Indian Institute of Management Rohtak

Statistical Methods I
Project

Course Title: Statistical Methods I

Delivery Date: Wednesday 27 September 2023

Due Date: Sunday 15 October 2023

Faculty: Dr. Conrad Felix Michel Landis

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Assignment Component

The Evaluation weightage allocation for the Project is 20%.

Use Microsoft Office Excel and the sample provided in the “project_data.xlsx” file. Sample

includes the monthly returns of 100 Stocks listed in the National Stock Exchange of India

(Worksheet Named Stocks), from 30/9/2004 to 31/8/2022. The Worksheet Named Index

contains monthly returns for the Market Benchmark for India. Each of the following

questions should be answered in separate Worksheets. Save your answer Excel file (XLSX)

and as per the example below: <IPM Roll No_FirstName_LastName_Course> Ex.

IPM02344_Conrad_Landis_SM.xlsx.

1. Using the numbering in the first row of excel worksheet named “Stocks” and based on

the last 2 digits of your IPM Roll No, use three stocks starting from your number.

(if your Roll. No is for example IPM03183, you will use stocks with an index 83,84 and

85).

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2. Regress each of the 3 stocks to the Market Index and Comment on the statistical

significance and the coefficients of all regressions

3. Test all 3 stocks for a linear and a quadratic trend and explain which model works better

in predicting their returns.

4. Pick a month from January to December and control for seasonality over this month by

using a dummy variable. Comment on the statistical significance and the coefficients

of all regressions.

5. For the Month you selected on Question 4, add An interaction term to control for

seasonality in the slope of the market Index. Comment on the statistical significance

and the coefficients of all regressions.

6. Compare the results of questions 3,4 and 5. Which model works better in predicting the

returns of each of the 3 stocks.

. All the Best