2023-08-11T11:34:00+00:00

Excel - ASIC website, Single Index Model regression

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Excel - ASIC website, Single Index Model regression

Now I am working on a financial report problem. But before finish the report, I want to someone to help me to do an Excel for perfecting my work.
The excel is NOT required by my professor, and She said we can ask someone else to do the excel part because the excel part is not included in this class. I will do the report by myself anyway.
Here is my requirement, I think each step is simple and can be done quickly.

A.
Go to the ASIC website (http://www.asic.gov.au/) and read the `About ASIC` section so you know a little
about what they do. Now go to this part of the ASIC website and read Regulatory Guide 196;
http://asic.gov.au/regulatory-resources/find-a-document/regulatory-guides/rg-196-short-selling/ (if this
link doesn`t work with a click then copy and paste it into your browser).

B
Go to the ASIC website section under http://asic.gov.au/regulatory-resources/markets/short-selling/. Click
on `View table of short position reports`. Within the table titled `Daily aggregate short position per stock`
find and download the daily short sales data (CSV file) for July 6, 2015. Save it as a new spreadsheet
called AsicSortedShortSales. Sort this data so that the stocks that have the highest number of reported
short positions are at the top (see `Reported Short Positions` column) and save your work.

C
Visit http://help.yahoo.com/kb/index?page=content&y=PROD_FIN&locale=en_US&id=SLN2311 and read
about how stock prices (and therefore returns) are adjusted for splits and dividends. The approach here is
used by most data providers.
You will be working with two stocks for the assignment. One is from your AsicSortedShortSales
spreadsheet the other will be BHP.AX or NAB.AX. The data you will work with is based on your
student number.
(i) Take the last digit of your student number and identify the corresponding shorted stock in your
sorted spreadsheet (AsicSortedShortSales). E.g., if your student number ends in eight (e.g.
9917568) you must identify the eighth (8th) most shorted stock (by reported position).
(ii) If the second last digit of your student number is EVEN then you will be working with NAB
AX. Otherwise, if the second last digit of your student number is ODD then you will
need to collect data for BHP.AX. Take care with this as significant marks will be lost if you
fail to acquire the correct data.
You will collect monthly price data for both your stocks from au.finance.yahoo.com. For this
assignment we will be using price data spanning July 2013 to July 2015 (a total of 24 months
of return data). Save this data in an Excel file called `SIM`. If your stock has data beginning after
July 2013 then please use the data that is available up to July 2015. In this case you should
investigate why this might be.
Place the data for your two stocks in different tabs in your SIM spreadsheet and label the tabs by
their stock code. You will need to sort the data by the date column (oldest to newest).
Tip: Here is an example of collecting the data for NAB (NAB.AX). You will need to change the dates and the
stock. The data file can be downloaded from the link at the bottom of the following web
page: https://au.finance.yahoo.com/q/hp?s=NAB.AX&a=00&b=29&c=1988&d=02&e=27&f=2013&g=m
D.

Now determine the monthly return series for both stocks using the adjusted close prices. Keep this
data within the tab. You can delete the Open, High, Low, Close and Volume data as we won`t be
using this in the assignment. What is the mean and standard deviation of the returns for your two
stocks?

E.
Visit yahoo finance again and download the monthly price data for the S&P/ASX-200 Index (^AXJO).
Place this data in a separate tab on your spreadsheet and calculate the monthly returns.

F.
Now go to the RBA`s website (rba.gov.au) and download the monthly yields for bank-accepted-bills.
Visit http://www.rba.gov.au/statistics/tables/index.html#interest_rates and choose `Interest Rates
and Yields - Money Market - Monthly F1 [XLS]`
Ideally we would use this one-month Treasury Note data (FIRMMTN1) but there are gaps in this
data. So we will use the 30 day bank-accepted bill as a proxy (FIRMMBAB30). Note that these rates
are quotes as per annum rates.

G.
What are the differences between a bank-accepted-bill (BAB) and an Aust. Gov. Treasury note?
Which would you expect to have the higher yield and why? What happens to these yields in a
banking crisis? Can you find evidence on the RBA website to support your view?

H.
Conduct a Single Index Model regression for your two stocks return using the 30-day BAB as the riskfree
rate. Use the S&P/ASX-200 Index as the market index. You should take care to make sure the
data is correctly aligned. The Bank Bill yields are expressed as a percentage per annum. These will
need to be converted into a monthly rate (divide by 1200).2
Include the regression results in each tab
along with a graph of the SCL. You can get Excel to output the graph in the regression stage.


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