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Examining Stock Returns Correlation to Market: Sampling Frequencies and Realized Variance

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Presentation Transcript

  1. Presentation 4 Mingwei Lei Econ 201

  2. Last Time… • Examined the relationship between corrcoef(stock returns and market returns) vs. market returns • Used different sampling frequencies to try to find the optimum • Linear regression was done in Matlab

  3. This Time…. • Examine the relationship between corrcoef(different stocks’ returns) vs. market returns • Examine the relationship between corrcoef(stock returns and market returns) vs. market realized variance • Uses 11 minute sampling frequency through out • Linear regressions were done in Stata

  4. KO and HPQ Corrvs Market Return (Period- 1 days)

  5. KO and HPQ Corrvs Market Return (Period- 5 days)

  6. KO and HPQ Corrvs Market Return (Period- 20 days)

  7. JPM and MS Corrvs Market Return (Period- 1 days)

  8. JPM and MS Corrvs Market Return (Period- 5 days)

  9. JPM and MS Corrvs Market Return (Period- 20 days)

  10. VZ Correlation vs Market RV (Period- 1 days)

  11. VZ Correlation vs Market RV (Period- 5 days)

  12. VZ Correlation vs Market RV (Period- 20 days)

  13. HPQ Correlation vs Market RV (Period- 1 days)

  14. HPQ Correlation vs Market RV (Period- 5 days)

  15. HPQ Correlation vs Market RV (Period- 20 days)

  16. KO Correlation vs Market RV (Period- 1 days)

  17. KO Correlation vs Market RV (Period- 5 days)

  18. KO Correlation vs Market RV (Period- 20 days)

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