DATA ANALYSIS II

Mingwei LeiMarch 3rd, 2010

Econ 201S

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Explain everything on slidesInclude graphs as well as

numerical resultsImprove the visual presentation

of the slidesMore ideas for research

VZ: Tests Using TP Quarticity

ZTP 0.1% - 208 (9.83%)1% - 335 (15.8%)5% - 503 (23.8%)

ZTP , l0.1% - 137 (6.47%)1% - 274 (12.9%)5% - 472 (22.3%)

ZTP , lm0.1% - 125 (5.90%)1% - 247 (11.7%)5% - 452 (21.4%)

VZ: Tests Using QP Quarticity

ZQP 0.1% - 233 (11.0%)1% - 369 (17.4%)5% - 576 (27.2%)

ZQP, l0.1% - 208 (9.83%)1% - 335 (15.8%)5% - 503 (23.8%)

ZQP, lm 0.1% - 208 (9.83%)1% - 335 (15.8%)5% - 503 (23.8%)

HPQ: Tests Using TP Quarticity

ZTP 0.1% - 312 (10.7%)1% - 490 (16.7%)5% - 746 (25.5%)

ZTP, l0.1% - 231 (7.90%)1% - 445 (15.2%)5% - 760 (26.0%)

ZTP, lm 0.1% - 211 (7.22%)1% - 427 (14.6%)5% - 743 (25.4%)

HPQ: Tests Using QP Quarticity

ZQP 0.1% - 401 (13.7%)1% - 618 (21.1%)5% - 914 (31.3%)

ZQP, l0.1% - 326 (11.1%)1% - 525 (18.0%)5% - 844 (28.9%)

ZQP, lm 0.1% - 251 (8.58%)1% - 464 (15.9%)5% - 784 (26.8%)

KO: Tests Using TP QuarticityZTP 0.1% - 281 (9.61%) 1% - 452 (15.4%)5% - 706 (24.1%)

ZTP, l 0.1% - 211 (7.21%)1% - 419 (14.3%)5% - 733 (25.0%)

ZTP, lm 0.1% - 192 (6.57%)1% - 395 (13.5%)5% - 708 (24.2%)

KO: Tests Using QP Quarticity

ZQP 0.1% - 418 (14.3%)1% - 647 (22.1%)5% - 947 (32.4%)

ZQP, l 0.1% - 289 (9.88%)1% - 494 (16.9%)5% - 819 (28.0%)

ZQP, lm 0.1% - 220 (7.52%)1% - 428 (14.6%)5% - 751 (25.7%)

VZ Jump Detection: Median Test Using TP Quarticity

Results:• 0.1% level – 30/2117 (1.42%) • 1% level – 75/2117 (3.31%)• 5% level – 186/2117 (8.79%)

HPQ Jump Detection: Median Test Using TP Quarticity

Results:• 0.1% level – 56/2924 (1.9%) • 1% level – 115/2924 (3.93%)• 5% level – 279/2924 (9.54%)

KO Jump Detection: Median Test Using TP Quarticity

Results:• 0.1% level – 33/2924 (1.13%)• 1% level – 107/2924 (3.66%)• 5% level – 261/2924 (8.93%)

A Possible Research Topic It is sometimes said that correlations between

stocks increases when the market is tankingThe goal is to explore the empirical relationship

between coefficient of correlation between various stocks of similar industries and market returns

Process:◦ Match up individual stocks’ data and S&P data◦ Partition data into periods to be analyzed (by week, by

month, etc.)◦ Calculate the market returns for each period◦ Calculate the coefficient of correlation of returns

(hourly, daily, etc) between stocks for each period◦ Plot coefficient of correlation against returns and find a

relationship

Another Possible Research TopicFind relationship between beta and

market returnsProcess:

◦Match up individual stocks’ data and S&P data

◦Partition data into periods to be analyzed (by week, by month, etc.)

◦Calculate time variant realized betas over periods

◦Calculate the market returns for each period◦Plot realized betas vs. market returns and

find a relationship