Week05 Tutorial Questions
Question 1:
The Excel file “HK.xls” contains daily index returns in some Asian markets.
Use the “frequency approach to the computation of probability” to answer the following
questions (Hint: you may consider using Excel’s “Data
→
Filter
→
AutoFilter” tool).
1)
What is the probability that the Thailand daily index return is negative?
2)
What is the probability that the HK daily index return is negative?
3)
When Thailand daily index return is negative, what is the probability that the HK daily
index return is also negative?
Some analysts believed that the 1997 Asian Financial Crisis has changed the relationship be
tween the Thailand stock market and any other Asian stock market. Use the precrisis sample
(from 03/01/1990 to 30/06/1997) and postcrisis sample (from 01/07/1997 to 23/06/2005)
to recompute the probability values in the above three questions.
Question 2:
Let
X
denote the percentage daily return of an asset (i.e., a value of 0.3
means that the daily return is 0.3%). Assume that
X
∼
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 Three '10
 Tan
 Statistics, Normal Distribution, Standard Deviation, daily return

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