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    Pragnesh Anaghan
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    This document contains statistical analysis of the SENSEX and FII stock market indices in India from 2002 to 2003. It includes descriptive statistics for each index, correlation analysis showing a moderate positive correlation, and Granger causality tests showing no evidence that changes in one index Granger cause changes in the other over lags of 1 to 4 months.

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    This document contains statistical analysis of the SENSEX and FII stock market indices in India from 2002 to 2003. It includes descriptive statistics for each index, correlation analysis showing a moderate positive correlation, and Granger causality tests showing no evidence that changes in one index Granger cause changes in the other over lags of 1 to 4 months.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as DOCX, PDF, TXT or read online from Scribd
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    27 views3 pages

    Phase 1 Raw

    Uploaded by

    Pragnesh Anaghan
    This document contains statistical analysis of the SENSEX and FII stock market indices in India from 2002 to 2003. It includes descriptive statistics for each index, correlation analysis showing a moderate positive correlation, and Granger causality tests showing no evidence that changes in one index Granger cause changes in the other over lags of 1 to 4 months.

    Copyright:

    Attribution Non-Commercial (BY-NC)
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    of 3

    10

    Series: FII
    Sample 2002M01 2003M05
    Observations 17

    Series: SENSEX
    Sample 2002M01 2003M05
    Observations 17

    Mean
    Median
    Maximum
    Minimum
    Std. Dev.
    Skewness
    Kurtosis

    3205.308
    3228.820
    3562.310
    2949.320
    179.7286
    0.189930
    2.250949

    Mean
    Median
    Maximum
    Minimum
    Std. Dev.
    Skewness
    Kurtosis

    Jarque-Bera 4.020475
    Probability 0.133957

    Jarque-Bera 0.499637
    Probability 0.778942
    0
    -1000 -500

    0
    2900 3000 3100 3200 3300 3400 3500 3600

    418.1724
    368.2000
    2005.460
    -599.6000
    594.9341
    0.963198
    4.401771

    500

    1000 1500 2000 2500

    Hodrick-Prescott Filter (lambda=14400)


    3,600

    Hodrick-Prescott Filter (lambda=14400)


    2,500

    3,400

    2,000
    1,500

    300

    3,200

    200
    3,000
    100
    0

    2,800

    1,000
    2,000

    500

    1,500

    1,000

    -500

    500

    -1,000

    -100

    -500

    -200

    -1,000

    -300
    2002Q1

    2002Q2

    2002Q3

    SENSEX

    2002Q4
    Trend

    2003Q1
    Cycle

    2003Q2

    -1,500
    2002Q1

    2002Q2

    2002Q3
    FII

    Trend

    2002Q4

    2003Q1

    Cycle

    2003Q2

    CORRELATION
    SENSEX
    SENSEX
    FII

    1
    0.47997043610
    38524

    FII
    0.47997043610
    38524
    1

    DESCRIPTIVE STAT

    Mean
    Median
    Maximum
    Minimum
    Std. Dev.
    Skewness
    Kurtosis

    SENSEX
    3205.308
    3228.820
    3562.310
    2949.320
    179.7286
    0.189930
    2.250949

    FII
    418.1724
    368.2000
    2005.460
    -599.6000
    594.9341
    0.963198
    4.401771

    Jarque-Bera
    Probability

    0.499637
    0.778942

    4.020475
    0.133957

    Sum
    Sum Sq. Dev.

    54490.24
    516837.8

    7108.930
    5663145.

    Observations

    17

    17

    Pairwise Granger Causality Tests


    Date: 02/29/12 Time: 16:20
    Sample: 2002M01 2003M05
    Lags: 1
    Null Hypothesis:
    FII does not Granger Cause SENSEX
    SENSEX does not Granger Cause FII

    Pairwise Granger Causality Tests


    Date: 02/29/12 Time: 16:21

    Obs

    F-Statistic

    Prob.

    16

    0.69658
    0.00159

    0.4190
    0.9688

    Sample: 2002M01 2003M06


    Lags: 2
    Null Hypothesis:
    FII does not Granger Cause SENSEX
    SENSEX does not Granger Cause FII

    Obs

    F-Statistic

    Prob.

    15

    0.01244
    0.03015

    0.9876
    0.9704

    Obs

    F-Statistic

    Prob.

    14

    0.14335
    0.26115

    0.9307
    0.8513

    Obs

    F-Statistic

    Prob.

    13

    0.11054
    3.03157

    0.9722
    0.1541

    Pairwise Granger Causality Tests


    Date: 02/29/12 Time: 16:22
    Sample: 2002M01 2003M06
    Lags: 3
    Null Hypothesis:
    FII does not Granger Cause SENSEX
    SENSEX does not Granger Cause FII

    Pairwise Granger Causality Tests


    Date: 02/29/12 Time: 16:22
    Sample: 2002M01 2003M06
    Lags: 4
    Null Hypothesis:
    FII does not Granger Cause SENSEX
    SENSEX does not Granger Cause FII

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