BUSS1020 Written Assignment
BUSS1020 Written Assignment
Task 1
According to the data downloaded from the website, it involved some information about the all ordinaries index. For instance, it covered the date, open, high, low, close, and volume and adjust close.
In the question, it defined date 1 as the first trading day of the study period. Date 0 which is one day before the first trading day Date 1. First of all, using excel to set up the time index column to arrange the date of the trading day. The range of the data is from date 0 to 1087.
In order to calculate the daily return for the all ordinaries index, the formula could be used. is the return for each day, stands for the all ordinaries index at a specific date t and is the data of the all ordinaries index that one day before the date t. In addition, the adjust close is the appropriate data selected to calculate the daily returns.
Referring back to the given data, the daily return for date 0 could not be computed since the data of adjust close before date 0 is unavailable. Therefore, the daily return will be calculated from date 1 to 1087. For example, the daily return on date 1 can be calculated as following: R1= = = -0.10%
The descriptive statistics data of the daily return that calculated by excel are following:
Mean
0.04%
Standard Error
0.03%
Median
0.08%
Mode
-0.16%
Standard Deviation
0.010444
Sample Variance
0.000109
Kurtosis
1.102023
Skewness
-0.23502
Range
0.077052
Minimum
-0.04209
Maximum
0.034966
Sum
0.4047
Count
1087
Among all the 1087 date, the returns of all ordinaries index have the mean of 0.04%, median of 0.03% and the most frequent data of -0.16%. Also, the range of these returns is 0.077052. The maximum and minimum return of all ordinaries index are 0.034966 and -0.04209 respectively.
The descriptive statistics data of the daily return can form a histogram through the excel as well. Display like following:
Task 2
Basing on the
Task 1
According to the data downloaded from the website, it involved some information about the all ordinaries index. For instance, it covered the date, open, high, low, close, and volume and adjust close.
In the question, it defined date 1 as the first trading day of the study period. Date 0 which is one day before the first trading day Date 1. First of all, using excel to set up the time index column to arrange the date of the trading day. The range of the data is from date 0 to 1087.
In order to calculate the daily return for the all ordinaries index, the formula could be used. is the return for each day, stands for the all ordinaries index at a specific date t and is the data of the all ordinaries index that one day before the date t. In addition, the adjust close is the appropriate data selected to calculate the daily returns.
Referring back to the given data, the daily return for date 0 could not be computed since the data of adjust close before date 0 is unavailable. Therefore, the daily return will be calculated from date 1 to 1087. For example, the daily return on date 1 can be calculated as following: R1= = = -0.10%
The descriptive statistics data of the daily return that calculated by excel are following:
Mean
0.04%
Standard Error
0.03%
Median
0.08%
Mode
-0.16%
Standard Deviation
0.010444
Sample Variance
0.000109
Kurtosis
1.102023
Skewness
-0.23502
Range
0.077052
Minimum
-0.04209
Maximum
0.034966
Sum
0.4047
Count
1087
Among all the 1087 date, the returns of all ordinaries index have the mean of 0.04%, median of 0.03% and the most frequent data of -0.16%. Also, the range of these returns is 0.077052. The maximum and minimum return of all ordinaries index are 0.034966 and -0.04209 respectively.
The descriptive statistics data of the daily return can form a histogram through the excel as well. Display like following:
Task 2
Basing on the