ECOS 1101 Quantitiave Methods Undergraduate Programmes 2011/12

FORMATIVE ASSIGNMENT

Obtain 30 monthly observations (monthly closing prices) for 3 stocks from the FTSE 100 file. Calculate the logarithmic returns for each stock and answer all of the following questions: 1) Calculate and present the descriptive statistics on the logarithmic returns of each stock and comment on the distribution of the returns. (50 marks) 2) Discuss by comparing the three stocks you have chosen. a. Which one stock out of the three would you purchase and why? (20 marks) b. Construct a portfolio consisting of 2 out of the 3 stocks. Which 2 stocks would you include in your portfolio and why? (30 marks) General guidance: 1. On DUO under assignments you will find the excel file named Data for Second Formative 2011-2012 (xlsx). 2. Select 3 different stocks (you need to name the chosen stocks and report the start and end date of your sample). All your 3 stocks should have observations within the same time period. 3. You need to show how you construct the logarithmic returns. 4. All your answers should be made using returns rather than prices. 5. Any formula you use to compute the statistics should be fully specified. 6. You should obtain your results using Excel and present your results in the format of the table provided on the next page. 7. The assignment should be typed. The most important element of the assignment is the interpretation of the results, so focus on discussing your results.

Overall word limit: 1500 words maximum.

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School of Economics, Finance and Business

ECOS 1101 Quntitative Methods Undergraduate Programmes 2011/12

Statistic

Descriptive Statistics Name: Name: [Stock] [Stock]

Name: [Stock]

Time Period: (Start /End)

Standard Error Median Mode Standard deviation Sample variance Kurtosis Skewness Range Minimum Maximum Sum Count

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School of Economics, Finance and Business

Mean

ECOS 1101 Quntitative Methods Undergraduate Programmes 2011/12

YOUR COMPLETED ASSIGNMENT MUST BE SUBMITTED TO THE UNDERGRADUATE OFFICE NO LATER THAN 15:00 on Tuesday the 13th of March.

MARKING GUIDELINES Performance in the summative assessment for this module is judged against the following criteria: Knowledge and understanding of relevant concepts and issues Structure and clarity of argument and presentation Quality of analysis and interpretation Extend of critical evaluation Ability to synthesise relevant material from a range of sources, including evidence of wider reading.

PLAGIARISM AND COLLUSION Students suspected of plagiarism, either of published work or the work of other students, or of collusion will be dealt with according to School and University guidelines.

END OF ASSESSMENT

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School of Economics, Finance and Business

Assignments must be typed or word-processed on A4 paper using 1.5 or double spacing and with margins of 2-3 cm. Pages should be numbered and stapled together in the top left hand corner. The word count should include all the text (plus endnotes and footnotes), but exclude diagrams, tables, bibliography, references and appendices. Guidance on referencing can be found in your year handbook.