Subject Code & Title : ACFI7027 Quantitative Methods For Finance
Assignment Type : Assessment 1
Objectives :- The assignment tests your understanding of the first six weeks of the course, with a focus on using statistics on finance. You are required to analyse data and, most importantly, explain clearly what you have done.
Required :- There are two tasks to complete. For both you are required to clearly explain the method you are using for a person who is familiar with mean and standard deviation, but does not have any statistical knowledge beyond that. No references are needed.
ACFI7027 Quantitative Methods For Finance Assessment 1 Mid-term Practical Data Analysis – UK.
Learning outcomes assessed :
2.Understand the main ways of using descriptive statistics to summarise financial information and the fundamental principles of statistical inference and hypothesis testing and their relevance to financial enquiry
4.Critically evaluate mathematical and statistical results, drawing conclusions from them and presenting quantitative data in the appropriate manner
5.Perform computer-aided data analysis using Excel
Task 1 :-
1.Download weekly price data from 1 January 2018 to 30 June 2021 for a stock of your choice that is traded on the London Stock Exchange.
2.Calculate the return for each trading week and the average weekly return for the year.
3.Use this data to test whether the average weekly return over the period was significantly different from +0.1%.
4.Using Word, or a similar word-processing app, create a 1-2 page explanation of what you have done, incorporating any helpful data or graphics from your analysis. You will not submit an Excel or Gretl file, so the word-processed file
is the only one you will submit.
Task 2 :-
In the past there has been evidence of a ‘January effect’ in stock returns – that returns in January are significantly different from returns in other months. This task requires you to investigate this for your chosen stock.
ACFI7027 Quantitative Methods For Finance Assessment 1 Mid-term Practical Data Analysis – UK.
1.Using the weekly return data from task 1 and the weekly FT All-share index data available in Moodle, build a regression model that investigates the following:
Dependent variable: Weekly return on your chosen stock;
Independent variables:
- Weekly return on FT all-share index;
- Dummy variable that identifies whether the return was in January.
Note: when a week straddles the beginning or end of January you will have to make a judgement whether to classify it as ‘January’ or ‘not January’.
ACFI7027 Quantitative Methods For Finance Assessment 1 Mid-term Practical Data Analysis – UK.
2.Add to your task 1 file a 1-2 page explanation of what you have done, and interpretation of output from your model. In particular, identify whether the returns in January are significantly different from other months, and the meaning of the ‘beta’ of the stock. Incorporate any helpful data or graphics from your analysis. Interpret the output from your model. The word-processing file is the only one you will submit.
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