MSCI World Index Rf RM - Rf

Mean 345.34899615 Mean 0.0850576923 Mean

Standard Error 3.1861577852 Standard Error 0.001979634 Standard Error
Median 334.192 Median 0.095 Median
Mode 324.885 Mode 0.099 Mode
Standard Deviation 51.375250582 Standard Deviation 0.0319206385 Standard Deviation
Sample Variance 2639.4163724 Sample Variance 0.0010189272 Sample Variance
Kurtosis -0.8455729675 Kurtosis -0.923962202 Kurtosis
Skewness 0.1082699731 Skewness -0.5116497613 Skewness
Range 217.432 Range 0.112 Range
Minimum 229.089 Minimum 0.028 Minimum
Maximum 446.521 Maximum 0.14 Maximum
Sum 89790.739 Sum 22.115 Sum
Count 260 Count 260 Count

Equity Market Index RER

Mean 413.21299615 Mean 338.33904615

Standard Error 13.000575319 Standard Error 11.879531713
Median 357.9935 Median 307.192
Mode 405.442 Mode #N/A
Standard Deviation 209.6279782 Standard Deviation 191.5516932
Sample Variance 43943.889245 Sample Variance 36692.051168
Kurtosis 0.5697833702 Kurtosis -0.6993065655
Skewness 1.1980639928 Skewness 0.6013464224
Range 844.243 Range 695.896
Minimum 169.851 Minimum 111.494
Maximum 1014.094 Maximum 807.39
Sum 107435.379 Sum 87968.152
Count 260 Count 260

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RM - Rf SMB HML

-0.035 Mean 0.0504615385 Mean 0.1017307692

0.1841963617 Standard Error 0.126618922 Standard Error 0.1146660109
0.055 Median 0.01 Median 0.07
1.62 Mode 0.24 Mode -0.04
2.9700770891 Standard Deviation 2.0416687707 Standard Deviation 1.8489338691
8.8213579151 Sample Variance 4.1684113692 Sample Variance 3.4185564523
2.230261922 Kurtosis 5.3044815965 Kurtosis 2.2861457803
-0.4818027708 Skewness -0.62008197 Skewness 0.4734085808
23 Range 17.7 Range 15.4
-13.74 Minimum -10.71 Minimum -6.35
9.26 Maximum 6.99 Maximum 9.05
-9.1 Sum 13.12 Sum 26.45
260 Count 260 Count 260

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 Rf
Mean 0.0850576923
Confidence Level(95.0%) 0.003898227
Lower limit 0.0811594653
Upper limit 0.0889559193
 RER
Mean 338.33904615
Confidence Level(95.0%) 23.392764675
Lower limit 314.94628148
Upper limit 361.73181083
t-Test: Two-Sample Assuming Equal Variances

RM - Rf Rf
Mean -0.035 0.085058
Variance 8.8213579151 0.001019
Observations 260 260
Pooled Variance 4.4111884211
Hypothesized Mean Difference 0
df 518
t Stat -0.6517542368
P(T<=t) one-tail 0.2574243951
t Critical one-tail 1.6478005662
P(T<=t) two-tail 0.5148487902
t Critical two-tail 1.9645541961

t-Test: Two-Sample Assuming Equal Variances

RM - Rf SMB
Mean -0.035 0.050462
Variance 8.8213579151 4.168411
Observations 260 260
Pooled Variance 6.4948846421
Hypothesized Mean Difference 0
df 518
t Stat -0.3823460975
P(T<=t) one-tail 0.351180743
t Critical one-tail 1.6478005662
P(T<=t) two-tail 0.702361486
t Critical two-tail 1.9645541961
t-Test: Two-Sample Assuming Equal Variances

HML SMB
Mean 0.1017307692 0.0504615385
Variance 3.4185564523 4.1684113692
Observations 260 260
Pooled Variance 3.7934839108
Hypothesized Mean Difference 0
df 518
t Stat 0.3001299628
P(T<=t) one-tail 0.382099215
t Critical one-tail 1.6478005662
P(T<=t) two-tail 0.7641984301
t Critical two-tail 1.9645541961
SUMMARY OUTPUT

Regression Statistics
Multiple R 0.79
R Square 0.63
Adjusted R Square 0.62
Standard Error 128.61
Observations 260

ANOVA
df SS
Regression 1 7113757.65
Residual 258 4267709.66
Total 259 11381467.314543

Coefficients Standard Error

Intercept -700.83 54.31
MSCI World Index 3.23 0.16

SUMMARY OUTPUT

Regression Statistics
Multiple R 0.09
R Square 0.007257286890427
Adjusted R Square 0.003409446917134
Standard Error 191.22
Observations 260

ANOVA
df SS
Regression 1 68967.75
Residual 258 9434273.50
Total 259 9503241.25

Coefficients Standard Error

Intercept 228.65 80.75
MSCI World Index 0.32 0.23
 MS F Significance F
7113757.65 430.05 6.96E-57
16541.51

t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
-12.90 9.90583049924889E-30 -807.78 -593.89 -807.78 -593.89
20.74 6.95545132338223E-57 2.92 3.53 2.92 3.53

MS F Significance F
68967.75 1.89 0.17
36566.95

t Stat P-value Lower 95% Upper 95% Lower 95.0% Upper 95.0%
2.83 0.005 69.64 387.66 69.64 387.66
1.37 0.171 -0.14 0.77 -0.138 0.77
 Regression between MSCI world index and Equity
market index

1200

1000
Equity Market Index

800
f(x) = 3.22586135423379 x − 700.834984262281
600 R² = 0.625029924193135
400

200

0
200 250 300 350 400 450 500
MSCI World Index

Regression between MSCI World Index and Real exchange rate

900
800
700
600
500
RER

400
300 f(x) = 0.317628298341534 x + 228.646432171543
R² = 0.007257286890427
200
100
0
200 250 300 350 400 450 500
 500

RER
400
300 f(x) = 0.317628298341534 x + 228.646432171543
R² = 0.007257286890427
200
100
0
200 250 300 350 400 450 500
MSCI World Index
exchange rate

450 500
450 500