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https://github.com/carlobortolan/icm25
Analysis of the long-term evolution of international equity markets and economic risks of European stock markets.
https://github.com/carlobortolan/icm25
Last synced: 11 days ago
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Analysis of the long-term evolution of international equity markets and economic risks of European stock markets.
- Host: GitHub
- URL: https://github.com/carlobortolan/icm25
- Owner: carlobortolan
- License: mit
- Created: 2024-07-26T23:50:58.000Z (6 months ago)
- Default Branch: master
- Last Pushed: 2024-08-11T21:20:30.000Z (5 months ago)
- Last Synced: 2024-11-10T14:50:25.350Z (2 months ago)
- Language: Jupyter Notebook
- Homepage: https://icm25.pages.dev
- Size: 13.4 MB
- Stars: 0
- Watchers: 1
- Forks: 0
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
README
# ICM25
Analysis of the long-term evolution of international equity markets (average returns, volatilities, long-term correlations) and economic risks of European stock markets.
## Case 1: Analyzing 25 years of stock market returns
Analysis of the **longterm evolution of international equity markets**, i.e.
- Average returns
- Volatilities
- Long-term correlations between markets
- Correlation regimes
Data set ([Case1.csv](./data/Case1.csv)) includes 16 stock market indices in local currencies covering developed markets in North America, Europe and Asia-Pacific
- Monthly stock market data starting on December 31, 1992, and ending on February 28, 2018
- Indexed to ”100” at the beginning of the period
## Case 2: Rational asset pricing and multifactor models
Data set ([Case2Factors.csv](./data/Case2Factors.csv) and [Case2MSCI.csv](./data/Case2MSCI.csv)) include monthly total return index data over the 1st decade of the 21st century, from January 2000 to December 2009, denominated in EUR for 10 European stock markets and 4 global risk factors.
[Case2.py](./case2.py) analyzes the **relationships between the returns of the stock markets and the changes of the global factors** using the following regressions for each market:
- **Market return on the MSCI World index return** (_single factor model_)
- **Market return on the 4 global factors** (_4-factor model_)
```
================================ Switzerland =================================
OLS Regression Results
==============================================================================
Dep. Variable: Switzerland R-squared: 0.674
Model: OLS Adj. R-squared: 0.662
Method: Least Squares F-statistic: 59.37
Date: Sat, 10 Aug 2024 Prob (F-statistic): 4.25e-27
Time: 23:18:03 Log-Likelihood: 280.69
No. Observations: 120 AIC: -551.4
Df Residuals: 115 BIC: -537.4
Df Model: 4
Covariance Type: nonrobust
================================================================================
coef std err t P>|t| [0.025 0.975]
--------------------------------------------------------------------------------
const 0.0035 0.002 1.565 0.120 -0.001 0.008
FX USD/EUR 0.2081 0.075 2.759 0.007 0.059 0.358
EUR 10Y Rate 0.0626 0.052 1.206 0.230 -0.040 0.165
CRB Index -0.1146 0.048 -2.383 0.019 -0.210 -0.019
MSCI World 0.7431 0.053 14.017 0.000 0.638 0.848
==============================================================================
Omnibus: 4.731 Durbin-Watson: 1.689
Prob(Omnibus): 0.094 Jarque-Bera (JB): 4.503
...
==============================================================================
```
> [!Note]
> This project has been inspired by the _International Capital Markets and Investment Practice_ lecture held during S2024 by _Prof. Dr. Peter Oertmann_.
## Usage
1. Activate the virtual environment
```sh
source env/bin/activate
```
2. Run the notebook
```sh
jupyter notebook
```
## Build
Run the following command to build the notebook. The build files can be found in the `build` folder:
```sh
make
```
This will execute the Jupyter notebook and convert it to an HTML file, which will be moved to the `build` directory as `index.html`.
To clean up the build directory, run:
```sh
make clean
```
---
© Carlo Bortolan
> Carlo Bortolan ·
> GitHub [carlobortolan](https://github.com/carlobortolan) ·
> contact via [[email protected]](mailto:[email protected])