meaning that the histogram is right skewed and kurtosis is 5.35 which means that it has fatter tails than the standard normal distribution. In the log returns statistics, skewness is 0.28 which is right skewed still but is more close to a standard normal distribution statistic. Kurtosis of log returns is 5.03 which are close to standard normal distribution statistic number of 3 kurtosis in comparison to simple returns. Simply it can be observable that log returns have a more close distribution to standard normal distribution in comparison to simple returns.

e ) –
RI is simple return of ISE.
RS is the simple return of SAHOL stock.
Covariance matrix of ISE simple returns and SAHOL stock simple returns is below:

Correlation matrix of ISE simple returns and SAHOL stock simple returns is below:

f ) –
RI is simple return of ISE.
RS is the simple return of SAHOL stock.
β = cov (RS, RI) / var (RI)

Cov(RS, RI) = 0.000506
var(RI)=0.000468

β = 0.000506 / 0.000468
β = 1.082205
Since β is greater than 1 which means that stock is trading aggressively. From covariance it can be understood that stock is moving in the same direction with ISE but it is moving with a strong covariance that the variance of ISE.

g ) –
CVs= St.Dev of SAHOL / Mean of SAHOL ( SAHOL’s CV)

CVS= 0.027445/ 0.001528 = 1796 %
CVI= St.Dev of ISE / Mean of ISE ( ISE’s CV)

CVI= 0.021630/ 0.001550 = 1395%
They both have almost the same standard deviation but ISE is safer since it is less varied comparison to SAHOL stock....