How are returns on common stocks in overseas markets related to returns in one c

Question

How are returns on common stocks in overseas markets related to returns in one countries markets? Consider measuring the countries returns by the annual rate of return on the index A and overseas returns by the annual rate of return on index B. Both are recorded in percents. We will regress the B returns on the A returns for the years 1985 to 2014. Here is part of the output for this regression. The regression equation is

B = 3.25 + 0.823A.

Complete the analysis of variance table by filling in the missing boxes. (Round your answer for F to two decimal places and your answers for SS and MS to one decimal place.)

Analysis of Variance   Source DF SS MS F Regression 1 5551.7 _____ ______ Residual Error _____ _____ _____ Total _____ 10078.7

Explanation / Answer

Ans:

As,there are 29 observations (from 1985-2014),so

Total df=29-1=28

df error=29-2=27

SSE=SST-SSTR=10078.7-5551.7=4527

MS=SS/df

F=MS(reg.)/MS(error)

Source DF SS MS F Regression 1.00 5551.7 5551.7 33.11 Residual Error 27.00 4527.0 167.7 Total 28.00 10078.7

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