Regression Analysis and Statistical Measures: the Case of Gold and American Stock Market 1968-2013

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Regression analysis and statistical measures: The Case of Gold and American stock market 1968-2013 Aivanoulis Argirios Thessaloniki 26/04/2013 DEI College, Business Decision Modelling Academic Year 1, Semester 2 Regression analysis and statistical measures: The Case of Gold and American stock market 1968-2013 Aivanoulis Argirios The relation of Gold and DJIA from 1968-2013 is tested using apart from statistical measures, regression analysis. The main result is that there is a statistically significant relation between the two variables, though the assumptions of the CLRM (Classical Linear Regression Model) are not tested. There is evidence that some assumptions will be violated suggesting that the former results are not that strong. Table of Contents 1. Introduction 2 2. Gold 3 3. The New York Stock Exchange 4 4. Statistical measures 5 5. Econometric estimation – Methodology and results 9 6. Conclusions 14 7. References 15 8. Appendix 16 1. Introduction Regression analysis and other statistical measures are used in order to test if a relation between the price of DJIA and Gold exists. E-views 7 and Excel are used to calculate statistical measures of those data and produce their mean, median, maximum, minimum, standard deviation, skewness, kurtosis, Jarque-Bera and coefficient of variation values. Those statistical measures are vital in order to check the normality of the data distribution. The second step is to examine the relation of Gold and DJIA values. This is accomplished through regression analysis. The results from statistical measures shows that both variables are not normally distributed and regression analysis indicates that there is a relation between these two variables and that up to a point the variation in the price of the one can be explained by a variation in the price of the other. 2. Gold

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