Choose one of any foreign countries and collect data on stock market index of the chosen country, either quarterly or monthly, using your own data source.
- If quarterly, at least 25 year period or more
- If monthly, at least 10 year period or more
- Please provide the source of your data (finance.yahoo.com, for example), and explain the main reasons why you chose the specific country
- Draw the graphs of the index level, log index (natural log or ln, not log with base of 10), and log differences (approx. % changes).
- Please draw trend lines for your stock prices and log stock prices. (use a scatter diagram)
- Please check if log differences are good approximation of % changes or not, by using your data.
- Please provide your guess, looking at the graphs, about if each of the three time series data is stationary or nonstationary. Discuss why.
- Draw the correlogram of each of the three series, and discuss what you find about their implications on stationarity/non-stationarity.
- Apply proper forms of Dickey-Fuller unit-root tests to test for stationarity for the index level, log index, and log differences.
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