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Analysis Of Nse Using Eviews

2133 words - 9 pages

Case Study: CNX Nifty Midcap Index

Descriptive statistics
A. Closing price

1. Normality Test – non-normal distribution

2. Stationarity test for Log returns – series is stationary

Null Hypothesis: LOG_RETURNS has a unit root | |
Exogenous: Constant | | |
Lag Length: 0 (Automatic based on SIC, MAXLAG=23) |
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| | | | |
| | | t-Statistic |   Prob.* |
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| | | | |
Augmented Dickey-Fuller test statistic | -35.96681 |  0.0000 |
Test critical values: | 1% level | | -3.434655 | |
| 5% level | | -2.863328 | |
| 10% level | | -2.567771 | |
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*MacKinnon (1996) one-sided ...view middle of the document...

t-Stat |   Prob.* |
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Phillips-Perron test statistic | -35.91431 |  0.0000 |
Test critical values: | 1% level | | -3.434655 | |
| 5% level | | -2.863328 | |
| 10% level | | -2.567771 | |
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*MacKinnon (1996) one-sided p-values. | |
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Residual variance (no correction) |  0.000339 |
HAC corrected variance (Bartlett kernel) |  0.000313 |
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Phillips-Perron Test Equation | |
Dependent Variable: D(LOG_RETURNS) | |
Method: Least Squares | | |
Date: 11/03/10 Time: 16:13 | | |
Sample (adjusted): 1/04/2005 11/02/2010 | |
Included observations: 1449 after adjustments |
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| Coefficient | Std. Error | t-Statistic | Prob.   |
| | | | |
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LOG_RETURNS(-1) | -0.944031 | 0.026247 | -35.96681 | 0.0000 |
C | 0.000692 | 0.000484 | 1.429639 | 0.1530 |
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R-squared | 0.472016 |     Mean dependent var | 1.64E-07 |
Adjusted R-squared | 0.471651 |     S.D. dependent var | 0.025333 |
S.E. of regression | 0.018414 |     Akaike info criterion | -5.150009 |
Sum squared resid | 0.490653 |     Schwarz criterion | -5.142723 |
Log likelihood | 3733.181 |     Hannan-Quinn criter. | -5.147290 |
F-statistic | 1293.611 |     Durbin-Watson stat | 1.996888 |
Prob(F-statistic) | 0.000000 | | | |
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3. Correlogram

Log Returns

Date: 11/03/10 Time: 16:16 | | | |
Sample: 1/03/2005 11/02/2010 | | | |
Included observations: 1450 | | | | |
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Autocorrelation | Partial Correlation | | AC  |  PAC |  Q-Stat |  Prob |
| | | | | | |
| | | | | | |
        | | |         | | | 1 | 0.056 | 0.056 | 4.5516 | 0.033 |
        | | |         | | | 2 | -0.024 | -0.027 | 5.3922 | 0.067 |
        | | |         | | | 3 | -0.009 | -0.006 | 5.5032 | 0.138 |
        | | |         | | | 4 | -0.020 | -0.019 | 6.0602 | 0.195 |
        | | |         | | | 5 | -0.024 | -0.022 | 6.8925 | 0.229 |
        | | |         | | | 6 | -0.056 | -0.055 | 11.483 | 0.075 |
        | | |         | | | 7 | 0.033 | 0.038 | 13.104 | 0.070 |
        | | |         | | | 8 | 0.070 | 0.063 | 20.220 | 0.010 |
        | | |         | | | 9 | 0.016 | 0.009 | 20.616 | 0.014 |
        | | |         | | | 10 | 0.008 | 0.008 | 20.713 | 0.023 |
        | | |         | | | 11 | -0.007 | -0.008 | 20.786 | 0.036 |
        | | |         | | | 12 | 0.005 | 0.008 | 20.830 | 0.053 |
        | | |         | | | 13 | 0.037 | 0.044 | 22.826 | 0.044 |
        | | |         | | | 14 | 0.050 | 0.053 | 26.464 | 0.023 |
        | | |         | ...

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