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Mean Returns Testing

Student: Varvara Elkina

Supervisor: Alexander P. Koldanov

Faculty: Faculty of Informatics, Mathematics, and Computer Science (HSE Nizhny Novgorod)

Educational Programme: Applied Mathematics and Information Science (Bachelor)

Final Grade: 7

Year of Graduation: 2020

The scientific research described in this graduate qualified paper is a statistical study in the field of stock markets. The purpose of this thesis is to construct statistical procedures for multiple verification of hypotheses about the equality of the average return of shares to zero. The main hypothesis was the assumption that the average stock return of various countries is zero. The paper deals with one-step statistical procedures without taking into account and taking into account a priori information, the one-step statistical Bonferroni procedure and the multi-step statistical Holm procedure of multiple hypothesis testing. During the work, the main characteristics of the procedures were investigated and their comparative analysis was carried out, as a result of which the best of them was chosen. In the final part of the thesis, a sector and index analysis of the Russian and American markets was carried out using the selected procedures.

Full text (added May 20, 2020)

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