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Calculation Example

The document contains time series data on stock market indexes and exchange rates from January 2013 to December 2017. It includes the monthly closing prices and returns for the FBMKLCI index in Malaysia and the JASA and JMR exchange rates. It also calculates summary statistics such as the mean, variance, standard deviation of the returns for each series over the period.

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Che Ta
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78 views4 pages

Calculation Example

The document contains time series data on stock market indexes and exchange rates from January 2013 to December 2017. It includes the monthly closing prices and returns for the FBMKLCI index in Malaysia and the JASA and JMR exchange rates. It also calculates summary statistics such as the mean, variance, standard deviation of the returns for each series over the period.

Uploaded by

Che Ta
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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FBMKLCI (Market Benchmark) JASA

Date Price Return (Ri-ER) (Ri-ER)^2 Date Price Return


Jan-13 1,627.55 #VALUE! Jan-13 0.121608 #VALUE!
Feb-13 1,637.63 0.006193 0.004301 0.000018 Feb-13 0.121608 0
Mar-13 1,671.63 0.020762 0.018869 0.000356 Mar-13 0.121608 0
Apr-13 1,717.65 0.02753 0.025638 0.000657 Apr-13 0.134637 0.107139
May-13 1,769.22 0.030024 0.028131 0.000791 May-13 0.130294 -0.03226
Jun-13 1,773.54 0.002442 0.000549 0.000000 Jun-13 0.130294 0
Jul-13 1,772.62 -0.00052 ### 0.000006 Jul-13 0.130294 0
Aug-13 1,727.58 -0.02541 ### 0.000745 Aug-13 0.130294 0
Sep-13 1,768.62 0.023756 0.021863 0.000478 Sep-13 0.138717 0.064646
Oct-13 1,806.85 0.021616 0.019723 0.000389 Oct-13 0.134243 -0.03225
Nov-13 1,812.72 0.003249 0.001356 0.000002 Nov-13 0.129768 -0.03334
Dec-13 1,866.96 0.029922 0.028030 0.000786 Dec-13 0.143192 0.103446
Jan-14 1,804.03 -0.03371 ### 0.001267 Jan-14 0.174515 0.218748
Feb-14 1,835.66 0.017533 0.015641 0.000245 Feb-14 0.170041 -0.02564
Mar-14 1,849.21 0.007382 0.005489 0.000030 Mar-14 0.156616 -0.07895
Apr-14 1,871.52 0.012065 0.010172 0.000103 Apr-14 0.156616 0
May-14 1,873.38 0.000994 ### 0.000001 May-14 0.152142 -0.02857
Jun-14 1,882.71 0.00498 0.003088 0.000010 Jun-14 0.165566 0.088233
Jul-14 1,871.36 -0.00603 ### 0.000063 Jul-14 0.210313 0.270267
Aug-14 1,866.11 -0.00281 ### 0.000022 Aug-14 0.192414 -0.08511
Sep-14 1,846.31 -0.01061 ### 0.000156 Sep-14 0.176874 -0.08076
Oct-14 1,855.15 0.004788 0.002896 0.000008 Oct-14 0.172338 -0.02565
Nov-14 1,820.89 -0.01847 ### 0.000415 Nov-14 0.145127 -0.15789
Dec-14 1,761.25 -0.03275 ### 0.001200 Dec-14 0.154198 0.062504
Jan-15 1,781.26 0.011361 0.009469 0.000090 Jan-15 0.149662 -0.02942
Feb-15 1,821.21 0.022428 0.020536 0.000422 Feb-15 0.154198 0.030308
Mar-15 1,830.78 0.005255 0.003362 0.000011 Mar-15 0.158733 0.02941
Apr-15 1,818.27 -0.00683 ### 0.000076 Apr-15 0.149662 -0.05715
May-15 1,747.52 -0.03891 ### 0.001665 May-15 0.154198 0.030308
Jun-15 1,706.64 -0.02339 ### 0.000639 Jun-15 0.154198 0
Jul-15 1,723.14 0.009668 0.007776 0.000060 Jul-15 0.131521 -0.14706
Aug-15 1,612.74 -0.06407 ### 0.004351 Aug-15 0.131521 0
Sep-15 1,621.04 0.005147 0.003254 0.000011 Sep-15 0.143461 0.090784
Oct-15 1,665.71 0.027556 0.025664 0.000659 Oct-15 0.138833 -0.03226
Nov-15 1,672.16 0.003872 0.001980 0.000004 Nov-15 0.138833 0
Dec-15 1,692.51 0.01217 0.010278 0.000106 Dec-15 0.134206 -0.03333
Jan-16 1,667.80 -0.0146 ### 0.000272 Jan-16 0.134206 0
Feb-16 1,654.75 -0.00782 ### 0.000094 Feb-16 0.129578 -0.03448
Mar-16 1,717.58 0.037969 0.036077 0.001302 Mar-16 0.134206 0.035716
Apr-16 1,672.72 -0.02612 ### 0.000785 Apr-16 0.138833 0.034477
May-16 1,626.00 -0.02793 ### 0.000889 May-16 0.138833 0
Jun-16 1,654.08 0.017269 0.015377 0.000236 Jun-16 0.138833 0
Jul-16 1,653.26 -0.0005 ### 0.000006 Jul-16 0.138833 0
Aug-16 1,678.06 0.015001 0.013108 0.000172 Aug-16 0.138833 0
Sep-16 1,652.55 -0.0152 ### 0.000292 Sep-16 0.146389 0.054425
Oct-16 1,672.46 0.012048 0.010156 0.000103 Oct-16 0.146389 0
Nov-16 1,619.12 -0.03189 ### 0.001141 Nov-16 0.141667 -0.03226
Dec-16 1,641.73 0.013964 0.012072 0.000146 Dec-16 0.146389 0.033332
Jan-17 1,671.54 0.018158 0.016265 0.000265 Jan-17 0.151111 0.032257
Feb-17 1,693.77 0.013299 0.011407 0.000130 Feb-17 0.155833 0.031249
Mar-17 1,740.09 0.027347 0.025455 0.000648 Mar-17 0.155 -0.00535
Apr-17 1,768.06 0.016074 0.014182 0.000201 Apr-17 0.15 -0.03226
May-17 1,765.87 -0.00124 ### 0.000010 May-17 0.145 -0.03333
Jun-17 1,763.67 -0.00125 ### 0.000010 Jun-17 0.145 0
Jul-17 1,760.03 -0.00206 ### 0.000016 Jul-17 0.14 -0.03448
Aug-17 1,773.16 0.00746 0.005568 0.000031 Aug-17 0.145 0.035714
Sep-17 1,755.58 -0.00991 ### 0.000139 Sep-17 0.155 0.068966
Oct-17 1,747.92 -0.00436 ### 0.000039 Oct-17 0.145 -0.06452
Nov-17 1,717.86 -0.0172 ### 0.000364 Nov-17 0.14 -0.03448
Dec-17 1,796.81 0.045958 0.044066 0.001942 Dec-17 0.14 0
Sum 0.111646 0.025076 Sum 0.271147
Mean 0.001892 Variance 0.000432 Mean 0.004596
Std Dev 0.020793
CHECK! Mean 0.001892 Std Dev ### CHECK! Mean 0.004596

Correlation JASA,JMR 0.15

Covariance FBMKLCI, JASA -4.624015E-05

Beta JASA -0.11


JMR
(Ri-ER) (Ri-ER)^2 Date Price Return (Ri-ER) (Ri-ER)^2
Jan-13 0.555398 #VALUE!
-0.004596 0.000021 Feb-13 0.54644 -0.01613 -0.03042 0.00092561
-0.004596 0.000021 Mar-13 0.662894 0.213114 0.19882 0.03952903
0.102544 0.010515 Apr-13 0.667373 0.006757 -0.00754 5.6824E-05
-0.036853 0.001358 May-13 0.658415 -0.01342 -0.02772 0.00076827
-0.004596 0.000021 Jun-13 0.788306 0.197278 0.18298 0.03348294
-0.004596 0.000021 Jul-13 0.7256 -0.07955 -0.09384 0.00880597
-0.004596 0.000021 Aug-13 0.81518 0.123456 0.10916 0.01191625
0.060050 0.003606 Sep-13 0.721121 -0.11538 -0.12968 0.0168167
-0.036848 0.001358 Oct-13 0.716642 -0.00621 -0.02051 0.0004205
-0.037931 0.001439 Nov-13 0.837575 0.16875 0.15445 0.02385624
0.098850 0.009771 Dec-13 0.952379 0.137067 0.12277 0.01507302
0.214153 0.045861 Jan-14 0.980668 0.029704 0.01541 0.00023743
-0.030232 0.000914 Feb-14 0.93352 -0.04808 -0.06237 0.00389031
-0.083547 0.006980 Mar-14 0.924091 -0.0101 -0.02440 0.00059513
-0.004596 0.000021 Apr-14 0.891088 -0.03571 -0.05001 0.00250089
-0.033162 0.001100 May-14 1.140969 0.280422 0.26613 0.07082384
0.083638 0.006995 Jun-14 0.94295 -0.17355 -0.18785 0.03528696
0.265671 0.070581 Jul-14 1.046674 0.109999 0.09570 0.00915937
-0.089702 0.008046 Aug-14 1.018386 -0.02703 -0.04132 0.00170746
-0.085359 0.007286 Sep-14 0.961809 -0.05556 -0.06985 0.00487908
-0.030241 0.000915 Oct-14 1.008956 0.049019 0.03472 0.00120577
-0.162489 0.026403 Nov-14 0.980668 -0.02804 -0.04233 0.00179198
0.057908 0.003353 Dec-14 1.037245 0.057692 0.04340 0.00188334
-0.034012 0.001157 Jan-15 0.999527 -0.03636 -0.05066 0.00256629
0.025713 0.000661 Feb-15 1.027815 0.028301 0.01401 0.00019618
0.024815 0.000616 Mar-15 1.211735 0.178943 0.16465 0.02710891
-0.061742 0.003812 Apr-15 1.027551 -0.152 -0.16630 0.02765406
0.025713 0.000661 May-15 0.988775 -0.03774 -0.05203 0.00270725
-0.004596 0.000021 Jun-15 1.105102 0.117648 0.10335 0.01068178
-0.151660 0.023001 Jul-15 0.988775 -0.10526 -0.11956 0.01429423
-0.004596 0.000021 Aug-15 0.979082 -0.0098 -0.02410 0.00058071
0.086188 0.007428 Sep-15 1.027551 0.049505 0.03521 0.00123972
-0.036855 0.001358 Oct-15 0.959694 -0.06604 -0.08033 0.00645331
-0.004596 0.000021 Nov-15 1.056633 0.10101 0.08672 0.00751957
-0.037924 0.001438 Dec-15 0.969388 -0.08257 -0.09686 0.00938259
-0.004596 0.000021 Jan-16 1.105102 0.14 0.12570 0.01580169
-0.039080 0.001527 Feb-16 1.008163 -0.08772 -0.10201 0.01040693
0.031120 0.000968 Mar-16 1.056633 0.048078 0.03378 0.00114127
0.029881 0.000893 Apr-16 1.037245 -0.01835 -0.03264 0.00106561
-0.004596 0.000021 May-16 1.017857 -0.01869 -0.03299 0.00108812
-0.004596 0.000021 Jun-16 1.017857 0 -0.01429 0.00020434
-0.004596 0.000021 Jul-16 1.027551 0.009524 -0.00477 2.2762E-05
-0.004596 0.000021 Aug-16 1.027551 0 -0.01429 0.00020434
0.049829 0.002483 Sep-16 0.969388 -0.0566 -0.07090 0.00502658
-0.004596 0.000021 Oct-16 0.954847 -0.015 -0.02930 0.0008582
-0.036852 0.001358 Nov-16 0.998469 0.045685 0.03139 0.00098533
0.028736 0.000826 Dec-16 1.04 0.041595 0.02730 0.00074528
0.027661 0.000765 Jan-17 0.98 -0.05769 -0.07199 0.00518216
0.026653 0.000710 Feb-17 0.95 -0.03061 -0.04491 0.00201665
-0.009941 0.000099 Mar-17 1.01 0.063158 0.04886 0.00238759
-0.036854 0.001358 Apr-17 1.08 0.069307 0.05501 0.00302633
-0.037929 0.001439 May-17 1.1 0.018519 0.00422 1.7839E-05
-0.004596 0.000021 Jun-17 1.09 -0.00909 -0.02339 0.0005469
-0.039078 0.001527 Jul-17 1.11 0.018349 0.00405 1.6433E-05
0.031119 0.000968 Aug-17 1.09 -0.01802 -0.03231 0.00104412
0.064370 0.004143 Sep-17 1 -0.08257 -0.09686 0.00938257
-0.069112 0.004776 Oct-17 1.06 0.06 0.04571 0.00208896
-0.039078 0.001527 Nov-17 1 -0.0566 -0.07090 0.00502662
-0.004596 0.000021 Dec-17 1.03 0.03 0.01571 0.00024665
0.272343 Sum 0.843398 0.46453078
Variance 0.004696 Mean 0.014295 Variance 0.00800915
Std Dev 0.068524 Std Dev 0.08949386
Std Dev -0.068524 Mean 0.014295 Std Dev -0.0894939

Covariance FBMKLCI, JMR 2.254307E-05

Beta JMR 0.003

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