Week 7 Team 2
Lab 6 Introduction
The purpose of lab 7 was to see whether there were significant differences in mean returns, volatility and trade volume for the US equity market during summer and winter. Hence, the S&P 500 index was chosen to represent the US equity market, and the months of June and December were chosen to represent summer and winter respectively. Additionally, in order to verify whether such effects are only apparent in the US, or in other global markets as well, a set of indexes (STI-Singapore and FTSE-Japan) were chosen. Finally, sets of "If" analysis codes were used to verify the H0 of each part, and to see whether the set of data shows significant differences by season and between markets.
Part 1 : Daily Volatility
H0 : There is no difference between the daily volatility of the SP500 in June and December
Part 2 : Trading Volume
Part 3: Mean Return
H0: The is not much difference in mean returns of Jun vs Dec (2011 to 2021)
Part 4: SP500 vs STI Index vs FTSE Japan Index
Conclusion
#1 Volatility: The data shows that there is not a significant difference in level of volatility between data from June vs December.
#2 Trading Volume: As the p-value is only 0.027, we can reject the Ho and thus conclude that the trading volume of S&P 500 in June and December from 2011 to 2021 is significantly different.
#3 Mean Return: The data shows that there is no significant difference between the average monthly returns in June and Decemeber over the past 10 years (2011-2021).
#4 SP500 vs STI Index vs FTSE Japan Index: When looking at other index funds of other countries (Singapore and Japan), data suggests that there is not really any difference between returns on June and December. However, it is important to note that SP500 almost always have positive return (distribution is positively skewed). This suggest that the SP500 is a better performing index.