Explain daily movements of stock returns

Assignment Help Macroeconomics
Reference no: EM133203171

A Financial Economist is attempting to form an econometric model to explain daily movements of stock returns. A colleague suggests that she might want to see whether her data are influenced by daily seasonality.

I. How might she go about doing this?

II. The Economist estimates a model with the dependent variable as the daily returns on a given share traded on the London stock exchange, and various macroeconomic variables and accounting ratios as independent variables. She attempts to estimate this model, together with five daily dummy variables (one for easy day of the week), and a constant term, using E Views. E Views then tells her that it cannot estimate the parameters of the model. Explain what has probably happened, and how she can fix it.

III. Distinguish between intercept dummy variables and slope dummy variables, given an example of each.

Reference no: EM133203171

Questions Cloud

Importance of cultivating guanxi and guanxiwang in china : Why do you think it is so important to cultivate guanxi and guanxiwang in China? What does the experience of DMG tell us about the way things work in China?
Explain the recent trends of economic growth : 1. Use The SnapShot Model to present your state of the economy at the present time. What is the GDP, Unemployment Rate, and Inflation Rate?
Calculating confidence intervals : In class we discussed an important contribution to statistics by William Sealy Gosset. Specifically, Gosset is credited with creating an important distribution.
Explain trickle-down economics : How successful was QE1 considered to be during the Great Recession in 2008-2009? How about the subsequent QEs after 2009? You are encouraged to use additional
Explain daily movements of stock returns : A Financial Economist is attempting to form an econometric model to explain daily movements of stock returns. A colleague suggests that she might want to see wh
Attainment of economies of scale : Research the company and the market(s) in which it competes, and
Analyzing the medford university case : In analyzing the Medford University case utilizing decision management and decision control why would allocate decision management responsibilities related to c
Prerequisite for effective leadership : Diversity awareness is a prerequisite for effective leadership. However, enabling leaders to learn and practice the skills they need to excel in diverse setting
How is the work of louis pasteur similar to florence : 1. How is the work of Louis Pasteur similar to Florence Nightingale's and how does their work impact society?

Reviews

Write a Review

Macroeconomics Questions & Answers

  Inflation targeting be a good policy

Why might it be difficult for the Fed to formally adopt inflation targeting?  Would inflation targeting be a good policy for the Fed in the present economic environment

  In using the taylor rule

In using the Taylor Rule as a guideline for monetary policy, what are the pros and cons of using forecasted values of inflation and output rather than observed values of these variables?

  Describe the present economic crisis situation in europe

Describe the present economic crisis situation in Europe.  Why has it been so difficult for the Europeans to find a solution to this problem?   Comment on what implications the crisis may have for the rest of the world if Europeans are not able to ag..

  Long-term federal government budget problems

Question:. Explain why there are long-term Federal government budget problems. Explain why the base-line forecast of the CBO is misleading.

  Derive and compare demand curve

Question based on Derive and compare demand curve,  Derive Ambrose's demand function for peanuts. How does it compare with Johnny's demand curve for peanuts?

  Problem based on utility function

Problem based on  Utility Function - Problem,  Answer and explain the following using a diagram which is completely labeled.

  Laffer curve : tax rate and tax revenue

Question based on Laffer Curve : Tax Rate and Tax Revenue,  Do raising tax rates necessarily raise tax revenue? What factors affect how tax revenue changes when tax rates change?

  Problem - income elasticity of demand

Problem - Income Elasticity of Demand,  Interpret the following Income Elasticities of Demand (YED) values for the following and state if the good is normal or inferior; YED= +0.5 and YED= -2.5

  Positive balance of payment

Question Positive Balance of Payment: "Things will look good for the US if we could just get to where we are consistently running a positive Balance of Payments."

  Effect of recession on the investment curve

Comment on the effect of a recession on the investment curve (only) and on the level of savings, investment, and the equilibrium real interest rate in the financial crisis that hits United States first starting in fall 2007.

  Affect of falling domestic investment on trade surplus and

How will a fall in domestic investment affect the trade surplus and net capital outflows in the domestic economy, the trade deficit and capital inflows in the rest of the world.

  Crises in the banking sector and bank run

Banking crises crisis decreases depositors' confidence in the banking system. What would be the effect of a rumor about a banking crisis on checkable deposits in such a country?

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd