ACC1106: Financial analysts and Economists are often interested in the relationship between future and past (lagged) stock returns of individual companies: Quantitative Analysis Assignment, SIT, Singapore

Background

Financial analysts and Economists are often interested in the relationship between future and past (lagged) stock returns of individual companies If an accurate prediction of future stock prices can be made based on past values, the monetary benefits can be substantial. Your team’s task in here is therefore to examine this relationship.

Specifications:

Your first task is to find and download the relevant data. To do this, you will need to go to the Yahoo Finance website (1-1tps://au.finance.yahoo.com rr ) and search for the required data. Before you search you will need to determine the following:

1) The company you are interested in exploring. The choice is yours — you can choose any company listed on the ASX200 index. A list of companies is provided here: ASX200 Company List.csv 4,

2) Time interval. Here you will need to choose between daily, weekly, or monthly data. You can use any or all these time intervals.

3) Timeframe (time period for the data) — we recommend data from the past 6 months as a minimum for daily data (longer for weekly or monthly).

Once you have selected your 1)company, 2)time interval/s, and 3)timeframe, you can download the data from the Yahoo Finance website. Your company will have a symbol ends.AX (for example, symbol ANZ.AX if you choose ANZ). The data will be available under the ‘Historical data’ tab.

Important: You will need to set the frequency to ‘daily’, ‘Weekly’. or `monthly’ for your chosen time period and press Apply before you download your dataset (the download button is just below ‘Apply’).

Your next task is to calculate daily/weekly/monthly returns for the Open prices (which is the opening price for the day/week/month and is also the last recorded price for the previous day/week/month). Recall that return is calculated by, if the weekly interval is used: (Price in current week — Price in the previous weekly price in the previous week (and in a similar way daily/monthly return can be calculated if a different time interval is used). For example, given the below table, returns for the week starting 7/01/2018 is calculated by: (6122.3-6065.1y 6065.1=0.009431. You can rename this variable as aRET”. You can also create lagged returns (RETLAG) as this is just the return from the previous week: