Group Project Fmi

GROUP PROJECT
GD20503 Financial
Markets & Institutions

Semester 1 2020/21
SUBJECT CODE : Financial Markets & Institutions
SUBJECT TITLE : GT20503
Num Matrix Number Name Program
1 BG19110202 NURUL SYARMILA ABDULLAH HE22

2 BG19110240 NAGAMMEI A/P THIAGARAJAN HE22
NAGAPPAN
3 BG16160687 ALLEN TEY KAE WEN HE22
4 BG19110226 ASHVINDER KAUR A/P AMREEK SINGH HE22
5 BG19110361 MOHD ZHARIF HAMZI BIN ZULKIFLI HE22
6 BG19110013 NOOR NYJAH BINTI TONY HE22
PREPARE FOR:
DR LEE HOCK ANN
1. Describe the trend for these indexes. Which index has had the best performance?
Indexes show trends and changes in investing patterns. These index shown stock market
between 2 January 2020 to 16 December 2020. As for KLSE, it started with a constant
1574.9 and come to fall on 18 March , with price of 8441.70. Then the price increase
gradually and reach the highest point on 16 December for 13362.87. In 2 January, DJI
shown price for 28868.80. The number lose its momentum on 23 rd March for 18591.92.
The price stable and reach 30154.53 on 16 December.
For GDAXI, the price started at 13385.92 and fell to the lowest price on 18 March,
8441.70. Same like other indexes, it increase to 13362.87 on 16 December. The starting
price for N225 is about 23204.85. It is also fell around March the 19 th , 16552.83. It
gradually increased and boost to 26757.40 on December 16 th. HIS shown a good price on
early January, which is at 28543.51. Thus, it fell to 21696.13 on 23 rd March and increased
at 16 December at 26460.28.
Based on the indexes, DJI shown an excellent performance from 2 January to 16
December. Eventhough it fell to the lowest price at 18591.92, but it gain back its position
to even higher price on 16 December.
2. Which stock does your analysis show to be riskier. Justify.
Stocks Trading The Latest Average
Volume on Trading Trading

2 Jan 2020 Volume Volume
IOI Corp. Bhd (1961.KL) 5,297,500 2,894,300 3,385,091
SIMEPLT (5285.KL) 6,506,000 5,720,500 3,646,823
Press Metal (8869.KL) 5,349,500 6,317,600 3,437,137
Nestlé (Malaysia) Berhad (4707.KL) 34,700 83,300 86,376
Kuala Lumpur Kepong Berhad
811,500 625,300 784,301
(2445.KL)
MISC (3816.KL) 1,519,000 1,375,200 3,816,864
Genting Malaysia Berhad (4715.KL) 5,216,800 7,134,000 16,026,105
Petronas Dagangan Bhd (5681.KL) 250,200 171,600 398,684
IHH Healthcare Berhad (5225.KL) 6,635,400 1,702,800 3,918,164
Public Bank Berhad (1295.KL) 1,784,000 5,941,200 4,845,565
Source: Yahoo Finance and authors’ calculation
High risk investment is a large percentage chance of loss of capital or high chance of
devastating loss. Based on the stock analysis, IHH Healthcare Berhad is more likely to be
riskier. The latest trading volume is lower than the trading volume on 2 Jan 2020. Low
volume reflects a lack of investors’ confidence in the company. The price will keep falling
when the volume is decreasing.
3. Using the data in Question 2, calculate the average daily trading volume of each of
these stocks. Which stock does your analysis show to be more liquid? Justify.
Table 2: The Average Daily Trading Volume of the Stocks
Stock Average Daily Trading Volume
IOI Corp.Bhd (1961.KL) 3,385,091
SIMEPLT (5285.KL) 3,646,832
Press Metal Bhd (8869.KL) 3,437,137
Nestlé (Malaysia) Berhad (4707.KL) 86,376

Kuala Lumpur Kepong Berhad 784,301
(2445.KL)
MISC (3816.KL) 3,816,864
Genting Malaysia Berhad (4715.K) 16,026,105
Petronas Dagangan Bhd (5681.KL) 398,684
IHH Healthcare Berhad (5225.KL) 3,918,164
Public Bank Berhad (1295.KL) 4,845,565
The table above shows the Average Daily Trading Volume of each stock calculated based
on volume of the 10 selected stocks from Yahoo finance from 2 January 2020 to 16
December 2020. The Average Daily Trading Volume is obtained from the number of
shares traded in a day during a certain period. The above data shows that the Public Bank
Berhad has the highest Average Daily Trading Volume (4,845,565) and the least is Nestlé
(Malaysia) Berhad (86,376) during this period. Hence, if the Average Daily Trading Volume
is high the liquidity of the stock is high as well. This means there are plenty of willing
buyers and sellers in the share market causing high transactions for this stock. This also
shows that we can easily buy or sell this stock in the share market as there is high supply
and demand for this stock.

4. Using the data in Question 2 and BNM website, compute the Sharpe index of each
of these stocks. Which stock has the best performance? Justify.
Table 3: The Sharpe Index of the Stocks
Stock Sharpe Index
IOI Corp.Bhd (1961.KL) 0
SIMEPLT (5285.KL) -0.978283722
Press Metal Bhd (8869.KL) -0.803857496
Nestlé (Malaysia) Berhad (4707.KL) -2.25554998

Kuala Lumpur Kepong Berhad -0.966941429
(2445.KL)
MISC (3816.KL) -1.111043574
Genting Malaysia Berhad (4715.K) -0.749147651
Petronas Dagangan Bhd (5681.KL) -0.878977082
IHH Healthcare Berhad (5225.KL) -1.147685448
Public Bank Berhad (1295.KL) -0.821446572
Sharpe index is a method for calculating the return of a stock investment made by
comparing to its risk. Therefore, the higher the value of sharpe index, the better its risk-
adjusted return. On the other hand, if the value of sharpe index is negative, it means that
the risk-free rate is higher than the portfolio’s return or expected negative portfolio’s
return. The value of sharpe index can also be zero.This is when the investment's excess
return is zero, which is when the return on the portfolio is exactly equal to the risk-free
rate. Based on the sharpe index in the table above, the stock that has the best
performance is IOI Corp.Bhd. This because it has the highest sharpe index than other
stocks which is 0. However, a Sharpe index of greater than 1.0 is considered to be the
acceptable ratio by investors. All of the listed stock has a Sharpe index of below 1.0. is
least preferred by investors. Despite of IOI Corp.Bhd being the best stock performance, it
still not acceptable by investor as it is not 1.0 (acceptable index).

5. Use data in Question 2 to determine which stocks are efficient, based on weak-
form market efficiency. Can you consistently achieve abnormal returns, given the
information available at the time the portfolio investment is made? Explain.
Stock Day(t-1) Day(t-2) Day(t-3) Day(t-4) Day(t-5)

IOI NO - - - -
Corp.Bhd NO YES - - -
(1961.KL) NO YES YES - -
NO YES YES YES -
NO YES YES YES YES
SIMEPLT YES - - - -
(5285.KL) YES NO - - -
YES NO YES - -
YES NO YES YES -
YES NO YES YES YES
Press Metal YES - - - -
Bhd YES NO - - -
(8869.KL) YES NO NO - -
YES NO NO NO -
YES NO YES NO NO
Nestlé YES - - - -
(Malaysia) YES YES - - -
Berhad YES YES NO - -
(4707.KL) YES YES NO NO -
YES YES NO NO YES
Kuala YES - - - -
Lumpur YES YES - - -
Kepong YES YES YES - -
Berhad YES YES YES YES -
(2445.KL) YES YES YES YES YES
MISC NO - - - -
(3816.KL) NO NO - - -
NO NO NO - -
NO NO NO YES -
NO NO NO YES YES
Genting NO - - - -
Malaysia NO NO - - -
Berhad NO NO NO - -
(4715.K) NO NO NO YES -
NO NO NO YES NO
Petronas NO - - - -
Dagangan NO YES - - -
Bhd NO YES YES - -
(5681.KL) NO YES YES YES -
NO YES YES YES YES
IHH YES - - - -
Healthcare YES NO - - -
Berhad YES NO YES - -
(5225.KL) YES NO YES YES -
YES NO YES YES YES
Public Bank YES - - - -
Berhad YES NO - - -
(1295.KL) YES NO YES - -
YES NO YES YES -
YES NO YES YES YES
Explanation:
From the data that we have analysis above we can see which stocks are efficient, based
on weak-form market efficiency. Weak-form efficiency, also known as the random-walk
theory, states that future securities' prices are random and not influenced by past events.
The core theory of weak form efficiency is that stock market randomness means that
prices cannot be found and price fluctuations cannot be taken advantage of. In fact, the
fluctuation of the daily stock price is completely separate from each other. Moreover,
increase in historical sales would not forecast growth in present or projected revenues.
Weak-form market efficiency says that costs, historical values and patterns in the past
cannot estimate future prices. Weak form market efficiency is part of an effective theory
for the market. Poor performance means that all current knowledge is expressed in asset
markets. From the data, we can see that Kuala Lumpur Kepong Berhad have an efficiency
in manage their stock base on weak-form market efficiency. Also Genting more to Strong-
form Market which their has collect high of profit in the stock every month. An abnormal
return describes the extraordinary profits created by given securities or portfolios over a
defined duration. The output is different from the expected, or predicted, rate of return
(RoR) for the investment. So, from my point of view, its hard for the company to
consistently achieve an abnormal return that we can’t predict.

Appendix : Regression results of question 5
Appendix: Regression Result Of Question 5
Linear Regression Model
Y~X
coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.011 0.097 -0.11 0.913
X -0.112 0.065 -1.719 0.087
---
Residual Std. Err. 1.488 on 232 df
Multiple R-sq. 0.013
95% CI Multiple R-sq. [0, 0.058]
Adjusted R-sq. 0.008
Day (t-2)
IOI Corp Sdn Bhd - Day(t-1)
Multiple Linear Regression - Estimated Regression Equation
Return[t] = -0.0117038 -0.114813ReturnLag1[t] -0.0176248ReturnLag2[t] + e[t]
Multiple Linear Regression - Ordinary Least Squares
Variable Paramete S.D. T-STAT 2-tail p- 1-tail p-

r H0: parameter value value
=0
(Intercept) -0.0117 0.09788 -1.1960e-01 0.9049 0.4525
ReturnLag1 -0.1148 0.06607 -1.7380e+00 0.08358 0.04179
ReturnLag2 -0.01762 0.06586 -2.6760e-01 0.7892 0.3946
Multiple Linear Regression - Regression Statistics
Multiple R 0.1139
R-squared 0.01298
Adjusted R-squared 0.004401
F-TEST (value) 1.513
F-TEST (DF numerator) 2
F-TEST (DF denominator) 230
p-value 0.2225
Multiple Linear Regression - Residual Statistics

Residual Standard Deviation 1.494
Sum Squared Residuals 513.4
Return[t] = -0.0118378 -0.113397ReturnLag1[t] -0.00961429ReturnLag2[t] +

0.0705021ReturnLag3[t] + e[t]
Day(t-3)
Variable Parameter S.D. T-STAT 2-tail p-value 1-tail p-value

H0: parameter = 0
(Intercept) -0.01184 0.09827 -1.2050e-01 0.9042 0.4521
ReturnLag1 -0.1134 0.06621 -1.7130e+00 0.08811 0.04406
ReturnLag2 -0.009614 0.06663 -1.4430e-01 0.8854 0.4427
ReturnLag3 +0.0705 0.06604 +1.0680e+00 0.2868 0.1434

Multiple R 0.1338
R-squared 0.01789
p-value 0.2482
Day(t-4)
Return[t] = -0.00667391 -0.113517ReturnLag1[t] -0.0100631ReturnLag2[t]

+ 0.0750832ReturnLag3[t] + 0.0015386ReturnLag4[t] + e[t]
Variable Parameter S.D. T-STAT 2-tail p- 1-tail p-

H0: parameter value value
=0
(Intercept) -0.006674 0.0987 -6.7560e-02 0.9462 0.4731

8
ReturnLag1 -0.1135 0.0665 -1.7050e+00 0.08958 0.04479

8
ReturnLag2 -0.01006 0.0668 -1.5050e-01 0.8805 0.4402
4
ReturnLag3 +0.07508 0.0668 +1.1230e+00 0.2627 0.1314

8
ReturnLag4 +0.001539 0.0664 +2.3160e-02 0.9815 0.4908

3
Multiple R 0.1362
R-squared 0.01856
p-value 0.373

Day (t-5)
Return[t] = -0.00912688 -0.112096ReturnLag1[t] -0.00607223ReturnLag2[t] +

0.0746639ReturnLag3[t] -0.00651758ReturnLag4[t] -0.0528209ReturnLag5[t] + e[t]

=0
(Intercept) - 0.0992 -9.1940e-02 0.9268 0.4634

0.009127 7
ReturnLag1 -0.1121 0.0668 -1.6770e+00 0.09501 0.04751
6
ReturnLag2 - 0.0672 -9.0360e-02 0.9281 0.464

0.006072
ReturnLag3 +0.07466 0.0670 +1.1130e+00 0.2668 0.1334

7
ReturnLag4 - 0.0672 -9.6870e-02 0.9229 0.4615

0.006518 8
ReturnLag5 -0.05282 0.0666 -7.9290e-01 0.4287 0.2143

1
Multiple R 0.1453
R-squared 0.02111
Adjusted R-squared -0.0007373
p-value 0.4393
SIMEPLT – Day(t-1)
Y~X
coefficients:
(Intercept) 0.004 0.142 0.028 0.977
X -0.278 0.063 -4.383 0
---
95% CI Multiple R-sq. [0.001, 0.212]
Day(t-2)
return[t] = -0.48779 -0.267482returnlag1[t] -0.148708returnlag2[t]

-0.113742V4[t] + e[t]

H0: parameter = value value
0
(Intercept -0.4878 0.1204 -4.0500e+00 6.692e-05 3.346e-05

)
returnlag1 -0.2675 0.05853 -4.5700e+00 7.436e-06 3.718e-06
returnlag2 -0.1487 0.04691 -3.1700e+00 0.001701 0.0008505
V4 -0.1137 0.04473 -2.5430e+00 0.01156 0.005778
Multiple R 0.3081
R-squared 0.09493
p-value 6.238e-06
Sum Squared Residuals 1036

Day(t-3)
return[t] = + 0.00719681 -0.329347returnlag1[t] -0.195518returnlag2[t] +

0.0144409returnlag3[t] + e[t]

=0
(Intercept +0.007197 0.1407 +5.1150e-02 0.9592 0.4796

)
returnlag1 -0.3293 0.0665 -4.9500e+00 1.444e-06 7.218e-07

4
returnlag2 -0.1955 0.0687 -2.8430e+00 0.004873 0.002436

7
returnlag3 +0.01444 0.0666 +2.1660e-01 0.8287 0.4144

7
Multiple R 0.3364
R-squared 0.1132
F-TEST (value) 9.7
p-value 4.747e-06

Day(t-4)

0.0337476returnlag3[t] + 0.0596553returnlag4[t] + e[t]

H0: value value
parameter = 0
(Intercept) +0.005047 0.1414 +3.5700e-02 0.9716 0.4858
returnlag1 -0.3301 0.0667 -4.9480e+00 1.465e-06 7.323e-07

2
returnlag2 -0.1837 0.0702 -2.6160e+00 0.009497 0.004749

1
returnlag3 +0.03375 0.0702 +4.8030e-01 0.6315 0.3157

6
returnlag4 +0.05965 0.0668 +8.9220e-01 0.3733 0.1866

7
Multiple R 0.341
R-squared 0.1163
p-value 1.21e-05


Day(t-5)

0.0294103returnlag3[t] + 0.0522584returnlag4[t] -0.0228242returnlag5[t] +
e[t]

=0
(Intercept +0.006591 0.1423 +4.6320e-02 0.9631 0.4815

)
returnlag1 -0.3287 0.0671 -4.8980e+00 1.854e-06 9.269e-07

1
returnlag2 -0.1829 0.0705 -2.5930e+00 0.01015 0.005075

3
returnlag3 +0.02941 0.0716 +4.1040e-01 0.6819 0.3409

6
returnlag4 +0.05226 0.0706 +7.4010e-01 0.46 0.23

1
returnlag5 -0.02282 0.0672 -3.3930e-01 0.7347 0.3673

6
Multiple R 0.3416
R-squared 0.1167

p-value 3.674e-05
Press Metal Bhd (8869.KL)
Day(t-1)
Y~X
coefficients:
(Intercept) -0.167 0.194 -0.864 0.389
X 0.069 0.066 1.051 0.294
---
Adjusted R-sq. 0
Day(t-2)
Return[t] = -0.143033 + 0.0596276ReturnLag1[t] + 0.135501ReturnLag2[t]

+ e[t]

r H0: parameter = value value
0
(Intercept) -0.143 0.1935 -7.3930e-01 0.4605 0.2302
ReturnLag +0.05963 0.0654 +9.1170e-01 0.3629 0.1814

1
ReturnLag +0.1355 0.0654 +2.0720e+00 0.03942 0.01971

2 1
Multiple R 0.1516
R-squared 0.023
p-value 0.06889
Day(t-3)
Return[t] = -0.131631 + 0.0448184ReturnLag1[t] + 0.128392ReturnLag2[t]

+ 0.111828`ReturnLag3\r`[t] + e[t]

=0
(Intercept) -0.1316 0.1937 -6.7960e-01 0.4974 0.2487
ReturnLag1 +0.04482 0.06587 +6.8040e-01 0.497 0.2485
ReturnLag2 +0.1284 0.0654 +1.9630e+00 0.05085 0.02543
`ReturnLag3\r +0.1118 0.06588 +1.6970e+00 0.09097 0.04549

`
Multiple R 0.1875
R-squared 0.03515
p-value 0.04252
Day(t-4)
Return[t] = -0.159824 + 0.0633013ReturnLag1[t] + 0.151806ReturnLag2[t] +

0.119266ReturnLag3[t] -0.176117`ReturnLag4\r`[t] + e[t]

=0
(Intercept) -0.1598 0.1919 -8.3290e-01 0.4058 0.2029
ReturnLag1 +0.0633 0.0654 +9.6670e-01 0.3347 0.1674

8
ReturnLag2 +0.1518 0.0651 +2.3290e+00 0.02072 0.01036

7
ReturnLag3 +0.1193 0.0651 +1.8310e+00 0.06847 0.03424

5
`ReturnLag4\r -0.1761 0.0655 -2.6870e+00 0.00774 0.00387

` 4
Multiple R 0.255
R-squared 0.06501
p-value 0.004195
Day(t-5)
Return[t] = -0.133015 + 0.0959952ReturnLag1[t] + 0.130112ReturnLag2[t] +

0.0909131ReturnLag3[t] -0.188341ReturnLag4[t] + 0.186109ReturnLag5[t] +
e[t]

=0
(Intercept) -0.133 0.1901 -6.9990e-01 0.4847 0.2424
ReturnLag1 +0.09599 0.0657 +1.4610e+00 0.1454 0.07269
ReturnLag2 +0.1301 0.0647 +2.0080e+00 0.0458 0.0229

8
ReturnLag3 +0.09091 0.0650 +1.3970e+00 0.1638 0.08192

9
ReturnLag4 -0.1883 0.0648 -2.9050e+00 0.004038 0.002019
3
ReturnLag5 +0.1861 0.0657 +2.8320e+00 0.00505 0.002525

2
Multiple R 0.312
R-squared 0.09733
p-value 0.0003245
Nestlé (Malaysia) Berhad (4707.KL)
Day(t-1)
Y~X
coefficients:
(Intercept) 0.032 0.06 0.532 0.595
X -0.318 0.062 -5.122 0
---
95% CI Multiple R-sq. [0.027, 0.2]
Day(t-2)
Return[t] = + 0.0448356 -0.421328ReturnLag1[t] -0.31401ReturnLag2[t]

+ e[t]

=0
(Intercept) +0.04484 0.0572 +7.8340e-01 0.4342 0.2171

3
ReturnLag -0.4213 0.0624 -6.7460e+00 1.218e-10 6.089e-11

1 5
ReturnLag -0.314 0.0624 -5.0310e+00 9.818e-07 4.909e-07

2 1
Multiple R 0.4385
R-squared 0.1923

p-value 2.164e-11
Day (t-3)

-0.13765ReturnLag3[t] + e[t]

=0
(Intercept) +0.04907 0.0571 +8.5910e-01 0.3912 0.1956

1
ReturnLag -0.4631 0.0655 -7.0630e+00 1.956e-11 9.778e-12

1 7
ReturnLag -0.3701 0.0679 -5.4450e+00 1.339e-07 6.695e-08

2 7
ReturnLag -0.1376 0.0654 -2.1030e+00 0.03655 0.01827

3 5
Multiple R 0.4534
R-squared 0.2056

p-value 2.255e-11
Day(t-4)

-0.199767ReturnLag3[t] -0.132678ReturnLag4[t] + e[t]

=0
(Intercept) +0.05628 0.0570 +9.8640e-01 0.325 0.1625

6
ReturnLag -0.4809 0.0659 -7.2950e+00 5.002e-12 2.501e-12

1 2
ReturnLag -0.4207 0.0720 -5.8370e+00 1.828e-08 9.141e-09

2 7
ReturnLag -0.1998 0.0719 -2.7770e+00 0.005943 0.002971

3 3
ReturnLag -0.1327 0.0658 -2.0150e+00 0.04513 0.02257

4 6
Multiple R 0.4685
R-squared 0.2195
p-value 1.769e-11
Day(t-5)

-0.19896ReturnLag3[t] -0.131424ReturnLag4[t] + 0.00611439ReturnLag5[t] +
e[t]

=0
(Intercept) +0.05785 0.0575 +1.0060e+00 0.3155 0.1577
ReturnLag -0.4807 0.0667 -7.1980e+00 9.139e- 4.57e-12

1 8 12
ReturnLag -0.4189 0.0736 -5.6920e+00 3.92e-08 1.96e-08

2 1
ReturnLag -0.199 0.0776 -2.5630e+00 0.01103 0.005516
3 3
ReturnLag -0.1314 0.0736 -1.7840e+00 0.07583 0.03792

4 8
ReturnLag +0.006114 0.0669 +9.1350e-02 0.9273 0.4636

5 3
Multiple R 0.4688
R-squared 0.2198
p-value 8.289e-11
Kuala Lumpur Kepong Berhad (2445.KL)
Day(t-1)
Y~X
coefficients:
(Intercept) 0.011 0.145 0.075 0.941

X -0.267 0.064 -4.143 0
---
95% CI Multiple R-sq. [0.001, 0.212]
Day(t-2)
return[t] = + 0.0189319 -0.0718939returnlag1[t] + 0.0567244returnlag2[t]

+ e[t]

0
(Intercept) +0.01893 0.109 +1.7360e-01 0.8623 0.4312
returnlag1 -0.07189 0.065 -1.1000e+00 0.2725 0.1363

37
returnlag2 +0.05672 0.065 +8.6670e-01 0.387 0.1935

45
Day(t-3)

-0.0080425returnlag3[t] + e[t]

0
(Intercept) +0.01893 0.109 +1.7360e-01 0.8623 0.4312
returnlag1 -0.07189 0.065 -1.1000e+00 0.2725 0.1363

37
returnlag2 +0.05672 0.065 +8.6670e-01 0.387 0.1935

45
returnlag3 -0.008042 0.065 -1.2300e-01 0.9022 0.4511

38
Multiple R 0.09603
R-squared 0.009221
p-value 0.5374

Day(t-4)

-0.00464986returnlag3[t] + 0.0438004returnlag4[t] + e[t]

0
(Intercept) +0.01645 0.1096 +1.5010e-01 0.8808 0.4404
returnlag1 -0.07109 0.06559 -1.0840e+00 0.2796 0.1398
returnlag2 +0.05462 0.06577 +8.3040e-01 0.4071 0.2036
returnlag3 -0.00465 0.06576 -7.0710e-02 0.9437 0.4718
returnlag4 +0.0438 0.0656 +6.6770e-01 0.505 0.2525
Multiple R 0.1053
R-squared 0.0111
p-value 0.6268

Day (t-5)

-0.00807074returnlag3[t] + 0.0477339returnlag4[t] +

=0
(Intercept +0.01754 0.1101 +1.5930e-01 0.8736 0.4368

)
returnlag1 -0.07336 0.0658 -1.1140e+00 0.2664 0.1332

4
returnlag2 +0.05463 0.0659 +8.2820e-01 0.4084 0.2042

5
returnlag3 - 0.0660 -1.2220e-01 0.9028 0.4514

0.008071 4
returnlag4 +0.04773 0.0659 +7.2390e-01 0.4698 0.2349

4
returnlag5 +0.05791 0.0658 +8.7970e-01 0.3799 0.19

3
Multiple R 0.1197
R-squared 0.01432

p-value 0.6479
MISC (3816.KL)
Day(t-1)
Y~X
coefficients:
(Intercept) 0.119 0.123 0.962 0.337
X -0.108 0.065 -1.661 0.098
---
Day(t-2)

e[t]

=0
(Intercept +0.1398 0.1223 +1.1430e+00 0.2542 0.1271

)
returnlag1 -0.1275 0.06497 -1.9620e+00 0.05097 0.02548
returnlag2 -0.1753 0.06497 -2.6990e+00 0.007482 0.003741
Multiple R 0.2051
R-squared 0.04208
p-value 0.007128
Day(t-3)
return[t] = + 0.147016 -0.148459returnlag1[t] -0.18949returnlag2[t]


=0
(Intercept +0.147 0.1222 +1.2030e+00 0.2302 0.1151

)
returnlag1 -0.1485 0.06559 -2.2640e+00 0.02454 0.01227
returnlag2 -0.1895 0.06512 -2.9100e+00 0.003972 0.001986
returnlag3 -0.1201 0.06559 -1.8310e+00 0.06837 0.03418
Multiple R 0.2364
R-squared 0.05587
p-value 0.004351
Day (t-4)

-0.132825returnlag3[t] -0.0854889returnlag4[t] + e[t]

=0
(Intercept +0.1566 0.1229 +1.2750e+00 0.2038 0.1019

)
returnlag1 -0.1608 0.0662 -2.4260e+00 0.01604 0.008018

8
returnlag2 -0.206 0.0663 -3.1050e+00 0.002143 0.001072

5
returnlag3 -0.1328 0.0663 -2.0020e+00 0.04648 0.02324

4
returnlag4 -0.08549 0.0662 -1.2910e+00 0.1981 0.09905

3
Multiple R 0.2515
R-squared 0.06327
p-value 0.005055

Day(t-5)

-0.12254returnlag3[t] -0.0765913returnlag4[t] +

=0
(Intercept +0.1348 0.123 +1.0960e+00 0.2745 0.1372

)
returnlag1 -0.1591 0.0662 -2.4010e+00 0.01717 0.008583

8
returnlag2 -0.2081 0.0668 -3.1110e+00 0.002106 0.001053

7
returnlag3 -0.1225 0.0674 -1.8160e+00 0.07072 0.03536

8
returnlag4 -0.07659 0.0668 -1.1470e+00 0.2528 0.1264
returnlag5 +0.05843 0.0662 +8.8260e-01 0.3784 0.1892

Multiple R 0.2664
R-squared 0.07096
p-value 0.00533
Genting Malaysia Berhad (4715.K)
Day(t-1)
Y~X
coefficients:
(Intercept) 0.084 0.185 0.453 0.651
X -0.129 0.065 -1.975 0.049
---

Day(t-2)
return[t] = + 0.075577 -0.111547returnlag1[t] + 0.134477returnlag2[t] +

e[t]

=0
(Intercept +0.07558 0.1845 +4.0970e-01 0.6824 0.3412

)
returnlag1 -0.1115 0.0653 -1.7070e+00 0.08911 0.04456

4
returnlag2 +0.1345 0.0653 +2.0580e+00 0.04073 0.02037

5
Multiple R 0.1854
R-squared 0.03437
p-value 0.01791

Day(t-3)


=0
(Intercept) +0.0796 0.1822 +4.3680e-01 0.6626 0.3313
returnlag1 -0.1361 0.0649 -2.0940e+00 0.03736 0.01868

7
returnlag2 +0.1522 0.0648 +2.3490e+00 0.01967 0.009833
returnlag3 +0.1746 0.0649 +2.6870e+00 0.007741 0.00387

8
Multiple R 0.2531
R-squared 0.06404
F-TEST (value) 5.2
p-value 0.001714

Day (t-4)

0.159376returnlag3[t] -0.108301returnlag4[t] + e[t]

=0
(Intercept +0.1015 0.1817 +5.5860e-01 0.577 0.2885

)
returnlag1 -0.1244 0.0658 -1.8890e+00 0.06015 0.03007

6
returnlag2 +0.167 0.0652 +2.5590e+00 0.01114 0.005572

4
returnlag3 +0.1594 0.0652 +2.4440e+00 0.0153 0.00765

2
returnlag4 -0.1083 0.0656 -1.6490e+00 0.1005 0.05024

6
Multiple R 0.2771
R-squared 0.07676
p-value 0.001165

Day(t-5)

0.139615returnlag3[t] -0.0950061returnlag4[t] + 0.115513returnlag5[t] +
e[t]

0
(Intercept) +0.09765 0.1817 +5.3730e-01 0.5916 0.2958
returnlag1 -0.1132 0.06636 -1.7060e+00 0.08937 0.04468
returnlag2 +0.1467 0.06623 +2.2160e+00 0.02773 0.01387
returnlag3 +0.1396 0.06601 +2.1150e+00 0.03554 0.01777
returnlag4 -0.09501 0.06593 -1.4410e+00 0.151 0.07549
returnlag5 +0.1155 0.06594 +1.7520e+00 0.08118 0.04059
Multiple R 0.2985
R-squared 0.08913

p-value 0.0007924

Petronas Dagangan Bhd (5681.KL)
Day(t-1)
Y~X
coefficients:
(Intercept) 0.08 0.156 0.513 0.608
X -0.187 0.064 -2.898 0.004
---
95% CI Multiple R-sq. [0.004, 0.116]
Day (t-2)

e[t]

=0
(Intercept +0.08298 0.1572 +5.2800e-01 0.598 0.299

)
returnlag1 -0.186 0.0659 -2.8200e+00 0.005219 0.002609

4
returnlag2 +0.001533 0.0659 +2.3260e-02 0.9815 0.4907
1
Multiple R 0.1863
R-squared 0.0347
p-value 0.01723
Day(t-3)


=0
(Intercept +0.09628 0.1574 +6.1170e-01 0.5413 0.2707

)
returnlag1 -0.1864 0.06587 -2.8290e+00 0.005082 0.002541

returnlag2 -0.01671 0.06699 -2.4950e-01 0.8032 0.4016
returnlag3 -0.1019 0.06582 -1.5490e+00 0.1228 0.06142
Multiple R 0.2121
R-squared 0.04501
p-value 0.01461
Day(t-4)


=0
(Intercept +0.1003 0.1585 +6.3280e-01 0.5275 0.2638

)
returnlag1 -0.1893 0.0665 -2.8470e+00 0.004819 0.002409

1
returnlag2 -0.01741 0.0672 -2.5870e-01 0.7961 0.3981

8
returnlag3 -0.1067 0.0672 -1.5860e+00 0.1141 0.05706

6
returnlag4 -0.02679 0.0664 -4.0330e-01 0.6871 0.3436

3
Multiple R 0.2138
R-squared 0.04572
p-value 0.03115
Day(t-5)

-0.10453returnlag3[t] -0.0150507returnlag4[t] + 0.0675153returnlag5[t] +
e[t]

=0
(Intercept +0.08793 0.1592 +5.5230e-01 0.5813 0.2907

)
returnlag1 -0.1872 0.0666 -2.8100e+00 0.005386 0.002693

3
returnlag2 - 0.0677 -1.3340e-01 0.894 0.447

0.009043 9
returnlag3 -0.1045 0.0673 -1.5510e+00 0.1223 0.06115

9
returnlag4 -0.01505 0.0677 -2.2220e-01 0.8244 0.4122

4
returnlag5 +0.06752 0.0666 +1.0140e+00 0.3118 0.1559
Multiple R 0.2233
R-squared 0.04987
p-value 0.04173

IHH Healthcare Berhad (5225.KL)
Day(t-1)
Y~X
coefficients:
(Intercept) 0.029 0.127 0.229 0.819
X -0.051 0.067 -0.765 0.445
---
Adjusted R-sq. -0.002
Day(t-2)

e[t]

H0: value value
parameter =
0
(Intercept +0.02997 0.1256 +2.3860e-01 0.8116 0.4058

)
returnlag1 -0.07986 0.0672 -1.1880e+00 0.236 0.118

returnlag2 -0.2239 0.0656 -3.4080e+00 0.0007793 0.0003897
9
Day(t-3)


H0: value value
parameter =
0
(Intercept +0.02997 0.1256 +2.3860e-01 0.8116 0.4058

)
returnlag1 -0.07986 0.0672 -1.1880e+00 0.236 0.118
returnlag2 -0.2239 0.0656 -3.4080e+00 0.0007793 0.0003897

9
returnlag3 -0.07131 0.0671 -1.0620e+00 0.2895 0.1448

6
Multiple R 0.236
R-squared 0.05571
p-value 0.005485

Day(t-4)


=0
(Intercept) +0.02102 0.1257 +1.6730e-01 0.8673 0.4336
returnlag1 -0.08828 0.0672 -1.3120e+00 0.1909 0.09545

8
returnlag2 -0.2419 0.0672 -3.5950e+00 0.0004017 0.0002009

9
returnlag3 -0.08025 0.0672 -1.1930e+00 0.2343 0.1172

9
returnlag4 -0.06699 0.0672 -9.9680e-01 0.32 0.16

1
Multiple R 0.2495
R-squared 0.06227
p-value 0.007044

Day(t-5)

-0.0673092returnlag3[t] -0.0621952returnlag4[t] + 0.052451returnlag5[t] +
e[t]

=0
(Intercept +0.02041 0.1269 +1.6080e-01 0.8724 0.4362

)
returnlag1 -0.08418 0.0681 -1.2350e+00 0.218 0.109

3
returnlag2 -0.2374 0.0680 -3.4910e+00 0.0005831 0.0002916

1
returnlag3 -0.06731 0.0697 -9.6540e-01 0.3354 0.1677

2
returnlag4 -0.0622 0.0680 -9.1360e-01 0.362 0.181

8
returnlag5 +0.05245 0.0679 +7.7230e-01 0.4408 0.2204

2
Multiple R 0.2534
R-squared 0.0642
F-TEST (value) 2.95
p-value 0.01346

Public Bank Berhad (1295.KL)
Day(t-1)
Y~X
coefficients:
(Intercept) 0.061 0.17 0.36 0.719
X 0.051 0.066 0.77 0.442
---
Adjusted R-sq. -0.002
Day(t-2)
return[t] = + 0.0516691 + 0.0433852returnlag1[t] +


=0
(Intercept) +0.05167 0.1698 +3.0420e-01 0.7612 0.3806
returnlag1 +0.04338 0.06528 +6.6460e-01 0.507 0.2535
returnlag2 +0.1413 0.06528 +2.1640e+00 0.03147 0.01574

Multiple R 0.1499
R-squared 0.02246
p-value 0.07336
Day(t-3)
return[t] = + 0.0564589 + 0.0480039returnlag1[t] + 0.142657returnlag2[t]


=0
(Intercept) +0.05646 0.1709 +3.3040e-01 0.7414 0.3707
returnlag1 +0.048 0.0661 +7.2530e-01 0.469 0.2345

9
returnlag2 +0.1427 0.0655 +2.1750e+00 0.03065 0.01533

9
returnlag3 -0.03227 0.0661 -4.8760e-01 0.6263 0.3132
9
Multiple R 0.1532
R-squared 0.02348
p-value 0.1429
Day(t-4)


=0
(Intercept +0.06083 0.1715 +3.5460e-01 0.7232 0.3616

)
returnlag1 +0.04554 0.06633 +6.8660e-01 0.4931 0.2465
returnlag2 +0.1535 0.06636 +2.3140e+00 0.02158 0.01079
returnlag3 -0.0286 0.06637 -4.3090e-01 0.667 0.3335
returnlag4 -0.07632 0.06635 -1.1500e+00 0.2512 0.1256
Multiple R 0.1708
R-squared 0.02917
p-value 0.1515
Day(t-5)

-0.0274665returnlag3[t] -0.0760244returnlag4[t] -0.00561015returnlag5[t] +
e[t]

0
(Intercept +0.07132 0.1724 +4.1370e-01 0.6795 0.3398
)
returnlag1 +0.04502 0.0667 +6.7500e-01 0.5004 0.2502
returnlag2 +0.1523 0.06658 +2.2880e+00 0.02305 0.01153
returnlag3 -0.02747 0.06732 -4.0800e-01 0.6837 0.3418
returnlag4 -0.07602 0.06659 -1.1420e+00 0.2548 0.1274
returnlag5 -0.00561 0.06672 -8.4090e-02 0.9331 0.4665
Multiple R 0.1702
R-squared 0.02898
p-value 0.2496

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GROUP PROJECT

Markets & Institutions

SUBJECT TITLE : GT20503

Num Matrix Number Name Program

1 BG19110202 NURUL SYARMILA ABDULLAH HE22

6 BG19110013 NOOR NYJAH BINTI TONY HE22

DR LEE HOCK ANN

The price stable and reach 30154.53 on 16 December.

Based on the indexes, DJI shown an excellent performance from 2 January to 16

to even higher price on 16 December.

2. Which stock does your analysis show to be riskier. Justify.

Stocks Trading The Latest Average

Volume on Trading Trading

Source: Yahoo Finance and authors’ calculation

when the volume is decreasing.

Table 2: The Average Daily Trading Volume of the Stocks

Stock Average Daily Trading Volume

IOI Corp.Bhd (1961.KL) 3,385,091

SIMEPLT (5285.KL) 3,646,832

Press Metal Bhd (8869.KL) 3,437,137

Nestlé (Malaysia) Berhad (4707.KL) 86,376

MISC (3816.KL) 3,816,864

Genting Malaysia Berhad (4715.K) 16,026,105

Petronas Dagangan Bhd (5681.KL) 398,684

IHH Healthcare Berhad (5225.KL) 3,918,164

Public Bank Berhad (1295.KL) 4,845,565

and demand for this stock.

of these stocks. Which stock has the best performance? Justify.

Table 3: The Sharpe Index of the Stocks

Stock Sharpe Index

IOI Corp.Bhd (1961.KL) 0

SIMEPLT (5285.KL) -0.978283722

Press Metal Bhd (8869.KL) -0.803857496

Nestlé (Malaysia) Berhad (4707.KL) -2.25554998

MISC (3816.KL) -1.111043574

Genting Malaysia Berhad (4715.K) -0.749147651

Petronas Dagangan Bhd (5681.KL) -0.878977082

IHH Healthcare Berhad (5225.KL) -1.147685448

Public Bank Berhad (1295.KL) -0.821446572

still not acceptable by investor as it is not 1.0 (acceptable index).

information available at the time the portfolio investment is made? Explain.

Stock Day(t-1) Day(t-2) Day(t-3) Day(t-4) Day(t-5)

on weak-form market efficiency. Weak-form efficiency, also known as the random-walk

consistently achieve an abnormal return that we can’t predict.

Linear Regression Model

Estimate Std. Error t value Pr(>|t|)

(Intercept) -0.011 0.097 -0.11 0.913

X -0.112 0.065 -1.719 0.087

Multiple R-sq. 0.013

95% CI Multiple R-sq. [0, 0.058]

Adjusted R-sq. 0.008

Multiple Linear Regression - Estimated Regression Equation

Return[t] = -0.0117038 -0.114813ReturnLag1[t] -0.0176248ReturnLag2[t] + e[t]

Multiple Linear Regression - Ordinary Least Squares

Variable Paramete S.D. T-STAT 2-tail p- 1-tail p-

(Intercept) -0.0117 0.09788 -1.1960e-01 0.9049 0.4525

ReturnLag1 -0.1148 0.06607 -1.7380e+00 0.08358 0.04179

ReturnLag2 -0.01762 0.06586 -2.6760e-01 0.7892 0.3946

Multiple Linear Regression - Regression Statistics

Adjusted R-squared 0.004401

F-TEST (value) 1.513

F-TEST (DF numerator) 2

F-TEST (DF denominator) 230