单个股票的标准偏差都高于市场指数，这并不奇怪，因为多元化投资组合通常比单一资产波动小。澳洲航空公司的平均周收益为负，其他三个系列为负。澳航是最不稳定的三股而赚最低的平均回报率0.55%，而AGL是风险最小的但赚0.47%的最高回报。这似乎与普遍认为高风险导致更高的预期收益相矛盾。然而，实际回报与预期收益不一样。澳航的高风险意味着实际回报率可能偏离预期收益，这表明其显著的负平均回报率。
为了了解单个股票与市场指数之间的联系程度，表2显示了样本期内四个收益序列之间的样本协方差和相应的相关系数。个人股票和ASX 200指数之间的相关系数为0.234·0.503和0.343，澳航AGL。这意味着这三只股票都与总市场呈正相关，尤其是对澳洲航空公司而言。这些股票之间的相关性显著低于股票和市场之间的相关性。这些股票之间的最高相关系数仅为0.06。这并不奇怪，因为这三家公司在不同的行业有不同的特点。
澳洲金融assignment代写:ASX股票分析
For the subsequent analysis, weekly closing prices are collected for the stocks of Qantas Airways Ltd (ASX: QAN), Westfield Group (ASX: WDC) and AGL Energy Limited (ASX: AGK). Qantas is Australia’s largest airline company with a 65% market share in Australia’s market (Source: Airreview.com). Westfield Group is a retail property operator with a total of 100 shopping malls in four countries (Source: Westfield Group website). AGL is an Australia’s electricity and natural gas retailer with the largest customer base (Source: Wikipedia). These three companies are all listed on Australian Stock Exchange. Therefore, ASX 200 is chosen as the benchmark stock market index. The data is provided by Yahoo! Finance and covers the period from February 25 2013 until August 26 2013, with 28 observations of dividend-adjusted closing prices for each of the four series. Weekly simple returns are calculated for each series. Table 1 presents the basic descriptive statistics for the four weekly return series.
Table 1. Summary Statistics for weekly returns
Qantas Westfield AGL ASX 200
Arithmetic Mean (%) -0.54732 0.04996 0.46518 0.10170
Geometric mean (%) -0.64152 0.02684 0.44796 0.08562
Sample Standard Deviation (%) 4.38447 2.19088 1.89821 1.82240
Count 27 27 27 27
The standard deviations of individual stocks are all higher than that of the market index, which is not surprising considering that a diversified portfolio is normally less volatile than a single asset. The average weekly return is negative for Qantas and positive for the other three series. Qantas is the most volatile among the three stocks but earns the lowest average return of -0.55%, while AGL is the least risky but earns the highest return of 0.47%. This may seem contradictory to the common notion that higher risk leads to higher expected return. However, actual return is not the same as expected return. The high risk of Qantas means the actual return may deviate from expected return greatly as evidenced by its significant negative average return.
To obtain an idea for the extent of linkages between individual stocks and the market index, Table 2 shows the sample covariance and corresponding correlation coefficients between the four return series during the sample period. The correlation coefficient between the individual stocks and the ASX 200 index is 0.234 for Westfield, 0.503 for Qantas and 0.343 for AGL. This means the three stocks are all positively correlated with the aggregate market, especially for Qantas. Correlations among these stocks are significantly lower than that between individual stock and the market. The highest correlation coefficient among these stocks is only 0.06. This is not surprising since the three companies operate in different industries with different characteristics.
