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    Muhammad Abdullah 30352

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    maryam
    The document contains daily stock price data for Nishat Chunian Limited from November 1st to November 30th. It also includes a regression analysis of the stock's returns against the market. The regression finds a statistically significant relationship between the stock and market returns, with the stock's returns explained 51% by market movements. The expected return and risk of the stock and market are also reported.

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    Muhammad Abdullah 30352

    Uploaded by

    maryam
    9 views11 pages
    The document contains daily stock price data for Nishat Chunian Limited from November 1st to November 30th. It also includes a regression analysis of the stock's returns against the market. The regression finds a statistically significant relationship between the stock and market returns, with the stock's returns explained 51% by market movements. The expected return and risk of the stock and market are also reported.

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    The document contains daily stock price data for Nishat Chunian Limited from November 1st to November 30th. It also includes a regression analysis of the stock's returns against the market. The regression finds a statistically significant relationship between the stock and market returns, with the stock's returns explained 51% by market movements. The expected return and risk of the stock and market are also reported.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    9 views11 pages

    Muhammad Abdullah 30352

    Uploaded by

    maryam
    The document contains daily stock price data for Nishat Chunian Limited from November 1st to November 30th. It also includes a regression analysis of the stock's returns against the market. The regression finds a statistically significant relationship between the stock and market returns, with the stock's returns explained 51% by market movements. The expected return and risk of the stock and market are also reported.

    Copyright:

    © All Rights Reserved
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    of 11

    NISHAT CHUNIAN LIMITED

    Time Price
    1-Nov-21 47.55
    2-Nov-21 46.51
    3-Nov-21 47.7
    4-Nov-21 47.78
    5-Nov-21 47.59
    8-Nov-21 46.68
    9-Nov-21 45.05
    10-Nov-21 44.75
    11-Nov-21 44.27
    12-Nov-21 43.16
    15-Nov-21 43.14
    16-Nov-21 44.31
    17-Nov-21 43.46
    18-Nov-21 43
    19-Nov-21 44.18
    22-Nov-21 43.4
    23-Nov-21 43.01
    24-Nov-21 42.88
    25-Nov-21 43.08
    26-Nov-21 42.82
    29-Nov-21 44.28
    30-Nov-21 43.6

    Expeted Return and risk of stock in %


    ER -8.34546625154
    variance 3.34439015022
    SD 1.82876738549
    SUMMARY OUTPUT

    Regression Statistics
    Multiple R 0.71209993531
    R Square 0.50708631787
    Adjusted R Square 0.48114349249
    Standard Error 1.34982277457
    Observations 21

    ANOVA
    df
    Regression 1
    Residual 19
    Total 20

    Coefficients
    Intercept 1.36485293684
    X Variable 1 1.19322967366
    Return (Rj) Excess Return on stock (Rj-Rf) in % Y-Mean

    -1.04 -2.18717139853 -10.1371713985279 -1.79170509853


    1.19 2.55858955063 -5.39141044936572 2.95405585063
    0.08 0.1677148847 -7.78228511530399 0.5631811847
    -0.19 -0.39765592298 -8.34765592298032 -0.00218962298
    -0.91 -1.91216642152 -9.86216642151713 -1.51670012152
    -1.63 -3.49185946872 -11.4418594687232 -3.09639316872
    -0.3 -0.66592674806 -8.61592674805771 -0.27046044806
    -0.48 -1.07262569832 -9.02262569832402 -0.67715939832
    -1.11 -2.50734131466 -10.4573413146601 -2.11187501466
    -0.02 -0.04633920297 -7.9963392029657 0.34912709703
    1.17 2.71210013908 -5.23789986091794 3.10756643908
    -0.85 -1.91830286617 -9.86830286617017 -1.52283656617
    -0.46 -1.05844454671 -9.00844454670962 -0.66297824671
    1.18 2.74418604651 -5.20581395348837 3.13965234651
    -0.78 -1.76550475328 -9.71550475328203 -1.37003845328
    -0.39 -0.89861751152 -8.84861751152074 -0.50315121152
    -0.13 -0.30225528947 -8.25225528946756 0.09321101053
    0.2 0.46641791045 -7.48358208955225 0.86188421045
    -0.26 -0.60352831941 -8.55352831940575 -0.20806201941
    1.46 3.40962167212 -4.54037832788417 3.80508797212
    -0.68 -1.53568202349 -9.4856820234869 -1.14021572349

    Sum -175.254791282311
    SS MS F Significance F
    35.61378422257 35.6137842226 19.5463027072671 0.00029329151
    34.618408932 1.82202152274
    70.23219315458

    Standard Error t Stat P-value Lower 95%


    2.216011826923 0.61590507788 0.545265615173483 -3.27331311167
    0.269893070927 4.42112007384 0.00029329151308 0.62833698532
    KSE-100

    (Y-Mean)2 Time Price


    1-Nov-21 46,946.21
    3.21020716009 2-Nov-21 47,112.92 166.71
    8.72644596867 3-Nov-21 47,032.44 -80.48
    0.3171730468 4-Nov-21 47,219.18 186.74
    4.7944488E-06 5-Nov-21 47,295.80 76.62
    2.30037925861 8-Nov-21 47,115.04 -180.76
    9.58765065532 9-Nov-21 46,399.91 -715.13
    0.07314885396 10-Nov-21 46,629.88 229.97
    0.45854485074 11-Nov-21 46,348.18 -281.70
    4.46001607755 12-Nov-21 45,749.15 -599.03
    0.12188972988 15-Nov-21 45,736.26 -12.89
    9.65696917331 16-Nov-21 46,542.91 806.65
    2.31903120726 17-Nov-21 46,194.42 -348.49
    0.43954015561 18-Nov-21 46,110.50 -83.92
    9.85741685696 19-Nov-21 46,489.41 378.91
    1.87700536347 22-Nov-21 45,745.00 -744.41
    0.25316114165 23-Nov-21 44,948.52 -796.48
    0.00868829248 24-Nov-21 44,363.70 -584.82
    0.74284439222 25-Nov-21 43,935.75 -427.95
    0.04328980392 26-Nov-21 44,114.16 178.41
    14.4786944755 29-Nov-21 45,330.05 1,215.89
    1.30009189609 30-Nov-21 45,072.38 -257.67

    70.2321931546

    beta 1.19322967366
    alpha 1.36485293684
    Upper 95% Lower 95.0% Upper 95.0%
    6.00301898535 -3.27331311167 6.00301898535
    1.758122362 0.62833698532 1.758122362
    Return (Rj) in % Excess Return on market (Rm-Rf) % x

    0.355108538048117 -7.59489146195188
    -0.170823629696474 -8.12082362969647
    0.397045103337182 -7.55295489666282
    0.162264571303446 -7.78773542869655
    -0.382190384769899 -8.3321903847699
    -1.5178380406766 -9.4678380406766
    0.495625961343446 -7.45437403865655
    -0.604119075579858 -8.55411907557986
    -1.29245635966719 -9.24245635966719
    -0.02817538686511 -7.97817538686511
    1.76369908689517 -6.18630091310483
    -0.748749917012076 -8.69874991701208
    -0.181666963239279 -8.13166696323928
    0.821743420695944 -7.12825657930406
    -1.60124639138248 -9.55124639138248
    -1.74113017816155 -9.69113017816155
    -1.30108844518129 -9.25108844518129
    -0.964640009737684 -8.91464000973769
    0.406070227548189 -7.54392977245181
    2.75623518616245 -5.19376481383755
    -0.568430875324438 -8.51843087532444

    Sum -170.89476356196

    Expected Return and Risk of market in %


    ER -8.13784588390286
    variance 1.19110689398494
    SD 1.09137843756643
    X-Mean (X-Mean)2

    0.54295442204812 0.2947995044216
    0.01702225430353 0.0002897571416
    0.58489098733718 0.3420974670683
    0.35011045530345 0.1225773309128
    -0.1943445007699 0.0377697849795
    -1.3299921566766 1.7688791368213
    0.68347184534345 0.4671337633772
    -0.41627319157986 0.1732833700281
    -1.10461047566719 1.2201643029537
    0.15967049713489 0.0254946676553
    1.95154497089517 3.8085277734262
    -0.56090403301208 0.3146133342492
    0.00617892076072 3.8179061767E-05
    1.00958930469595 1.0192705641565
    -1.41340050738248 1.997700994269
    -1.55328429416155 2.412692098489
    -1.11324256118129 1.2393090000255
    -0.77679412573768 0.6034091137806
    0.59391611154819 0.3527363475565
    2.94408107016245 8.6676133476889
    -0.38058499132444 0.1448449356214

    25.013244773684

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