Identify date and mean abnormal return (derived from the market model) for all d
ID: 3201593 • Letter: I
Question
Identify date and mean abnormal return (derived from the market model) for all dates where there is evidence to reject the null hypothesis that the mean abnormal return equals zero. State the level of statistical significance, 10% level, 5% level, or 1% level.
Note that you will report the strongest statement you can correctly make about statistical significance. For example, if the p-value is .03, then report "statistically significant at the 5% level.
For all of your tests for statistical significance, use (t-test). Please explain results.
Explanation / Answer
[Note: No data is given, thus for illustration a real data of NSE daily price has been downloaded and used]
Here, p-value>.05; thus, we cant reject H0; and conclude that mean is not significantly greater than 8399. The computed mean (8399.105) is just due to chance.
Date Open High Low Close 1/23/2017 8329.6 8404.15 8327.2 8391.5 1/20/2017 8404.35 8423.65 8340.95 8349.35 1/19/2017 8418.4 8445.15 8404.05 8435.1 1/18/2017 8403.85 8460.3 8397.4 8417 1/17/2017 8415.05 8440.9 8378.3 8398 1/16/2017 8390.95 8426.7 8374.4 8412.8 1/13/2017 8457.65 8461.05 8373.15 8400.35 1/12/2017 8391.05 8417.2 8382.3 8407.2 1/11/2017 8327.8 8389 8322.25 8380.65 Mean 8399.105 STD DEV 24.35596 STD ERROR 8.118652 H0: mean<=8399 Ha: mean>8399 T-stat= 0.012933 P-value= 0.494999