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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Article
The Regression Analysis of Stock Returns at MSE
Author(s)
Zoran Ivanovski, Nadica Ivanovska, Zoran Narasanov
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DOI:10.17265/1548-6583/2016.04.003
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ABSTRACT
The linear regression and correlation analysis of daily returns of several stocks and stock-exchange index at Macedonian Stock Exchange (MSE) provide evidence for statistical significance of the stocks’ daily returns at MSE. Statistical analysis was focused to determine the character of relationship between the 10 most liquid stocks at MSE using ten-year time-series of daily stocks’ closing price and for the Macedonian Stock Exchange Index (MBI-10). The analysis of daily stock returns provided R2 values and confirmed that the proportion of the total correlation in the dependent variable (one stock price) can be explained by the independent variable (other stock price) as well as that accurate forecasting of one stock price movements enables reliable prediction of other stock future price at MSE. Some implications for stock valuation are drawn.
KEYWORDS
stock, return, correlation, regression, volatility
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