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 Corr vs Market Return (Period- 1 days)

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

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

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

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

9. JPM and MS Corr vs 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)