Assignment explanation: Regress monthly returns of Apple on: a) monthly returns
ID: 2805914 • Letter: A
Question
Assignment explanation:
Regress monthly returns of Apple on: a) monthly returns of SP500, b) monthly returns of DJIA and c) monthly returns of NASDAQ. (I have already calculated returns for you, see last 4 columns of Data for Assignment 15 file). Note, we have 3 regression lines: Apple returns as dependent variable and returns of SP500, returns of DJIA and returns of NASDAQ as independent variable one at the time.
Make a table in which you show intercepts, slopes, and R-squares of all three regression lines (i.e. your table contains 9 numbers: 3 intercepts, 3 slopes, and 3 R-squares).
In 6 lines discuss which market index (SP500, or DJIA, or NASDAQ) explains variations in Apple returns better and why?
Date SP500 DJIA NASDAQ Apple RSP500 RDJIA RNASDAQ RAPPLE 11/1/2015 2080.40991 17719.9199 5108.66992 115.725212 -1.7685659 -1.6781788 -2.0020235 -11.67903 12/1/2015 2043.93994 17425.0293 5007.41016 102.969025 -5.2067617 -5.6591722 -8.1834481 -7.822354 1/4/2016 1940.23999 16466.3008 4613.9502 95.221397 -0.4136906 0.30439657 -1.2211362 -0.1288313 2/1/2016 1932.22998 16516.5 4557.9502 95.098801 6.39049904 6.83620216 6.61901521 11.9746127 3/1/2016 2059.73999 17685.0898 4869.8501 107.196381 0.26957617 0.49945931 -1.9593821 -15.073119 4/1/2016 2065.30005 17773.6406 4775.35986 92.197342 1.52083667 0.07625576 3.55241851 6.93142781 5/2/2016 2096.94995 17787.1992 4948.04981 98.814621 0.09105065 0.79956894 -2.1527315 -4.3596423 6/1/2016 2098.86011 17929.9902 4842.66992 94.599213 3.49904331 2.7626575 6.38830569 8.62352802 7/1/2016 2173.6001 18432.2402 5162.12988 103.11908 -0.1219987 -0.1702782 0.9848486 2.33764785 8/1/2016 2170.94995 18400.8809 5213.22022 105.558037 -0.1235213 -0.5052199 1.87706639 6.34482053 9/1/2016 2168.27002 18308.1504 5312 112.472542 -1.9616837 -0.9093499 -2.3400406 0.43249806 10/3/2016 2126.1499 18142.4199 5189.14014 112.960037 3.62877172 5.05544641 3.62467864 -1.5433945 11/1/2016 2204.71997 19083.1797 5380.68018 111.230003 . . . .Explanation / Answer
Date SP500 DJIA NASDAQ Apple RSP500 RDJIA RNASDAQ RAPPLE 11-01-2015 2080.40991 17719.92 5108.67 115.7252 -1.76857 -1.67818 -2.0020235 -11.679 12-01-2015 2043.93994 17425.03 5007.41 102.969 -5.20676 -5.65917 -8.1834481 -7.82235 01-04-2016 1940.23999 16466.3 4613.95 95.2214 -0.41369 0.304397 -1.2211362 -0.12883 02-01-2016 1932.22998 16516.5 4557.95 95.0988 6.390499 6.836202 6.6190152 11.97461 03-01-2016 2059.73999 17685.09 4869.85 107.1964 0.269576 0.499459 -1.9593821 -15.0731 04-01-2016 2065.30005 17773.64 4775.36 92.19734 1.520837 0.076256 3.5524185 6.931428 05-02-2016 2096.94995 17787.2 4948.05 98.81462 0.091051 0.799569 -2.1527315 -4.35964 06-01-2016 2098.86011 17929.99 4842.67 94.59921 3.499043 2.762658 6.3883057 8.623528 07-01-2016 2173.6001 18432.24 5162.13 103.1191 -0.122 -0.17028 0.9848486 2.337648 08-01-2016 2170.94995 18400.88 5213.22 105.558 -0.12352 -0.50522 1.8770664 6.344821 09-01-2016 2168.27002 18308.15 5312 112.4725 -1.96168 -0.90935 -2.3400406 0.432498 10-03-2016 2126.1499 18142.42 5189.14 112.96 3.628772 5.055446 3.6246786 -1.54339 11-01-2016 2204.71997 19083.18 5380.68 111.23 . . . . Intercept Slope R-square Apple vs S&P500 -1.14 1.68 0.31 Apple vs DJIA -1.15 1.33 0.19 Apple vs NASDAQ -0.97 1.48 0.53 So as we can see the R-square value of Apple and Nasdaq is the heighest amongst all three So NASDAQ explains the returns in apple in a much better way as compared to other two.
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