Presentation 4 Mingwei Lei Econ 201.

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Presentation 4 Mingwei Lei Econ 201

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

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

KO and HPQ Corr vs Market Return (Period- 1 days)

KO and HPQ Corr vs Market Return (Period- 5 days)

KO and HPQ Corr vs Market Return (Period- 20 days)

JPM and MS Corr vs Market Return (Period- 1 days)

JPM and MS Corr vs Market Return (Period- 5 days)

JPM and MS Corr vs Market Return (Period- 20 days)

VZ Correlation vs Market RV (Period- 1 days)

VZ Correlation vs Market RV (Period- 5 days)

VZ Correlation vs Market RV (Period- 20 days)

HPQ Correlation vs Market RV (Period- 1 days)

HPQ Correlation vs Market RV (Period- 5 days)

HPQ Correlation vs Market RV (Period- 20 days)

KO Correlation vs Market RV (Period- 1 days)

KO Correlation vs Market RV (Period- 5 days)

KO Correlation vs Market RV (Period- 20 days)