MARKET ANALYSIS

Market Analysis



Market Analysis

Part A: Auto and Serial Correlation

Case Processing Summary

Brazil

Canada

Series Length

260

260

Number of Missing Values

User-Missing

0

0

System-Missing

0

0

Number of Valid Values

260

260

Number of Computable First Lags

259

259

Autocorrelations

Series:Brazil

Lag

Autocorrelation

Std. Errora

Box-Ljung Statistic

Value

df

Sig.b

1

.972

.062

248.335

1

.000

2

.947

.062

484.935

2

.000

3

.918

.061

708.524

3

.000

4

.891

.061

919.714

4

.000

5

.863

.061

1.119E3

5

.000

6

.837

.061

1.307E3

6

.000

7

.806

.061

1.482E3

7

.000

8

.777

.061

1.645E3

8

.000

9

.744

.061

1.795E3

9

.000

10

.710

.061

1.933E3

10

.000

11

.680

.060

2.059E3

11

.000

12

.650

.060

2.175E3

12

.000

13

.622

.060

2.282E3

13

.000

14

.594

.060

2.380E3

14

.000

15

.561

.060

2.467E3

15

.000

16

.527

.060

2.545E3

16

.000

From the above table, it can be said that the significance value of Box-Ljung Statistic is less than 0.05 which reflects that there is correlations in the index of Brazil over the period as the impact of current situations of index make its impact on the future period for the index.

Serial Correlations

Series:Brazil

Lag

Serial Correlation

Std. Error

1

.972

.062

2

.044

.062

3

-.066

.062

4

-.010

.062

5

-.011

.062

6

.004

.062

7

-.086

.062

8

.003

.062

9

-.086

.062

10

-.041

.062

11

.057

.062

12

-.008

.062

13

.006

.062

14

-.016

.062

15

-.090

.062

16

-.055

.062

In case of serial correlation, it can be observed from the above tablet that there is, no correlation in the index of Brazil over the period as the impact of current situations of index does not make its impact on the future period for the index as the significance value is less than 0.05.

Autocorrelations

Series:Canada

Lag

Autocorrelation

Std. Errora

Box-Ljung Statistic

Value

df

Sig.b

1

.978

.062

251.527

1

.000

2

.959

.062

494.470

2

.000

3

.939

.061

728.273

3

.000

4

.920

.061

953.282

4

.000

5

.901

.061

1.170E3

5

.000

6

.880

.061

1.378E3

6

.000

7

.858

.061

1.576E3

7

.000

8

.836

.061

1.765E3

8

.000

9

.809

.061

1.943E3

9

.000

10

.781

.061

2.109E3

10

.000

11

.751

.060

2.263E3

11

.000

12

.722

.060

2.406E3

12

.000

13

.696

.060

2.540E3

13

.000

14

.666

.060

2.663E3

14

.000

15

.636

.060

2.776E3

15

.000

16

.602

.060

2.877E3

16

.000

From the above table, it can be said that the significance value of Box-Ljung Statistic is less than 0.05 which reflects that there is correlations in the index of Canada over the period as the impact of current situations of index make its impact on the future period for the index.

Serial Correlations

Series:Canada

Lag

Serial Correlation

Std. Error

1

.978

.062

2

.066

.062

3

-.035

.062

4

-.005

.062

5

.027

.062

6

-.084

.062

7

-.044

.062

8

.013

.062

9

-.150

.062

10

-.052

.062

11

-.053

.062

12

-.004

.062

13

.046

.062

14

-.087

.062

15

-.018

.062

16

-.117

.062

In case of serial correlation, it can be observed from the above tablet that there is, no correlation in the index of Canada over the period as the impact of current situations of index does not make its impact on the future period for the index as the significance value is less than 0.05.

Part B: Runs Test

Descriptive Statistics

N

Mean

Std. Deviation

Minimum

Maximum

Percentiles

25th

50th (Median)

75th

Brazil

260

5.8050E4

9788.01333

31251.00

72767.00

5.2346E4

60313.0000

6.6215E4

Canada

260

1.2269E4

1666.58982

7591.47

14984.20

1.1463E4

12605.7400

1.3585E4

The significance value of run test in case of median of index of Brazil that is IBOVESPA shows the model is significant as the significance value is less than 0.05.

Runs Test 2

Brazil - IBOVESPA

Test Valuea

58050.0538

Cases < Test Value

116

Cases >= Test Value

144

Total Cases

260

Number of Runs

11

Z

-14.899

Asymp. Sig. (2-tailed)

.000

a. Mean

The significance value of run test in case of mean of index of Brazil that is IBOVESPA shows the model is significant as the significance value is less than 0.05.

Runs Test

Canada - S&P/TSX Composite index

Test Valuea

12605.74

Cases < Test Value

130

Cases >= Test Value

130

Total Cases

260

Number of Runs

6

Z

-15.534

Asymp. Sig. (2-tailed)

.000

a. Median

The significance value of run test in case of median of index of Canada that is S&P/TSX Composite index shows the model is significant as the significance value is less than 0.05.

The significance value of run test in case of mean of index of Canada that is S&P/TSX Composite index shows the model is significant as the significance value is less than 0.05.

Part C: The Distribution of Returns

This section of the report focuses on the distribution of returns for the two indices analysis.

Statistics

Brazil - IBOVESPA

N

Valid

260

Missing

0

Mean

5.8050E4

Std. Error of Mean

6.07027E2

Median

6.0313E4

Mode

5.77E4a

Std. Deviation

9.78801E3

Variance

9.581E7

Skewness

-.717

Std. Error of Skewness

.151

Kurtosis

-.325

Std. Error of Kurtosis

.301

Range

4.15E4

Minimum

3.13E4

Maximum

7.28E4

a. Multiple modes exist. The smallest value is shown

Brazil - IBOVESPA

Frequency

Percent

Valid Percent

Cumulative Percent

Valid

31251

1

.4

.4

.4

31482

1

.4

.4

.8

35347

1

.4

.4

1.2

35610

1

.4

.4

1.5

35789

1

.4

.4

1.9

36399

1

.4

.4

2.3

36596

1

.4

.4

2.7

36665

1

.4

.4

3.1

36864

1

.4

.4

3.5

37105

1

.4

.4

3.8

37257

1

.4

.4

4.2

38132

1

.4

.4

4.6

38183

1

.4

.4

5.0

38715

1

.4

.4

5.4

39015

1

.4

.4

5.8

39131

1

.4

.4

6.2

39301

1

.4

.4

6.5

39342

1

.4

.4

6.9

39374

1

.4

.4

7.3

40076

1

.4

.4

7.7

40244

1

.4

.4

8.1

41583

1

.4

.4

8.5

41674

1

.4

.4

8.8

41907

1

.4

.4

9.2

42370

1

.4

.4

9.6

42730

1

.4

.4

10.0

42756

1

.4

.4

10.4

43095

1

.4

.4

10.8

43428

1

.4

.4

11.2

44133

1

.4

.4

11.5

44284

1

.4

.4

11.9

44391

1

.4

.4

12.3

44412

1

.4

.4

12.7

44517

1

.4

.4

13.1

44998

1

.4

.4

13.5

45533

1

.4

.4

13.8

45539

1

.4

.4

14.2

45778

1

.4

.4

14.6

45805

1

.4

.4

15.0

45849

1

.4

.4

15.4

46016

1

.4

.4

15.8

46647

1

.4

.4

16.2

46772

1

.4

.4

16.5

47290

1

.4

.4

16.9

47926

1

.4

.4

17.3

48559

1

.4

.4

17.7

49007

1

.4

.4

18.1

49221

1

.4

.4

18.5

49230

1

.4

.4

18.8

49408

1

.4

.4

19.2

50568

1

.4

.4

19.6

50598

1

.4

.4

20.0

50783

1

.4

.4

20.4

50902

1

.4

.4

20.8

50935

1

.4

.4

21.2

51244

1

.4

.4

21.5

51374

1

.4

.4

21.9

51396

1

.4

.4

22.3

51486

1

.4

.4

22.7

51618

1

.4

.4

23.1

51940

1

.4

.4

23.5

52072

1

.4

.4

23.8

52078

1

.4

.4

24.2

52324

1

.4

.4

24.6

52330

1

.4

.4

25.0

52393

1

.4

.4

25.4

52448

1

.4

.4

25.8

52638

1

.4

.4

26.2

52846

1

.4

.4

26.5

52922

1

.4

.4

26.9

52949

1

.4

.4

27.3

52998

1

.4

.4

27.7

53055

1

.4

.4

28.1

53198

1

.4

.4

28.5

53230

1

.4

.4

28.8

53341

1

.4

.4

29.2

53351

1

.4

.4

29.6

53423

1

.4

.4

30.0

53473

1

.4

.4

30.4

53558

1

.4

.4

30.8

54244

1

.4

.4

31.2

54267

1

.4

.4

31.5

54392

1

.4

.4

31.9

54457

1

.4

.4

32.3

54519

1

.4

.4

32.7

56444

1

.4

.4

37.7

56532

1

.4

.4

38.1

56584

1

.4

.4

38.5

56638

1

.4

.4

38.8

57701

2

.8

.8

43.5

57729

1

.4

.4

43.8

57799

1

.4

.4

44.2

57886

1

.4

.4

44.6

58236

1

.4

.4

45.0

58366

1

.4

.4

45.4

58547

1

.4

.4

45.8

58670

1

.4

.4

46.2

58823

1

.4

.4

46.5

58987

1

.4

.4

46.9

59076

1

.4

.4

47.3

59365

1

.4

.4

47.7

59478

1

.4

.4

48.1

59513

1

.4

.4

48.5

59988

1

.4

.4

48.8

60148

1

.4

.4

49.2

60259

1

.4

.4

49.6

60270

1

.4

.4

50.0

60356

1

.4

.4

50.4

60452

1

.4

.4

50.8

60465

1

.4

.4

51.2

60703

1

.4

.4

51.5

60894

1

.4

.4

51.9

60971

1

.4

.4

52.3

61017

1

.4

.4

52.7

61037

1

.4

.4

53.1

61060

1

.4

.4

53.5

61080

1

.4

.4

53.8

61172

1

.4

.4

54.2

61272

1

.4

.4

54.6

61430

1

.4

.4

55.0

61513

1

.4

.4

55.4

61546

1

.4

.4

55.8

61676

1

.4

.4

56.2

61868

1

.4

.4

56.5

61942

1

.4

.4

56.9

61947

1

.4

.4

57.3

61991

1

.4

.4

57.7

62319

1

.4

.4

58.1

62339

1

.4

.4

58.5

62445

1

.4

.4

58.8

62456

1

.4

.4

59.2

62585

1

.4

.4

59.6

62597

1

.4

.4

60.0

62697

1

.4

.4

60.4

62763

1

.4

.4

60.8

62871

1

.4

.4

61.2

63006

1

.4

.4

61.5

63098

1

.4

.4

61.9

63235

1

.4

.4

62.3

63394

1

.4

.4

62.7

63412

1

.4

.4

63.1

63476

1

.4

.4

63.5

63489

1

.4

.4

63.8

63605

1

.4

.4

64.2

63886

1

.4

.4

64.6

64050

1

.4

.4

65.0

64071

1

.4

.4

65.4

64276

1

.4

.4

65.8

64295

1

.4

.4

66.2

64321

2

.8

.8

66.9

64341

1

.4

.4

67.3

64417

1

.4

.4

67.7

64438

1

.4

.4

68.1

64446

1

.4

.4

68.5

64466

1

.4

.4

68.8

64609

2

.8

.8

69.6

64614

1

.4

.4

70.0

64824

1

.4

.4

70.4

64923

1

.4

.4

70.8

65059

1

.4

.4

71.2

65187

1

.4

.4

71.5

65269

1

.4

.4

71.9

65326

1

.4

.4

72.3

65402

1

.4

.4

72.7

65585

1

.4

.4

73.1

65639

1

.4

.4

73.5

65756

1

.4

.4

73.8

65855

1

.4

.4

74.2

66133

1

.4

.4

74.6

66200

1

.4

.4

75.0

66220

1

.4

.4

75.4

66264

1

.4

.4

75.8

66323

1

.4

.4

76.2

66327

1

.4

.4

76.5

66503

1

.4

.4

76.9

66677

1

.4

.4

77.3

66679

1

.4

.4

77.7

66684

1

.4

.4

78.1

66685

1

.4

.4

78.5

66698

1

.4

.4

78.8

66794

1

.4

.4

79.2

66807

1

.4

.4

79.6

66880

1

.4

.4

80.0

66903

1

.4

.4

80.4

67058

1

.4

.4

80.8

67082

1

.4

.4

81.2

67089

1

.4

.4

81.5

67204

1

.4

.4

81.9

67515

1

.4

.4

82.3

67530

1

.4

.4

82.7

67589

1

.4

.4

83.1

67597

1

.4

.4

83.5

67604

1

.4

.4

83.8

67766

1

.4

.4

84.2

67981

1

.4

.4

84.6

68012

1

.4

.4

85.0

68067

1

.4

.4

85.4

68095

1

.4

.4

85.8

68196

1

.4

.4

86.2

68226

1

.4

.4

86.5

68342

1

.4

.4

86.9

68486

1

.4

.4

87.3

68588

1

.4

.4

87.7

68683

1

.4

.4

88.1

68718

1

.4

.4

88.5

68829

1

.4

.4

88.8

68847

1

.4

.4

89.2

68978

1

.4

.4

89.6

69133

1

.4

.4

90.0

69267

1

.4

.4

90.4

69268

1

.4

.4

90.8

69305

1

.4

.4

91.2

69341

1

.4

.4

91.5

69366

1

.4

.4

91.9

69421

1

.4

.4

92.3

69509

1

.4

.4

92.7

69530

1

.4

.4

93.1

69646

1

.4

.4

93.5

69766

1

.4

.4

93.8

69786

1

.4

.4

94.2

70057

1

.4

.4

94.6

70229

1

.4

.4

95.0

70263

1

.4

.4

95.4

70367

1

.4

.4

95.8

70673

1

.4

.4

96.2

70809

1

.4

.4

96.5

70898

1

.4

.4

96.9

70940

1

.4

.4

97.3

71136

1

.4

.4

97.7

71417

1

.4

.4

98.1

71452

1

.4

.4

98.5

71830

1

.4

.4

98.8

72593

1

.4

.4

99.2

72607

1

.4

.4

99.6

72767

1

.4

.4

100.0

Total

260

100.0

100.0

Statistics

Canada - S&P/TSX Composite index

N

Valid

260

Missing

0

Mean

1.2269E4

Std. Error of Mean

1.03358E2

Median

1.2606E4

Mode

7.59E3a

Std. Deviation

1.66659E3

Variance

2.778E6

Skewness

-.820

Std. Error of Skewness

.151

Kurtosis

-.025

Std. Error of Kurtosis

.301

Range

7392.73

Minimum

7591.47

Maximum

1.50E4

a. Multiple modes exist. The smallest value is shown

Part D: Results Discussion and Efficient Market Hypothesis (EMH)

More pessimistic reports emerged in February 2008. The Institute of Supply Management noted that the U.S.'s service sector--a vast part of the economy that accounts for ...