KAZAKHSTAN INSTITUTE OF MANAGEMENT ECONOMICS AND STRATEGIC

RESEARCH

Testing the Capital Asset

Pricing Model: an
Econometric Approach

Seilkhanov Gaziz, BAE3, 20074614

ECN3184 (Section 1)
Econometric Methods, Project Paper
 Almaty, 2009

Contents

1. Introduction
3
2. Literature Review
3
3. Methods and Approaches
5
4. Results 7
5. Concluding Remarks
9
Used Literature
10
Appendix 11

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Gaziz Seilkhanov, 2009
Section 1. Introduction

Probably one of the most widespread questions that are being asked today is
“Where should the money we own have been invested in, so as not only to lose its
present value, but, in addition, to increase our wealth?” According to all the
economic events that are occurring in the world economy, the economy itself
becomes more and more volatile. Financial sector always comes across the critical
conditions, where recessions and peaks take place.

Any investor in the world is interested in gaining return from his or her investment.
However, not all individuals are able to see the picture of financial instabilities, and
predict the possible future directions. Also, investors are risk-averse on average;
this means that given the two alternatives of assets to invest in, individuals would
choose the asset that has the comparatively lower risk. Further in this paper, the
term risk would be referred to such terms as variance, standard deviation, and
standard error.

There are plenty of models in Finance and Economics that are devoted to
estimation of risks, and expected returns of risky and risk-free assets. Also, there
are a number of models that estimate the effects of every single asset on an
investment portfolio, thus implying how can the optimal portfolio management be
conducted.

The model chosen for the following paper is called the Capital Asset Pricing Model
(CAPM). It is one of the most widespread approaches used for valuation of assets,
forecasting the future rates of return of those assets, and constructing efficient
investment portfolios. Not the least important is that CAPM shows the relation
between risk and return on an asset.

This research project is primarily devoted to testing the Capital Asset Pricing Model.
A certain process of work, done in this research, gives quiet bright results. The
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Gaziz Seilkhanov, 2009
major test identifies the relationship between expected returns and risks. Further
tests of interdependence amongst variables are to be conducted.

Section 2. Literature Review

In Finance courses, the CAPM is explained as the method of determining the

theoretically appropriate required rate of return of an asset, if that asset is to be
added to an already well-diversified portfolio, given that asset’s non-diversifiable
risk. CAPM is the model that has been used in most real world analyses for the
longest time. It is considered as the standard method of such investment analyses.

Capital Asset Pricing Model, as any model in the world of science, has the certain
amount of assumptions that are quiet well described in the book, called
“Investment Valuation”, written by Aswath Damodaran, a professor of Finance at
Stern School of Business at New York University. Those assumptions are:
• No transaction costs – no taxes, no fees, no commissions
• All assets are traded and investments are infinitely divisible – one can buy
any fraction of a unit of the asset
• All investors have access to the same information – information should be
costless and at the same time available to all investors, therefore they
cannot find under or overvalued assets in the market place.
• Investors are price takers – no one is able to influence the prices of the assets
• Investors are rational and risk-averse – they would choose to avoid risks and
their aim is to maximize their economic utility.

The Capital Asset Pricing Model has the following form:

where, E(ri) – expected return on the capital asset i;

rf – risk-free rate of return;
β – ratio of contribution of asset i to market portfolio to total market risk;
E(rm) – expected return on the market portfolio;
E(rm) - rf – equity risk premium (ERP).

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Gaziz Seilkhanov, 2009
The risk of any asset to an investor is the risk added by that asset to the investor’s
overall portfolio. In CAPM, it is assumed that all investors hold the market portfolio,
so the risk to an investor of any individual asset will be the risk that this asset adds
on to the market portfolio.

As it was said above, beta is the ratio of contribution of a particular asset to market
portfolio to total market risk. In other words, beta takes the following form:

The obtained expression implies that since the covariance of the market portfolio
with itself is its variance, the beta of the market portfolio, and by extension, the
average asset in it, is one. Taking this average measure of risk into account, riskier
assets will have the values of their betas greater than 1.
Consequently, if the assets are less risky, then their betas are going to be less than
1. For instance, beta of a risk-free asset will be equal to zero. (Investment Valuation,
2nd Ed., Damodaran A.)

Professor Damodaran (2002) describes three inputs in using CAPM as follows:

• The risk-free asset is an asset for which the investor knows the expected
return with certainty for the time horizon of the analysis.
• The risk premium is the premium demanded by investors for investing in the
market portfolio, which includes all risky assets in the market. Risk premium
is the opportunity cost of investing in a risk-free asset.
• The beta measures the risk added on by an investment to the market
portfolio.

Section 3. Methods and Approaches

The methods used for the testing of Capital Asset Pricing Model are quite simple
and clear in their formulation. Thirty stocks of companies, one risk-free treasury
note, and S&P 500 market index were chosen for the research. All of the selected
companies are traded on this market index. The complete list of companies that are
traded on S&P 500 is provided at the website of widely known analyst company
Bloomberg. Link to the site of this company is provided in the references. According
to statistics, thirty observations are sufficient enough to consider appropriate
normal distribution.
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Gaziz Seilkhanov, 2009
Data were obtained from the electronic resources, and http://finance.yahoo.com in
particular. Historical prices of stocks were extracted from this website. Data are
organized on a weekly basis, taking a time range from November 1, 2007 till
November 9, 2009; thereby totaling of 107 observations. These time series data are
then manipulated in such a manner that resulted in obtaining realized rates of
return from those historical prices. Those rates of return were calculated using the
Discounted Cash Flow Model, which looks like the following:

where, r – realized rate of return;

Pt – price of a stock for the period t;
Pt-1 – price of a stock for the period t-1;

According to the obtained new data, next step is devoted to the finding of excess
returns. These excess realized rates of return are calculated through the subtraction
of risk-free rate of return from each realized rate of return of stocks. These excess
returns are needed in order to formulate and run first-pass regression (i.e. time-
series regression). In other words, the security characteristic line is being
constructed by this regression. This regression looks like the following:

where, ri,t – rf,t – is an excess rate of return of a stock I;

αi – is a risk-adjusted measure of the so-called active return on an
investment;
βi – beta of a stock I;
rm,t – rf,t – is an excess rate of return of a market portfolio;
εi – residual of stock i.

By regressing all the thirty stocks against the market portfolio, we eventually get
thirty different estimated betas, alphas, and residuals of those stocks. All this
information is required in order to run the second-pass regression (i.e. cross-
sectional regression), to see whether betas are related to the average return in the
way predicted by the CAPM. Cross-sectional regression has the following form:

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Gaziz Seilkhanov, 2009
Initially, mean returns of each stock were calculated. Now, in the second regression,
these mean returns are regarded as the dependent variable. These mean returns
are regressed against estimated betas and estimated variances of residuals. If the
CAPM is correct, then the coefficients of the regression should be (or at least not
significantly differ from) the following:

The new regression needs to be checked for OLS assumptions, main of which are
the test for heteroscedasticity, and the test for autocorrelation. In order to do so,
the following methods were used:
1. Run the regression that consists of the same dependent variable, but new
independent variables were added: squared estimated betas, squared
variances of residuals, and the product of estimated betas and variances of
residuals (i.e. X1*X2).
2. Use the Durbin-Watson d-statistic, in order to check for autocorrelation.

Section 4. Results

The first part of the research that was shortly mentioned in the previous section
includes the estimation of betas of each security by using 30 observations on rates
of return for 107 time periods (in our case weeks).

The range of estimated betas is between 0.7933 and 1.5578 with a standard
deviation of 0.1501 (see Table 1). Almost all of them are statistically significant at
95% level.

Table 1: Stock beta coefficient estimates (Time-series regression outputs)

Stock Stock
Beta Beta
Symbol Symbol
AXP 1.0044 GS 1.0841
MMM 0.9416 GOOG 0.8254
ADBE 0.9982 IBM 0.8975
AAPL 0.8602 ISRG 0.9846
BAC 1.2827 MA 0.9352
BA 0.8879 MCD 0.8984
CAT 0.9903 MSFT 0.9549
CSCO 0.9605 PCLN 0.9303
C 1.5578 PG 0.9946
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Gaziz Seilkhanov, 2009
CME 0.7933 SBUX 1.0649
KO 1.0371 JAVA 1.2944
CL 0.9641 SYMC 0.9746
DELL 1.0539 VFC 0.9964
ERTS 0.9735 WPO 1.0871
XOM 0.9350 YHOO 1.0682

In order to test the CAPM hypothesis, it is necessary to find the counterparts to the
theoretical values that must be used in the CAPM equation. In this study, the yield
on the 5-year US Treasury Note was used as a risk-free asset. According to
calculations, the average risk-free rate of return is (0.0026), whereas the average
difference between the return on market portfolio and the risk-free rate is 0.0004.

So, the second-pass regression, which is also called the cross-sectional regression
provided us with some interesting results (see Table 2).
Table 2. Result output from the cross-sectional regression
Coefficient γ0 γ1 γ2
Value 0.0131 -0.0112 0.2227
T-statistic 1.7203 -1.3576 0.9909
P-value 0.0968 0.1858 0.3305
Residual Standard Error: 0.0035 on 27 degree of freedom
Multiple R-Squared: 0.2595
F-statistic is 0.9750 on 2 and 27 degrees of freedom, p-value is 0.3901

In this estimation of results, it was mentioned that the CAPM’s prediction for γ0 is
that it should be equal to zero. The obtained value of intercept is not significantly
different from zero (because its t-statistic is not greater than 2). Therefore, based
on the intercept criterion only, the CAPM hypothesis cannot clearly be rejected.

As far as the slope is concerned, here the output is interesting. According to the
theory, the coefficient should be equivalent to the average difference between
market rate of return and risk-free rate. However, in the regression output we see
the another picture: slope is equal to (0.0112), and it differs from the hypothetical
difference, which was equal to 0.0004. Again, as in the intercept case, although it
indicates that CAPM have to be rejected, it can still be explained by the errors in
choosing the stocks of companies. For this model, the most high-priced and the
most low-priced stocks were chosen. In addition, only a few stocks were riskier than
the market itself, indicating that there are some choice errors.

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Gaziz Seilkhanov, 2009
The next stage in this research is to check, whether there is a difference in
variances of independent variable (i.e. test for heteroscedasticity). In order to do so,
a regression was run between average portfolio returns, calculated portfolio betas,
calculated variances of portfolio residuals, squares of betas and variances, and the
product of two regressors: beta and variance of residuals.

Results show that the intercept (0.000047) was lower than the risk-free interest rate
(0.0026), gamma-one was negative and very insignificantly different from zero. The
overall output is illustrated in the table 3.
Table 3. Result output from the regression testing for heteroscedasticity
Coefficie γ0 γ1 γ2 γ3 γ4 γ5
nts
Value 4.65332E- - 0.0215 3.04091E- 0.2999 -0.0192
T-statistic 05 7.58305E- 0.9159 05 0.6028 -0.7048
P-value 0.1315 05 0.3688 0.0699 0.5523 0.4877
0.8965 -0.0972 0.9449
0.9234
Residual Standard Error: 2.10006E-05 on 24 degrees of freedom
Multiple R-squared: 0.4533
R-squared: 0.2054
F-statistic is 1.2411 on 5 and 24 degrees of freedom, p-value is 0.3211
N*R-squared = 30*0.2054 = 6.1631
Critical Chi-square value: 11.0705 for 5% level of significance

Based on the obtained results, test can be checked easily: the product of R-squared
and the number of variables is going to exceed the critical chi-square value, if there
is a heteroscedasticity. But the multiplication is less than the critical value, so it is
clear that the model is homoscedastic.
While testing for autocorrelation, the Durbin-Watson d-statistic was used as the
approach. For this method, the residuals of the second-pass regression are required
to maintain the calculations.
The d-statistic is calculated as follows:

As a result of all calculations, the estimated d-statistic was equivalent to 9.11249E-

05. The critical lower d-statistic is 1.284 at 5% level of significance, and the critical
upper d-statistic is 1.567 at the same level of significance. The estimate is lower

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Gaziz Seilkhanov, 2009
than the critical lower d-statistic, which indicates that there exists a positive
autocorrelation. For all the calculations and details, please, see the appendix.

The information that there is a positive autocorrelation implies that the model
consists of the variables that have the correlation ordered in time. It is obvious,
because this model is all about the checking CAPM, which is primarily devoted to
finding rates of return of the particular risky asset, given the market portfolio. It is
unavoidable that the prices and eventually the rates of return are established not
only as a result of some external factors, but also as a result of time and history. So,
the historical data are quite significant in forecasting the future prices.

Section 5. Concluding Remarks

The research paper examined the validity of the CAPM, and made the statement
whether this model provides with an accurate results. The study used weekly stock
prices of 30 companies listed on the S&P 500 stock index from November 1, 2007
till November 9, 2009.

The model explains the excess returns. The results obtained provide a sufficient
evidence to claim that the linear structure of the CAPM equation is a good
explanation of security returns. However, there should be done additional
manipulation with the data in order to diversify away the firm-specific risks, such as
constructing different portfolios, so as to get rid of sample selection bias. The model
thereby implies that there are some errors in variables (such as firm selection bias)
and the positive autocorrelation between the residual variance and true betas. This
leads to a conclusion that the best alternatives are encouraged to be used for the
same analysis (such as APT, etc.). In addition, the performance of firms also should
be evaluated for the accuracy of the predictions.

Used Literature

Damodar N. Gujarati, 2003. Basic Econometrics, 4th Ed. United States Military
Academy, West Point.
Aswath Damodaran, 2002. Investment Valuation, 2nd Ed.
Bodie, Kane, Marcus, 2001. Investments, 5th Ed. McGraw-Hill Primis.

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Gaziz Seilkhanov, 2009
Grigoris Michilidis, Stavros Tsopoglou, Demetrios Papanastasiou, Eleni Mariola,
2006. Testing the Capital Asset Pricing Model (CAPM): The Case of the Emerging
Greek Securities Market. International Research Journal of Finance and Economics,
Issue 4 (2006).
Peter Bossaerts, 2003. Testing CAPM in Real Markets: Implications from
Experiments. California Institute of Technology and CEPR.
Elmar Mertens, 2002. The CAPM and Regression Tests. University of Basel.
Karl B. Diether, 2006. Testing the CAPM. Fischer College of Business.
Brealey, Myers, 2003. Principles of Corporate Finance, 7th Ed. McGraw-Hill Comp.
Bradfield, D., 2003. Investment Basics XLVI. On the estimating the beta coefficient.
Investment Analysts Journal, No. 57, 2003.
Fischer Black, Noise. The Journal of Finance, Vol. 41, No. 3, 1985, pp.529-543
Karim Gulamhusein, 2009, Financial Economics Lecture Notes.

Appendix

Realized Rates of Return for 30 stocks, 1 risk-free asset, and S&P 500
Date AXP MMM ADBE AAPL BAC BA CAT CSCO C CME KO CL DELL
- -
9-Nov- 0.0843 0.0253 0.0520 0.0617 0.0201 0.0204 0.0046 0.0024 0.0232 0.0361 0.0202 0.0363
09 86 28 0.05368 22 94 29 86 2 6 86 53 83 39
-
2-Nov- 0.0680 0.0250 0.05191 0.0309 0.0322 0.0485 0.0461 0.0442 0.0073 0.0132 0.0221 0.0157 0.0283
09 25 1 3 81 36 44 31 79 3 51 35 7 74
- - - - - - - -
26-Oct- 0.0075 0.0546 0.0757 0.1011 0.0418 0.0562 0.0829 0.0542 0.0013 0.0117 0.0665
09 19 1 -0.0529 1 1 6 -0.0441 7 6 3 15 09 4
- - - - -
19-Oct- 0.0105 0.0236 - 0.0844 0.0602 0.0631 0.0062 0.0283 0.0226 0.0321 0.0139 0.0130
09 9 78 0.02495 99 5 -0.0622 23 45 2 94 8 6 89
- - - - -
12-Oct- 0.0002 0.0172 0.02973 0.0127 0.0137 0.0095 0.0174 0.0004 0.0086 0.0614 0.0065 0.0070 0.0335
09 86 62 4 1 1 73 65 2 4 78 87 27 2
5-Oct- 0.0754 0.0389 0.07078 0.0301 0.0709 0.0251 0.0983 0.0599 0.0243 0.0066 0.0144 0.0243 0.0511
09 08 27 8 24 91 23 91 91 36 6 79 42 97

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Gaziz Seilkhanov, 2009
 - - - - - - -
28-Sep- 0.0121 0.0253 0.00999 0.0138 0.0156 0.0023 0.0462 0.0022 0.0319 0.0023 0.0169 0.0044 0.0195
09 6 4 1 73 6 5 3 1 63 2 91 7 6
- - - - - - - - - -
21-Sep- 0.0491 0.0109 - 0.0143 0.0584 0.0283 0.0416 0.0333 0.0281 0.0346 0.0146 0.0051 0.0808
09 5 9 0.02792 2 2 5 7 3 69 4 9 53 9
-
14-Sep- 0.0176 0.0083 - 0.0746 0.0388 0.0326 0.1008 0.0134 0.0759 0.1062 0.0436 0.0116 0.0054
09 52 78 0.04906 98 92 13 72 26 2 99 81 29 22
- -
8-Sep- 0.0404 0.0371 0.08112 0.0108 0.0070 0.0447 0.0524 0.0572 0.0494 0.0201 0.0395 0.0584 0.0579
09 04 41 3 63 2 45 25 34 8 97 56 32 99
- - - - - - - - - -
31-Aug- 0.0408 0.0079 0.01008 0.0015 0.0489 0.0369 0.0127 0.0072 0.0726 0.0528 0.0182 0.0230 0.0150
09 1 3 5 29 7 6 2 7 6 5 9 8 7
- - - -
24-Aug- 0.0422 0.0099 0.0049 0.0297 0.1126 0.0125 0.0085 0.1127 0.0342 0.0171 - 0.0993
09 28 1 -0.0338 05 99 02 6 6 66 97 7 0.0055 79
-
17-Aug- 0.0358 0.0259 0.01766 0.0146 0.0040 0.0222 0.0282 0.0412 0.1633 0.0174 0.0297 0.0196 0.0204
09 16 89 3 3 28 57 46 95 66 4 42 22 23
- - - - - - -
10-Aug- 0.0298 0.0216 0.0076 0.0591 0.0388 0.0373 0.0396 0.0493 0.0172 0.0175 0.0103 0.0757
09 3 9 -0.0286 73 1 9 1 6 51 8 7 37 58
- - -
3-Aug- 0.1540 0.0337 0.02467 0.0129 0.1102 0.0985 0.0845 0.0081 0.2145 0.0256 0.0101 0.0197 0.0134
09 1 09 6 75 84 05 91 78 11 09 1 1 5
- - -
27-Jul- 0.0398 0.0158 - 0.0212 0.0127 0.0489 0.0059 0.1611 0.0294 0.0098 0.0353 0.0088
09 6 15 0.00644 51 0.1824 4 21 41 72 78 04 5 9
- -
20-Jul- 0.0527 0.1034 0.05190 0.0243 0.2355 0.0667 0.0960 - 0.0190 0.0276 0.0655
09 26 26 2 0.0543 -0.0295 78 56 97 3 0.0135 3 59 09
13-Jul- 0.2069 0.0522 0.12472 0.0955 0.0850 0.0431 0.1276 0.1183 0.1660 0.0431 0.0415 0.0320 -
09 26 24 8 1 88 54 31 21 23 96 28 98 0.0416
- - - - - - - - - -
0.0428 0.0075 - 0.0107 0.0601 0.0289 0.0382 0.0086 0.1006 0.1269 0.0115 0.0117 0.0192
6-Jul-09 89 2 0.00217 1 7 3 4 5 9 6 5 9 75
- - - - - -
29-Jun- 0.0558 0.0166 - 0.0169 0.0086 0.0250 0.0817 0.0216 - - 0.0155 0.0045 -
09 4 58 0.01286 9 3 5 4 8 0.0495 0.0504 01 11 0.0519
- - - - - - - -
22-Jun- 0.0357 0.0018 - 0.0212 0.0355 0.1354 0.0272 0.0005 0.0441 0.0308 0.0138 0.0167 0.0293
09 6 7 0.04535 22 8 1 81 3 6 7 4 72 45
- - - - - - - - - -
15-Jun- 0.0205 0.0267 0.0183 0.0364 0.1081 0.0497 0.0864 0.0392 0.0016 0.0113 0.0074
09 3 5 -0.0272 25 7 -0.0584 4 2 6 1 5 4 7
- - - -
0.0085 0.0009 0.0532 0.1569 0.0228 0.0193 0.0020 0.0028 0.0214 0.0026 0.0068 0.1084
8-Jun-09 26 92 0.00567 2 62 3 5 13 9 53 7 49 44
-
0.0040 0.0672 0.06387 0.0652 0.0533 0.1737 0.0848 0.0740 0.0698 0.0412 0.0055 0.0750 0.0440
1-Jun-09 77 08 5 38 33 06 43 54 9 95 84 12 8
26-May- 0.0619 0.0185 0.06419 0.1086 0.0445 0.0335 0.0335 0.0136 0.0967 0.0393 0.0287 0.0663
09 05 05 9 53 0.0181 92 91 2 24 66 38 2 59
- - - - - -
18-May- 0.0342 0.0235 0.02160 0.0006 0.0375 0.0014 0.0399 0.0011 0.0545 0.0575 0.0520 0.0097 0.0118
09 8 1 5 53 59 2 5 2 98 64 13 2 4
- - - - - - -
11-May- 0.1469 0.0361 0.2473 0.0617 0.0985 0.0432 0.1343 0.1165 0.0476 0.0157
09 3 9 0.01967 -0.0524 5 8 3 5 3 35 19 0.027 26
- -
4-May- 0.1693 0.0382 - 0.0153 0.6283 0.1230 0.0640 0.0434 0.3535 0.1157 0.0105 0.0069 0.0877
09 08 72 0.07429 25 08 35 57 1 35 64 34 2 6
- - - -
27-Apr- 0.0400 0.0153 0.03936 0.0269 0.0642 0.1079 0.0629 0.0689 0.0717 0.0073 0.0377 0.0723
09 3 3 4 57 -0.044 76 77 75 7 8 7 91 98
- - - -
20-Apr- 0.1602 0.0592 0.06963 0.0038 0.1408 0.0104 0.0413 0.0239 0.1260 0.0100 0.0496 0.0201 -
09 42 9 6 89 3 67 77 02 3 6 8 1 0.0009
- -
13-Apr- 0.1581 0.0128 - 0.0321 0.1090 0.0210 0.0057 0.0095 0.2006 0.0794 0.0006 0.0170 0.0278
09 5 13 0.00684 99 15 2 18 4 58 4 78 42 81
- -
6-Apr- 0.2286 0.0194 0.02938 0.0308 0.2569 0.0384 0.0115 0.0187 0.0666 0.0078 0.0004 0.0106 0.0426
09 85 97 7 65 17 72 68 2 67 37 52 2 36
-
30-Mar- 0.0745 0.0355 0.10622 0.0855 0.0354 0.0043 0.0592 0.0713 0.0877 0.0466 0.0029 0.0155 0.0371
09 74 34 7 4 71 85 24 86 86 59 3 82 86
23-Mar- 0.1792 0.0957 0.06744 0.0517 0.1860 0.1529 0.1213 0.0653 0.0693 0.0577 0.0070
09 29 96 9 77 84 23 74 68 0 79 01 0.0373 85
- - - -
16-Mar- 0.0635 0.0431 0.09528 0.0590 0.0747 0.0252 0.0108 0.0257 0.4719 0.1537 0.0345 0.0042 0.0544
09 3 8 9 01 83 5 02 9 1 91 34 4 29
9-Mar- 0.1474 0.08857 0.1246 0.8312 0.1093 0.1525 0.0937 0.7281 0.0860 0.0654 0.1194
09 0.275 37 8 19 1 27 12 94 55 54 4 0.028 74
- - - - - - - - - -
2-Mar- 0.1489 0.0797 0.02754 0.2010 0.0425 0.0558 0.0267 0.3133 0.0066 0.0430 0.0687 0.0187
09 4 9 5 -0.0449 2 3 4 7 3 16 1 4 6
- - - - - - -
23-Feb- 0.0704 0.0378 - 0.0207 0.0424 0.1339 0.0338 0.2307 0.0031 0.0462 0.0118 0.0142
09 1 5 0.07428 2 4 9 -0.0771 2 7 23 9 21 69
- - - - - - - - - - - -
17-Feb- 0.1754 0.0334 - 0.0802 0.3207 0.1031 0.1382 0.0633 0.4412 0.0461 0.0229 0.0577 0.0778
09 7 6 0.14502 7 2 5 3 5 6 8 7 9 5
- - - - - - - - -
9-Feb- - 0.0568 - 0.0056 0.0901 0.0567 0.0704 0.0551 0.1074 0.0086 0.0068 0.0384 0.0359
09 0.1225 5 0.02765 2 6 9 5 6 2 39 43 9 4
- -
2-Feb- 0.0717 0.0259 0.1064 0.0245 0.0790 0.1382 0.1014 0.0867 0.0194 0.0095 0.0042
09 79 7 0.12377 02 -0.0687 52 35 77 08 69 85 58 1

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Gaziz Seilkhanov, 2009
 - -
26-Jan- 0.0455 0.0168 0.0200 0.0547 0.0079 0.1349 - 0.0260 0.0306 0.0121 0.0543 0.0631
09 42 93 -0.0198 32 5 19 9 0.0579 12 51 74 53 2
- - - - - - - - -
20-Jan- 0.0591 0.0624 - 0.0732 0.1314 0.0112 0.0982 0.0044 - 0.0330 0.0372 0.0230 0.0126
09 4 4 0.06458 42 7 6 2 25 0.0086 1 7 8 6
- - - - - - - - - - - -
12-Jan- 0.1153 0.0227 - 0.0910 0.4474 0.0448 0.0746 0.0526 0.4814 0.0729 0.0170 0.0210 0.0764
09 2 7 0.12287 8 5 7 9 9 3 5 5 1 4
- - - - - - - - -
0.0032 0.0246 0.04300 0.0018 0.0176 0.0790 0.0153 0.0547 0.1145 0.0284 0.0637 0.0344
5-Jan-09 14 4 6 7 -0.0932 8 3 3 8 4 3 6 19
29-Dec- 0.0791 0.0619 0.0575 0.0729 0.1166 0.0980 0.0424 0.0611 0.1674 0.0179 0.0093
08 91 13 0.09203 69 32 37 2 09 03 74 0.0295 19 9
- - - - - - - -
22-Dec- 0.0783 0.0154 - 0.0465 0.0320 0.0173 0.0007 0.0222 0.0414 - 0.0034 0.0478 0.0396
08 2 2 0.04745 6 2 8 34 4 3 0.1461 69 07 8
- - - - - -
15-Dec- 0.0447 0.0102 - 0.0841 0.0759 0.0522 0.0143 - 0.0885 0.0140 0.0032 0.0974 0.0339
08 8 64 0.01337 6 9 13 92 0.0206 4 82 3 89 7
- - - - - -
8-Dec- 0.0660 0.0636 0.03554 0.0454 0.0204 0.0084 0.0998 0.0658 - 0.0871 0.0306 0.0600 0.0718
08 6 7 9 26 2 1 91 72 0.0013 39 1 6 95
- - - - - - - - - -
1-Dec- - 0.1057 - 0.0143 0.0404 0.0726 0.0667 0.0362 0.0701 0.0819 0.0188 0.0316 0.0411
08 0.0653 4 0.06477 52 6 3 3 8 3 7 6 8 8
24-Nov- 0.2470 0.0918 0.08325 0.1221 0.4162 0.0769 0.1825 0.0903 1.1994 0.2057 0.0741 0.0386 0.2010
08 91 23 5 85 94 03 3 1 68 34 87 32 75
- - - - - - - - - - -
17-Nov- 0.0652 0.0200 - 0.0848 0.3014 0.0354 0.0621 0.0872 0.6042 0.1590 0.0225 0.0094 0.1460
08 5 3 0.04297 8 4 4 5 4 1 5 6 18 1
- - - - - - - - - -
10-Nov- 0.2102 0.0273 0.0814 0.1190 0.0385 0.0546 0.1942 - 0.0266 0.0151 0.1322
08 2 1 -0.0915 3 -0.1985 9 7 1 3 0.2231 6 3 7
- - - - - -
3-Nov- 0.0794 0.0082 - 0.1521 0.1046 0.0065 0.0106 0.1343 0.0464 0.0496 0.0040 0.0286
08 4 13 0.07695 -0.0869 5 3 61 9 6 2 24 85 89
27-Oct- 0.1433 0.0786 0.11511 0.1163 0.1472 0.1587 0.1470 0.0895 0.1387 0.1232 0.0590 0.1219 0.0608
08 49 87 1 1 45 23 68 16 96 13 29 07 7
- - - - - - - -
20-Oct- 0.0310 0.0551 - 0.0104 0.0936 0.0155 0.1532 0.0893 0.1841 0.3121 0.0586 0.0947 -
08 7 69 0.15224 7 8 08 1 4 7 6 2 6 0.1181
- -
13-Oct- 0.0076 0.0412 0.03908 0.0061 0.1136 0.0655 0.0789 0.0394 0.0546 0.0649 0.0237 0.0188
08 03 21 6 98 81 98 9 66 76 -0.071 19 85 1
- - - - - - - - - -
6-Oct- 0.2501 0.1601 - 0.0027 0.2234 0.1577 0.1891 0.2311 0.0850 0.2105 0.1953 0.1285
08 7 2 0.19501 8 -0.3947 1 8 8 9 65 3 5 2
- - - - - - - - - - -
29-Sep- 0.2144 0.0697 - 0.2430 0.0604 0.0769 0.2014 0.1078 0.0891 0.0919 0.0017 0.0203 0.1029
08 4 8 0.15754 6 5 9 8 9 7 9 77 6 4
- - - - - - - - -
22-Sep- 0.0221 0.0444 0.0899 0.0208 0.0355 0.0193 0.0245 0.0148 0.0045 0.0178 0.0222
08 5 5 -0.0232 2 3 -0.024 3 5 7 1 2 57 49
- - - - -
15-Sep- 0.0371 0.0360 0.01161 0.0539 0.1108 0.0560 0.0157 0.0353 0.1497 0.1562 0.0327 0.0534 0.1265
08 36 15 4 1 07 5 91 79 18 55 1 2 8
- - - -
8-Sep- 0.0113 0.0139 - 0.0701 0.0468 0.0064 0.0215 0.0539 0.0580 0.0685 0.0568 0.0377 0.0671
08 6 18 0.01076 7 45 9 64 08 1 94 73 61 2
- - - - - - - - -
2-Sep- 0.0070 0.0336 - 0.0551 0.0558 0.0407 0.0940 0.0744 0.0042 0.0192 0.0026 0.0137 0.0607
08 8 9 0.04483 5 55 1 9 3 76 3 1 1 5
- - - - - -
25-Aug- 0.0093 - 0.0410 0.0305 0.0001 0.0066 0.0267 0.0470 0.0610 0.0424 - 0.1400
08 0.0228 1 0.04631 7 13 6 05 1 06 2 2 0.0159 9
- - - - - - -
18-Aug- 0.0071 0.0096 - 0.0059 0.0170 0.0080 0.0224 0.0013 0.0125 0.0147 0.0083
08 9 5 0.00443 75 -0.0157 51 -0.0012 3 3 7 1 4 8
- - - - -
11-Aug- 0.0124 0.0001 - 0.0365 0.0480 0.0501 0.0077 0.0272 0.0429 0.0454 0.0062 0.0018
08 02 42 0.00089 08 8 3 4 16 3 22 2 46 0.0024
-
4-Aug- 0.0158 0.0475 0.09534 0.0822 0.0323 0.1010 0.0405 0.1027 0.0274 0.0276 0.0426 0.0514 0.0241
08 86 69 2 8 8 53 57 74 34 12 16 35 7
- - - - - - -
28-Jul- 0.1370 0.0113 0.00782 0.0336 0.1268 0.0285 0.0332 0.0196 0.0180 0.0973 0.0208 0.0757 0.0400
08 8 2 4 8 15 4 2 2 72 1 5 64 51
- - - -
21-Jul- 0.0638 0.0291 - 0.0183 0.0758 0.0632 0.0355 0.0256 0.1086 0.0404 0.0111 0.0313
08 67 94 0.02573 5 38 1 -0.0058 49 1 9 67 6 7
- - - -
14-Jul- 0.0175 0.0031 0.06982 0.0430 0.2688 0.0767 0.0215 0.0073 0.1951 0.0854 0.0047 - 0.0860
08 4 87 7 5 59 18 84 3 53 07 7 0.0051 6
- - - - - - - - - -
0.0605 0.0106 - 0.0144 0.0327 0.0184 0.0072 0.0562 0.0374 0.1137 0.0235 0.0165 0.0219
7-Jul-08 19 6 0.02847 6 4 6 4 3 5 3 2 3 2
- - - - - - - - -
30-Jun- 0.0753 0.0007 0.01482 0.0001 0.0890 0.0365 0.0466 0.0207 0.0251 0.1121 0.0068 0.0313 0.0251
08 4 5 4 76 5 1 1 5 3 2 5 5 69
- - - - - - - - - -
23-Jun- 0.0696 0.0479 0.0295 0.0927 0.0673 - 0.1059 0.0926 0.0340 0.0199 0.0491
08 4 9 -0.0185 5 7 -0.1175 6 0.0418 4 3 3 9 5
- - - - - - - -
16-Jun- 0.0170 0.0408 - 0.0168 0.0900 0.0093 0.0296 - 0.0574 0.0346 0.0316 0.0504 0.0417
08 6 2 0.05057 24 5 93 8 0.0656 9 18 4 2 7
- - - -
0.0168 0.00969 0.0714 0.0233 0.0267 0.0188 0.0064 0.0205 0.0704 0.0003 0.0084 0.0286
9-Jun-08 -0.024 55 3 8 6 74 35 1 87 42 8 26 44
- - - - - - - -
0.0151 0.0348 - 0.0164 0.0857 0.1160 0.0067 0.0834 0.0966 - 0.0224 0.0294
2-Jun-08 45 2 0.03995 8 4 5 -0.0321 4 9 5 0.0255 8 88

13
Gaziz Seilkhanov, 2009
 - - -
27-May- 0.0671 0.0231 0.06812 0.0418 0.0025 0.0157 0.0134 0.0645 0.0366 0.0578 0.0232 0.0307 0.0882
08 6 09 1 39 19 68 01 42 75 2 9 96 49
- - - - - - - - - - -
19-May- 0.0089 0.0300 0.0343 0.0620 0.0432 0.0257 0.0531 0.0866 0.0445 0.0274 0.0050 0.0056
08 3 2 -0.0239 8 2 8 3 9 5 7 3 1 3
- - -
12-May- 0.0208 0.0306 0.05941 0.0227 0.0131 0.0131 0.0237 0.0400 0.0218 0.0354 0.0162 0.0182 0.1198
08 6 66 3 31 2 55 48 16 4 27 77 24 11
- - - - - - - - -
5-May- 0.0507 0.0283 - 0.0138 0.0789 0.0144 0.0125 - 0.1044 0.0528 0.0445 0.0335 0.0150
08 31 3 0.01213 72 3 5 6 0.0471 6 1 1 4 1
- -
28-Apr- 0.0616 0.0093 0.09460 0.0660 0.0387 0.0101 0.0067 0.0449 0.0047 0.0134 0.0095 0.0319 0.0109
08 13 05 6 46 62 02 08 22 17 92 6 2 89
- - - - - - -
21-Apr- 0.0410 0.0612 0.01709 0.0539 0.0066 0.0785 0.0354 0.0444 0.0595 0.0453 0.0129 0.0117 0.0184
08 71 7 4 62 5 58 6 72 59 3 3 3 9
- - -
14-Apr- 0.0687 0.0564 0.0944 0.0439 0.0234 0.1451 0.0483 0.0747 0.0303 0.0029 0.0076 0.0524
08 6 4 0.00806 68 56 03 98 32 54 44 6 3 32
- - - - - - - -
7-Apr- 0.0770 0.0254 - 0.0626 0.0159 0.0388 0.0414 0.0299 0.0425 0.0006 0.0112 0.0527
08 65 2 0.02678 -0.0388 2 44 9 1 6 1 97 4 4
- - -
31-Mar- 0.0659 0.0329 0.04641 0.0704 0.0350 0.0296 0.0096 0.0128 0.1561 0.0653 0.0113 0.0098 0.0040
08 3 88 9 15 73 66 79 74 24 1 8 85 8
- - - - - -
24-Mar- 0.1655 0.02554 0.0730 0.0905 0.0178 0.0441 0.0278 0.0743 0.0154 0.0015 0.0079 0.0199
08 33 -0.0004 4 85 8 2 81 6 5 65 5 44 9
- - -
17-Mar- 0.0058 0.05642 0.0526 0.1730 0.0187 0.0129 0.0185 0.1380 0.0289 0.0609 0.0160 0.0314
08 -0.045 21 4 02 02 4 7 03 22 2 93 05 43
- - - - -
10-Mar- 0.0151 0.0133 0.00184 0.0356 0.0048 0.0709 0.0087 0.0540 0.0109 0.0161 0.0185 0.0025
08 7 06 3 65 -0.0285 3 71 1 3 1 7 31 84
- - - - - - - - -
3-Mar- - - 0.0221 0.0601 0.0747 0.0344 0.0114 0.1182 0.0405 0.0066 0.0157 0.0276
08 0.0643 -0.0241 0.03269 6 3 6 8 8 2 1 92 7 4
- - - - -
25-Feb- 0.0096 0.0159 - 0.0465 0.0670 0.0029 0.0161 0.0334 - 0.0224 0.0034 - 0.0184
08 6 4 0.04104 43 6 3 73 75 0.0562 8 48 0.0011 24
- - - - - - -
19-Feb- 0.0231 0.0027 0.01211 0.0414 0.0022 0.0252 0.0175 0.0128 0.0139 0.0035 0.0086 0.0113 0.0015
08 41 74 4 8 9 1 22 76 6 5 4 6 3
- - - -
11-Feb- 0.0843 0.0177 0.04459 0.0067 0.0126 0.0737 0.0285 - 0.0212 0.0192 0.0082 0.0134 0.0061
08 4 47 2 7 22 53 22 0.0102 9 85 1 79 7
- - - - - - - - - - -
4-Feb- 0.0544 0.0326 - 0.0618 0.0636 0.0367 0.0521 0.0561 0.1232 0.1525 0.0001 0.0146 0.0442
08 47 4 0.03741 3 8 4 4 3 8 4 8 7 3
28-Jan- 0.1202 0.0753 - 0.0287 0.1405 0.0743 0.0884 0.0305 0.1274 - 0.0144 0.0227 0.0144
08 92 85 0.01033 67 78 96 4 79 82 0.0301 8 82 57
- - - - - - -
22-Jan- 0.0668 0.0080 - 0.1942 0.0975 0.0174 0.0495 0.0041 0.0895 0.1264 0.0382 0.0375 0.0483
08 9 36 0.01387 9 24 9 5 2 72 26 9 9 9
- - - - - - - - - - -
14-Jan- 0.1096 0.0344 - 0.0656 0.0657 0.0262 0.0430 0.0606 0.1440 0.0959 0.0474 0.0303 0.0154
08 3 4 0.07148 1 3 8 3 9 7 5 2 7 14
- - - - - - -
0.0259 0.0510 - 0.0408 0.0367 0.0095 0.0116 0.0061 0.0309 0.0079 0.0602
7-Jan-08 6 3 0.05723 8 -0.0338 -0.0617 6 7 15 8 4 86 1
- - - - - - - - - -
31-Dec- 0.0204 0.0392 - 0.0989 0.0303 0.0275 0.0522 0.0361 0.0893 0.0067 0.0005 0.1146
07 2 2 0.05986 8 9 9 -0.0633 5 1 7 9 33 3
- - - - - - - -
24-Dec- 0.0049 0.0110 0.01778 0.0305 0.0196 0.0091 0.0058 0.0363 0.0311 0.0397 0.0125 0.0001 0.0028
07 8 5 1 3 9 9 95 6 4 4 7 33 14
- - - - - -
17-Dec- 0.0847 0.0013 0.00166 0.0184 0.0056 0.0073 0.0090 0.0017 0.0151 0.0167 - 0.0237 0.0555
07 4 52 2 88 7 35 6 5 6 36 0.0116 9 79
- - - - - - - -
10-Dec- 0.0254 0.0030 - 0.0201 0.0706 0.0108 0.0437 0.1051 0.0112 0.0103 0.0105 0.0598
07 7 6 0.05094 2 2 -0.0509 4 16 5 5 8 11 3
- -
3-Dec- 0.0493 0.0352 0.05291 0.0662 0.0021 0.0067 0.0319 0.0203 0.0301 0.0748 0.0168 - 0.0215
07 36 66 9 93 5 79 02 4 78 19 54 0.0034 97
- - -
26-Nov- 0.0419 0.0061 0.00548 0.0622 0.0689 0.0334 0.0476 0.0233 0.0507 0.0310 0.0022 0.0136 0.0608
07 4 26 8 6 48 88 34 5 34 8 18 71 5
- - - - - - - -
19-Nov- 0.0337 0.0204 - 0.0309 0.0275 0.0050 0.0115 0.0417 0.0678 0.0214 0.0050 0.0025 0.0289
07 6 48 0.00664 51 6 8 8 5 3 5 9 28 9
- - -
12-Nov- 0.0088 0.0259 - 0.0061 0.0090 0.0138 0.0475 0.0271 0.0093 0.0295 0.0298 0.0146
07 1 22 0.02428 68 2 -0.0447 5 86 65 51 35 75 5
- - - - - - - - - -
5-Nov- 0.0588 0.0633 - 0.1197 0.0251 0.0328 0.0582 0.1208 0.1225 0.0046 0.0052 0.0239 0.0911
07 4 3 0.09691 6 6 6 1 9 5 9 71 97 8

Date ERTS XOM GS GOOG IBM ISRG MA MCD MSFT

-
9-Nov- 0.0442 0.0042 0.0289 0.0380 0.0286 0.0723 0.0301 0.0389
09 1 96 91 15 66 44 -0.0092 36 2
2-Nov- 0.0416 0.0126 0.0094 0.0279 0.0284 0.0391 0.0816 0.0530 0.0284
09 67 3 61 42 83 72 36 63 89
- - - - -
26-Oct- 0.0745 0.0317 0.0020 0.0631 0.0475 0.0103
09 8 -0.0257 -0.0565 3 86 7 7 -0.0138 5
14
Gaziz Seilkhanov, 2009
 - - -
19-Oct- 0.0413 0.0060 0.0217 0.0069 0.0105 0.0294 0.0272 0.0110 0.0573
09 4 52 5 84 7 8 03 58 58
- -
12-Oct- 0.0073 0.0556 0.0260 0.0650 0.0340 0.0056 0.0440 0.0366 0.0371
09 49 12 4 85 6 7 72 84 82
-
5-Oct- 0.1140 0.0404 0.0539 0.0653 0.0580 0.0073 0.0745 0.0001 0.0236
09 83 89 5 56 64 37 72 8 38
- - - - - - - -
28-Sep- 0.0585 0.0308 0.0006 0.0160 0.0170 0.0208 0.0244 0.0042 0.0230
09 8 9 13 4 1 2 9 1 9
- - - -
21-Sep- 0.0400 0.0200 0.0020 0.0083 0.0386 0.0843 0.0008 0.0114
09 86 -0.0184 9 75 9 41 8 8 81
14-Sep- 0.0291 0.0485 0.0409 0.0343 0.0312 0.0706 0.0479 0.0160
09 53 0 4 2 77 81 93 87 9
- -
8-Sep- 0.0178 0.0116 0.0719 0.0234 0.0049 0.0571 0.0133 0.0311 0.0097
09 3 31 76 99 6 21 56 7 48
- - - - - -
31-Aug- 0.0133 0.0133 0.0088 0.0074 0.0063 0.0111 0.0121 0.0012 0.0024
09 3 4 2 2 7 61 92 48 3
- - - - -
24-Aug- 0.0349 0.0027 0.0055 0.0010 0.0139 0.0253 0.0177 0.0051 0.0110
09 8 33 65 5 9 1 7 99 61
17-Aug- 0.0250 0.0069 0.0113 0.0111 0.0310 0.0229 0.0180 0.0360
09 -0.0869 66 59 91 83 1 18 69 78
- - - -
10-Aug- 0.0280 0.0120 0.0056 0.0063 0.0273 0.0084 0.0012 0.0055
09 06 9 3 44 -0.0064 8 7 79 48
-
3-Aug- 0.0130 0.0021 0.0317 0.0166 0.0122 0.0531 0.0025 0.0017
09 -0.0354 8 48 12 01 29 23 65 1
- - - -
27-Jul- 0.0146 0.0263 0.0085 0.0082 0.0024 0.0215 0.0461 0.0181 0.0030
09 5 2 8 2 88 25 88 7 02
- -
20-Jul- 0.0109 0.0550 0.0502 0.0382 0.0192 0.4306 0.0312 0.0303 0.0343
09 89 88 24 8 36 93 73 5 7
-
13-Jul- 0.0019 0.0522 0.1055 0.0382 0.1447 0.0907 0.1201 0.0137 0.0849
09 1 14 38 48 3 43 07 93 06
- - - - - - -
0.0200 0.0113 0.0144 0.0089 0.1015 0.0334 0.0070 0.0421
6-Jul-09 9 -0.0492 1 68 3 1 9 2 7
- - - - -
29-Jun- 0.0239 0.0080 0.0221 0.0395 0.0373 0.0063 0.0079 0.0008
09 23 6 3 7 4 2 -0.0156 65 61
- - -
22-Jun- 0.0086 0.0252 0.0124 0.0088 0.0468 0.0201 0.0300
09 87 -0.0282 07 5 -0.002 7 71 2 8
- - - - - - - -
15-Jun- 0.0551 0.0370 0.0172 0.0111 0.0214 0.0321 0.0341 0.0032 0.0318
09 8 3 7 8 5 9 8 8 97
- - -
0.0465 0.0110 0.0438 0.0090 0.0673 0.0252 0.0535
8-Jun-09 2 94 -0.0226 4 34 03 -0.0037 7 88
-
0.0004 0.0522 0.0307 0.0649 0.0091 0.0422 0.0490 0.0234 0.0601
1-Jun-09 35 4 08 28 16 9 3 52 83
26-May- 0.0497 0.0074 0.0602 0.0603 0.0430 0.0526 0.0472 0.0333 0.0575
09 72 98 68 05 86 02 99 21 36
- - - -
18-May- 0.0413 0.0039 0.0171 0.0089 0.0050 0.0514 0.0275 0.0677 0.0170
09 69 5 19 74 77 9 4 32 2
- - - - - - -
11-May- 0.0421 0.0181 0.0371 0.0425 0.0011 0.0557 0.0645 0.0264 0.0411
09 21 2 4 5 9 4 7 9 67
-
4-May- 0.0410 0.0984 0.0346 0.0247 0.1118 0.0704 0.0479 -
09 0.009 12 35 47 3 35 48 43 0.0405
- - -
27-Apr- 0.0015 0.0217 0.0476 0.0107 0.0452 0.0495 0.0350 0.0319
09 02 16 27 83 06 2 -0.0011 3 5
- - - -
20-Apr- 0.0725 0.0027 0.0058 0.0070 0.0117 0.1525 0.0614 0.0317 0.0890
09 03 5 32 1 2 89 9 4 88
- - - - - - -
13-Apr- 0.0543 0.0441 0.0299 0.0529 0.0041 0.1613 0.0544 0.0102 0.0241
09 4 7 8 93 9 51 8 3 8
- - - -
6-Apr- 0.0487 0.0085 0.0412 0.0073 0.0050 0.1603 0.0082 0.0005 0.0491
09 9 3 32 56 6 43 4 39 1
30-Mar- 0.1075 0.0065 0.1047 0.0635 0.0856 0.0032 0.0392 0.0295 0.0346
09 44 46 69 03 59 15 72 86 18
23-Mar- 0.0257 0.0588 0.1105 0.0531 0.0177 0.0292 0.0767 0.0340 0.0622
09 96 42 72 26 65 49 74 34 78
- - - -
16-Mar- 0.0259 0.0165 0.0149 0.0176 0.0238 0.0907 0.0175 0.0155 0.0249
09 01 1 5 93 02 5 4 34 24
9-Mar- 0.1600 0.0494 0.3060 0.0513 0.0529 0.0744 0.1114 0.0050 0.0894
09 26 44 17 66 61 6 24 74 04
- - - - - - - -
2-Mar- 0.0613 0.0569 0.1694 0.0870 0.0675 0.0986 0.0025 0.0538
09 1 7 4 4 7 0.0542 5 3 8
- - - - - -
23-Feb- 0.0042 0.0467 0.0767 0.0244 0.0364 0.1419 0.0001 0.0336 0.1028
09 7 3 31 2 45 7 27 7 7
- - - - - - - -
17-Feb- 0.0324 0.0450 0.1181 0.0537 0.0542 0.0240 0.0393 0.0506
09 9 4 5 -0.0314 3 4 3 9 9

15
Gaziz Seilkhanov, 2009
 - - - - - - -
9-Feb- 0.1246 0.0715 0.0012 0.0366 0.0239 0.0220 0.0285
09 1 9 6 3 5 7 -0.0037 -0.0281 1
2-Feb- 0.2525 0.0557 0.1962 0.0967 0.0546 0.1103 0.1967 0.0074 0.1495
09 91 86 21 42 41 36 81 31 83
- - -
26-Jan- 0.0890 0.0200 0.0776 0.0425 0.0241 0.1065 0.0823 0.0059
09 9 6 8 93 62 49 14 0 2
- - - - -
20-Jan- 0.0330 0.0006 0.0254 0.0835 0.0538 0.0668 0.0215 0.0275 -
09 9 6 46 25 07 2 8 3 0.1272
- - - - - -
12-Jan- 0.0146 0.0067 0.1295 0.0488 0.0026 0.0179 0.1454 0.0066 0.0093
09 1 26 3 8 49 8 1 7 95
- - - - - -
0.0200 0.0497 0.0327 0.0194 0.0305 0.2311 0.0026 0.0578 -
5-Jan-09 69 6 2 5 9 8 13 1 0.0396
29-Dec- 0.1383 0.0576 0.1420 0.0697 0.0742 0.0871 0.0628 0.0440 0.0628
08 81 62 21 83 41 1 03 48 66
- - - - -
22-Dec- 0.1190 0.0289 0.0589 0.0316 0.0262 0.0295 0.0122 0.0005
08 3 14 4 3 5 6 -0.0749 53 33
- - - -
15-Dec- 0.0223 0.0675 0.1917 0.0161 0.0660 0.0975 0.0044 0.0126
08 4 3 97 -0.0177 31 1 27 1 3
- - - - - -
8-Dec- 0.1486 0.0502 0.0421 0.1118 0.0199 0.0224 0.0093 0.0338 0.0256
08 5 2 4 7 97 1 8 8 4
- - - - - -
1-Dec- 0.0482 0.0442 0.1047 0.0306 0.0123 0.0371 0.0356 0.0674 0.0171
08 69 9 4 2 7 99 4 47 4
24-Nov- 0.0100 0.0572 0.4817 0.1163 0.0897 0.1206 0.1482 0.0747 0.0274
08 69 2 13 36 7 66 16 42 47
- - - - - - - -
17-Nov- 0.0768 0.0290 0.2010 0.1535 0.0679 0.2031 0.1192 0.0173 0.0122
08 1 24 6 1 3 5 9 5 8
- - - - - - -
10-Nov- 0.1324 0.0037 0.0637 0.0688 0.1866 0.0273 0.0117 0.0672
08 3 4 -0.1421 8 1 6 8 63 7
- - - - - -
3-Nov- 0.0342 0.0034 0.1591 0.0785 0.0668 0.0560 0.0006 0.0423 0.0372
08 41 71 3 3 6 22 1 7 1
- -
27-Oct- 0.0803 0.0736 0.0786 0.0591 0.1327 0.0889 0.1316 0.0917 0.0168
08 4 32 9 53 17 21 84 43 15
- - - - - -
20-Oct- 0.1685 0.0146 0.1189 0.0892 0.0959 0.1667 0.0136 -
08 1 7 7 5 2 -0.161 1 7 0.0823
13-Oct- 0.0643 0.0910 0.2872 0.1221 0.0806 0.0332 0.0083 0.1130
08 09 89 3 08 0.0346 81 05 48 73
- - - - - - - -
6-Oct- 0.1435 0.1998 0.3062 0.1419 0.1517 0.2245 0.1141 0.1831
08 1 9 9 2 1 9 -0.0521 9 6
- - - - - - -
29-Sep- 0.1753 0.0336 0.1023 0.1338 0.1343 0.0470 0.0393
08 7 8 -0.0724 8 1 -0.1793 8 3 1
- - - - -
22-Sep- 0.0872 0.0130 0.0630 0.0403 0.0047 0.0540 0.1781 0.0121 0.0888
08 9 54 76 2 46 1 2 4 71
- - - -
15-Sep- 0.0273 0.1582 0.0262 0.0009 0.0450 0.0061 0.0012 0.0887
08 -0.0349 54 9 53 5 05 04 9 8
- - -
8-Sep- 0.0320 0.0247 0.0553 0.0148 0.0405 0.0347 0.0107 0.0623
08 6 65 1 3 49 02 05 5 0.0768
- - - - - - -
2-Sep- 0.0477 0.0547 0.0044 0.0607 0.0894 0.0870 0.0601
08 4 9 5 -0.0411 5 4 1 -0.0274 5
- - - - -
25-Aug- 0.0221 0.0037 0.0260 0.0556 0.0256 0.0265 0.0037 0.0164 -
08 99 2 6 5 2 4 41 3 0.0199
- - - - -
18-Aug- 0.0101 0.0419 0.0206 0.0383 0.0113 0.0138 0.0112 0.0032 0.0051
08 6 23 8 4 6 72 66 8 85
- - - -
11-Aug- 0.0340 0.0725 0.0305 0.0190 0.0294 0.0293 0.0113
08 84 -0.0159 6 85 3 9 81 -0.0311 5
- - -
4-Aug- 0.0874 0.0125 0.0332 0.0580 0.0211 0.0260 0.0216 0.0986 0.1056
08 13 8 4 3 4 63 3 75 68
- - - - - - -
28-Jul- 0.1011 0.0241 0.0187 0.0490 0.0147 0.0671 0.0997 0.0191 0.0275
08 9 8 17 3 4 9 4 9 6
- - - - -
21-Jul- 0.0150 0.0019 0.0209 0.0221 0.0104 0.1163 0.0616 0.0296 0.0115
08 6 03 9 47 6 99 2 6 49
-
14-Jul- 0.0988 0.1252 0.0983 0.0636 0.0685 0.0913 0.0543 0.0240
08 66 -0.0461 81 1 59 61 31 54 62
- - - -
0.0027 0.0316 0.0917 0.0059 0.0215 0.0784 0.0148 0.0023 0.0277
7-Jul-08 29 3 1 6 33 53 14 69 6
- -
30-Jun- 0.0009 0.0199 0.0248 0.0169 0.0661 0.0121 0.0600
08 1 57 36 11 -0.0042 -0.0714 7 73 1
- - - - - -
23-Jun- 0.0639 0.0192 0.0501 0.0457 0.0432 0.0156 0.0211
08 1 45 1 -0.0336 -0.0219 3 8 1 6
- - - - -
16-Jun- 0.0010 0.0389 0.0306 0.0438 0.0053 0.0288 0.0425 -
08 6 8 93 8 -0.0271 74 7 9 0.0287

16
Gaziz Seilkhanov, 2009
 - -
0.0117 0.0181 0.0522 0.0079 0.0097 0.0003 0.0110 0.0526 0.0573
9-Jun-08 8 15 5 54 25 2 8 99 25
- - - - - - - - -
0.0527 0.0222 0.0395 0.0320 0.0346 0.0431 0.0418 0.0337 0.0294
2-Jun-08 9 6 4 9 9 9 4 7 5
-
27-May- 0.0384 0.0213 0.0218 0.0756 0.0421 0.0309 0.1296 0.0276 0.0099
08 77 3 77 12 16 72 67 16 16
- - - - - - -
19-May- 0.0213 0.0774 0.0611 0.0283 0.0499 0.0359 0.0462 -
08 -0.0254 2 7 1 6 7 2 7 0.0649
- - -
12-May- 0.0572 0.0433 0.0050 0.0119 0.0302 0.0368 0.0120 0.0217 0.0242
08 1 16 7 85 93 38 2 78 7
- - - - - -
5-May- 0.0105 0.0044 0.0608 0.0139 0.0113 0.0032 0.0063 0.0280 0.0049
08 3 1 3 2 31 1 47 5 49
- -
28-Apr- 0.0318 0.0307 0.0430 0.0684 0.0007 0.0366 0.2007 0.0214 0.0197
08 26 9 97 3 56 36 2 45 5
- - - - -
21-Apr- 0.0092 0.0163 0.0690 0.0086 0.0105 0.0302 0.0157 0.0233 0.0055
08 3 6 82 21 6 3 39 86 1
-
14-Apr- 0.0358 0.0607 0.0754 0.1791 0.0723 0.1351 0.0223 0.0524 0.0606
08 49 27 5 67 71 4 79 42 73
- - - - - -
7-Apr- 0.0333 0.0461 0.0289 0.0020 0.0143 0.0095 0.0058 0.0301
08 1 -0.0014 6 5 54 6 88 3 3
31-Mar- 0.0526 0.0413 0.0665 0.0753 0.0103 0.0487 0.0412 0.0043 0.0448
08 96 26 51 52 77 43 26 48 15
- - -
24-Mar- 0.0181 0.0025 0.0844 0.0104 0.0317 0.0732 0.0194 0.0435
08 59 67 8 49 2 32 -0.0126 64 7
- - -
17-Mar- 0.0330 0.0105 0.1451 0.0099 0.0268 0.0622 0.0562 0.0065 0.0436
08 42 2 92 8 26 46 01 1 23
-
10-Mar- 0.0129 0.0414 0.0200 0.0105 0.0113 0.0691 0.0838 0.0479 0.0033
08 56 36 8 46 42 97 47 53 38
- - - - -
3-Mar- 0.0207 0.0519 0.0563 0.0802 0.0007 0.0132 0.0339 0.0247
08 2 4 7 9 26 -0.0609 33 2 05
- - - - - - -
25-Feb- 0.0492 0.0019 0.0454 0.0721 0.0535 0.0662 0.0218 0.0175
08 6 1 5 2 73 -0.0331 8 1 5
- - - - -
19-Feb- 0.0209 0.0211 0.0039 0.0412 0.0180 0.0385 0.0122 0.0070 0.0222
08 36 76 3 4 17 8 1 65 7
- - -
11-Feb- 0.0931 0.0447 0.0462 0.0250 0.0279 0.0086 0.0019 0.0060 0.0047
08 12 55 7 63 31 14 08 7 2
- - - - - -
4-Feb- 0.0452 0.0996 0.0015 0.0495 0.0161 0.0455 0.0260 0.0620
08 -0.0833 8 7 31 7 3 6 95 3
- -
28-Jan- 0.0296 0.0239 0.0857 0.0891 0.0435 0.1360 0.1137 0.0023 0.0756
08 48 9 34 6 91 97 11 42 1
- - -
22-Jan- 0.0445 0.0133 0.0240 0.0563 0.0108 0.0264 0.0324 -
08 2 7 03 9 4 43 0.1077 47 0.0022
- - - - - - - -
14-Jan- 0.0650 0.0578 0.0579 0.0595 0.0586 0.0004 0.0253 0.0353 0.0266
08 8 9 9 4 55 6 7 8 2
- - - - - - - -
0.0302 0.0192 0.0059 0.0285 0.0341 0.1403 0.0479 0.0135
7-Jan-08 7 6 6 4 7 6 -0.1088 4 8
- - - - - - - - -
31-Dec- 0.0691 0.0307 0.0566 0.0648 0.0814 0.0619 0.0419 0.0411 0.0482
07 6 5 8 1 5 4 4 7 6
- - -
24-Dec- 0.0062 0.0167 0.0111 0.0083 0.0009 0.0110 0.0017
07 8 5 81 82 -0.0086 2 9 -0.0088 27
- - -
17-Dec- 0.0146 0.0247 0.0050 0.0097 0.0498 0.0016 0.0194 0.0184 0.0211
07 35 17 8 54 43 93 3 7 58
- - - - -
10-Dec- 0.0745 0.0035 0.0331 0.0348 0.0283 0.0796 0.0332 0.0166 0.0228
07 61 3 6 5 2 3 29 75 43
- -
3-Dec- 0.0380 0.0263 0.0385 0.0315 0.0349 0.0772 0.0445 0.0288 0.0274
07 9 31 8 58 28 71 93 97 86
-
26-Nov- 0.0349 0.0098 0.0469 0.0240 0.0108 0.1549 0.1079 0.0129 0.0149
07 97 09 29 87 72 82 25 89 1
- - - -
19-Nov- 0.0375 0.0389 0.0679 0.0070 0.0109 0.0203 0.0070 0.0006
07 -0.0403 18 5 73 3 03 6 8 09
- - - -
12-Nov- 0.0150 0.0201 0.0658 0.0456 0.0452 0.0057 0.0421 0.0232 0.0138
07 73 8 63 9 38 4 4 34 89
- - - - - - - -
5-Nov- 0.0782 0.0084 0.0795 0.0664 0.1219 0.0947 0.0155 0.0121 0.0896
07 3 6 7 7 8 1 7 2 3

Date PCLN PG SBUX JAVA SYMC VFC WPO YHOO SPX FVX
- - -
9-Nov- 0.1740 0.0093 0.0312 0.0703 0.0017 0.0001 0.0112 0.0006 0.0226 0.0173
09 12 38 5 7 22 34 3 3 13 9

17
Gaziz Seilkhanov, 2009
 - - -
2-Nov- 0.0900 0.0524 0.1127 0.0097 - 0.0482 0.0061 0.0025 0.0319 0.0086
09 56 14 5 8 0.0091 83 8 16 54 2
- - - - - - - -
26-Oct- 0.1092 0.0062 0.0636 0.0308 0.0552 0.0929 0.0751 0.0766 0.0402 0.0452
09 4 46 4 1 22 5 4 6 1 7
- - - -
19-Oct- 0.0536 0.0110 0.0179 0.0745 0.0018 0.0286 0.0116 0.0243 0.0074 0.0296
09 52 51 3 6 04 31 4 9 3 61
- - -
12-Oct- 0.0163 0.0019 0.0197 0.0044 0.0184 - 0.0035 0.0151 0.0042
09 2 3 63 05 0 59 0.0107 6 1 55
5-Oct- 0.0467 0.0142 0.0253 0.0133 0.0406 0.0809 0.0786 0.0017 0.0451 0.0681
09 3 05 29 93 76 72 2 81 42 82
- - - - - - -
28-Sep- 0.0074 0.0217 0.0045 0.0077 0.0223 - 0.0091 0.0140 0.0183 0.0717
09 66 1 4 5 93 0.0158 9 5 6 3
- - - - - - - -
21-Sep- 0.0104 0.0119 - 0.0120 0.0012 0.0327 0.0289 0.0178 0.0223 0.0365
09 4 53 0.0448 4 8 6 8 3 9 9
- -
14-Sep- 0.0054 0.0302 0.0437 0.0032 0.0200 0.0183 0.0080 0.1154 0.0245 0.0742
09 02 43 41 7 4 63 36 59 22 36
-
8-Sep- 0.0592 0.0526 0.0457 0.0021 0.0204 0.0295 0.0492 0.0751 0.0259 0.0296
09 37 12 41 86 47 86 61 72 05 6
- - - - - - - -
31-Aug- 0.0171 0.0062 0.0160 0.0203 0.0269 0.0159 0.0235 0.0121 0.0406
09 3 5 4 4 03 1 -0.037 7 8 5
- - - - - -
24-Aug- 0.0189 0.0071 0.0192 0.0010 0.0193 0.0592 0.0061 0.0040 0.0027 0.0352
09 5 5 8 7 1 75 8 57 29 9
- -
17-Aug- 0.0322 0.0230 0.0308 0.0207 0.0190 0.0215 0.0305 0.0166 0.0219
09 67 9 58 42 16 15 7 2 5 0.02
- - - - -
10-Aug- 0.1328 0.0063 0.0047 0.0054 0.0167 0.0467 0.0083 0.0287 0.0063 0.1166
09 05 9 29 88 6 3 7 28 2 1
- -
3-Aug- 0.0131 0.0626 0.0751 0.0065 0.0388 0.0526 0.0209 0.0232 0.1185
09 15 2 41 4 48 0.0644 48 5 92 77
- - - - - -
27-Jul- 0.0504 0.0059 0.0278 0.0054 0.1404 0.0091 0.1069 0.1807 0.0083 0.0078
09 9 5 75 2 7 2 51 8 94 4
20-Jul- 0.0629 0.0065 0.1925 0.0054 0.0585 0.0880 0.0936 0.0380 0.0413 0.0159
09 74 38 21 53 01 97 37 05 45 36
13-Jul- 0.0888 0.0709 0.0736 0.0525 0.0972 0.0781 0.1279 0.0696 0.1357
09 28 98 06 0 98 15 88 3 71 47
- - - - -
0.0314 0.0216 0.0044 0.0043 0.0070 0.0214 0.0132 0.0192 0.0867
6-Jul-09 3 61 81 4 1 81 73 -0.004 9 8
- - - - - - -
29-Jun- - 0.0123 0.0784 0.0221 - 0.0377 0.0175 0.0476 0.0244 0.0434
09 0.0422 7 6 98 0.0132 2 8 5 6 8
- - - -
22-Jun- 0.0209 0.0218 0.0203 0.0174 0.0018 0.0611 0.0206 - 0.0025 0.0964
09 67 61 65 5 89 2 27 0.0038 3 3
- - - - - - -
15-Jun- 0.0238 0.0363 0.0213 0.0139 0.0369 0.0145 0.0197 0.0365 - 0.0035
09 5 4 1 8 9 08 3 9 0.0264 84
- - - - - - -
0.0086 0.0118 0.0357 0.0141 0.0274 0.0061 0.0242 0.0144 0.0065 0.0210
8-Jun-09 8 4 9 77 14 8 5 2 1 5
-
0.0563 0.0238 0.0486 0.0188 0.0268 0.0446 0.0058 0.0505 0.0227 0.2127
1-Jun-09 98 56 45 89 71 48 4 05 93 66
- -
26-May- 0.0875 0.0204 0.1069 0.1014 0.0399 0.0050 0.0574 0.0362 0.0681
09 06 9 23 0 8 03 5 1 34 82
-
18-May- 0.0159 0.0465 0.0046 0.0425 0.0044 0.0086 0.0046 0.0046 0.1111
09 54 02 37 0 1 95 74 95 67 11
- - - - - - - - -
11-May- 0.0499 0.0173 0.0527 0.0142 0.0040 0.0633 - 0.0158 0.0498 0.0747
09 5 3 1 4 3 3 0.0272 4 8 7
- - - -
4-May- 0.0921 0.0416 0.0101 0.0032 0.1645 0.0165 0.0078 0.0714 0.0589 0.0541
09 4 5 4 8 1 6 41 29 27 87
- - - - -
27-Apr- 0.0011 0.0002 0.0214 0.0043 0.0062 0.1432 0.0400 0.0130 0.0463
09 4 1 66 5 15 4 -0.133 5 33 92
- - -
20-Apr- 0.0528 0.0333 0.1202 0.3751 0.0248 0.0386 0.0084 0.0236 0.0038 0.0319
09 85 1 32 87 99 92 5 28 8 15
-
13-Apr- 0.0152 0.0501 0.0014 0.0081 0.0043 0.1001 0.0152 0.0052
09 29 87 0.005 97 73 18 41 0.0683 24 9
- -
6-Apr- 0.0150 0.0088 0.0265 0.2131 0.0554 0.0262 0.0073 0.0097 0.0166 0.0053
09 06 8 18 9 53 7 92 45 88 19
30-Mar- 0.0885 0.0219 - 0.0842 0.0856 0.1006 0.0462 0.0121 0.0325 0.0444
09 53 36 0.0068 91 19 79 36 4 51 44
- -
23-Mar- 0.0439 0.0653 0.0546 0.0333 0.0670 0.0533 0.0875 0.0308 0.0616 0.0975
09 8 93 59 3 95 94 16 8 75 61
- - - -
16-Mar- 0.0044 0.0290 0.0568 0.6945 0.0174 0.0361 0.0147 0.0066 0.0158 0.1229
09 7 2 18 61 29 22 7 62 48 9
-
9-Mar- 0.0628 0.0271 0.2631 0.2101 0.0649 0.1246 0.0677 0.0352 0.1070 0.0163
09 1 18 58 27 65 53 25 49 71 04

18
Gaziz Seilkhanov, 2009
 - - - - - - - - -
2-Mar- 0.0149 0.0510 0.0863 0.1559 0.0650 0.0705 - 0.0136 0.0703 0.0891
09 7 4 4 8 8 5 0.1054 1 5 1
- - - - - -
23-Feb- 0.0132 0.0413 0.0448 0.0330 0.0107 0.0255 0.0763 0.0897 - 0.1222
09 54 9 9 6 3 6 6 86 0.0454 22
- - - - - - - -
17-Feb- 0.1526 0.0164 0.0542 0.0583 0.0554 0.0066 0.0589 0.0545 0.0686 0.0322
09 29 4 9 7 1 28 5 2 8 6
- - - - - - - - -
9-Feb- 0.0243 0.0538 - 0.1029 0.0784 0.0950 0.0171 0.0579 0.0480 0.0461
09 1 8 0.0389 7 6 8 3 6 8 5
-
2-Feb- 0.1100 0.0092 0.1165 0.3774 0.0476 0.0438 0.0804 0.1619 0.0517 0.0427
09 01 1 25 04 19 23 39 78 27 81
- - -
26-Jan- 0.0265 0.0267 0.0396 0.1243 0.1296 0.0239 0.0420 0.0362 - 0.1472
09 5 1 48 24 98 44 6 19 0.0073 39
- - - - - -
20-Jan- 0.0310 0.0232 0.0401 0.0680 0.0059 0.0253 0.0038 - 0.0213 0.1241
09 7 3 7 1 3 6 25 0.0233 7 38
- - - - - - - -
12-Jan- 0.0541 - 0.0317 0.1480 0.0080 0.0793 0.0248 0.1172 0.0451 0.0460
09 2 0.0355 3 7 9 34 7 9 8 5
- - - - - -
0.0219 0.0468 0.0071 0.1042 0.0810 - 0.0131 0.0217 0.0444 0.1213
5-Jan-09 8 2 1 65 8 0.0856 9 9 8 9
29-Dec- 0.1233 0.0374 0.0524 0.1047 0.1490 0.0445 0.0810 0.0413 0.0675 0.1533
08 02 98 06 12 68 16 1 29 99 33
- - - - - - - -
22-Dec- 0.0115 0.0058 0.0536 0.0817 0.0423 0.0211 0.0298 0.0529 0.0169 0.1111
08 5 29 4 3 8 4 7 5 8 11
- -
15-Dec- 0.0704 0.0210 0.0578 0.0171 0.0768 0.0484 0.0196 0.0091 0.0092 0.1290
08 9 05 16 15 61 06 51 3 64 3
- - - -
8-Dec- 0.0699 0.0589 0.0241 0.1719 0.0373 0.0307 0.0395 0.1277 0.0041 0.0718
08 64 7 23 2 75 1 5 87 78 6
- - - -
1-Dec- 0.1237 0.0267 0.0212 0.1009 0.0008 0.0584 0.0162 0.0130 0.0225 0.1391
08 7 7 77 46 31 36 15 32 1 8
-
24-Nov- 0.1925 0.0199 0.1404 0.0496 0.0986 0.2217 0.1661 0.2257 0.1202 0.0251
08 34 48 85 69 3 35 21 72 58 3
- - - - - - - - -
17-Nov- 0.0754 0.0001 0.0905 0.2669 0.1031 0.0932 0.1361 0.1321 0.0838 0.1531
08 65 6 9 9 9 4 3 6 9 9
- - - - - - - - -
10-Nov- 0.0141 0.0214 0.1838 0.0190 0.0858 0.1047 0.1131 0.0619 0.0820
08 1 4 9 5 -0.075 4 8 1 8 3
- - - -
3-Nov- 0.0368 - - 0.0869 0.0492 0.0628 0.0285 0.0483 0.0389 -
08 61 0.0008 0.1965 6 85 4 76 6 8 0.0922
-
27-Oct- 0.0130 0.0963 0.3564 0.0267 0.0804 0.1869 0.2176 0.0595 0.1049 0.0846
08 9 9 05 86 1 24 86 04 08 15
- - - - - - - -
20-Oct- - 0.0405 0.0736 0.1971 0.1047 0.1642 0.0106 0.0620 0.0678 0.0812
08 0.1057 2 8 3 1 9 23 2 1 7
-
13-Oct- - 0.0366 0.0568 0.1177 - - 0.0496 0.0459 0.0253
08 0.0204 04 6 0.1625 76 0.1169 0.1275 34 62 62
- - - - - - -
6-Oct- 0.0197 0.1612 0.1888 0.2888 0.1935 0.1313 - 0.2318 0.1819 0.0298
08 76 6 7 9 1 6 0.2156 8 5 51
- - - - - - - -
29-Sep- 0.2246 0.0316 - 0.1164 0.1439 0.0974 0.0951 0.1543 0.0939 0.1125
08 7 74 0.0869 9 4 9 8 3 9 8
- - - - - - - - -
22-Sep- 0.1383 0.0216 0.0731 0.1258 0.0040 0.0249 0.0591 0.0487 0.0333 0.0100
08 3 9 1 6 2 7 2 7 1 33
- - - - -
15-Sep- 0.0092 0.0381 0.0528 0.0692 0.0335 0.0044 0.0162 0.0424 0.0101
08 76 8 38 2 4 2 1 53 0.0027 35
- -
8-Sep- 0.0790 0.0335 0.0098 0.1047 0.0423 0.0161 0.0519 0.0553 0.0075 0.0136
08 3 92 81 06 6 56 55 1 58 99
- - - - - -
2-Sep- 0.0070 0.0144 0.0244 0.0555 - 0.0335 0.0296 0.0670 0.0315 0.0550
08 98 35 2 6 0.0372 28 8 8 9 2
- - - - - - -
25-Aug- 0.0895 0.0256 0.0299 0.0113 0.0184 0.0221 0.0076 0.0072 0.0127
08 9 6 3 -0.1 33 91 4 8 5 8
- - - - - - - -
18-Aug- 0.0103 0.0001 0.0389 0.0791 0.0094 0.0020 0.0344 0.0445 0.0046 0.0064
08 7 45 5 9 3 2 9 2 2 31
-
11-Aug- 0.0797 0.0281 0.1038 0.0595 0.0131 0.0051 - 0.0271 0.0014 0.0341
08 24 8 36 12 94 45 0.0355 36 5 6
4-Aug- - 0.0720 0.0485 0.0997 0.0129 0.0927 0.0940 0.0050 0.0285 -
08 0.1807 91 44 85 03 65 31 51 72 0.0031
- - - - -
28-Jul- 0.1604 0.0075 0.1064 0.1156 0.0188 0.0054 0.0629 0.0020 0.0637
08 5 7 0 2 81 7 1 4 27 7
- - -
21-Jul- 0.0392 0.0123 0.0055 0.1002 0.0161 0.0158 0.0119 - 0.0023 0.0147
08 8 92 79 11 96 6 29 0.0588 2 06
- -
14-Jul- 0.0257 0.0098 0.0199 0.0406 0.0170 0.0407 0.0270 0.0475 0.0170 0.0365
08 9 8 15 15 03 37 02 2 96 85
- - - - - -
0.0062 0.0034 - 0.1429 0.0156 0.0516 0.0113 0.1039 0.0185 0.0030
7-Jul-08 77 5 0.0964 9 9 1 9 81 4 58

19
Gaziz Seilkhanov, 2009
 - - - - - -
30-Jun- 0.1469 0.0525 0.0483 0.0301 0.0184 0.0329 0.0060 0.0009 0.0121 0.0325
08 7 04 2 1 8 16 66 38 1 4
- - - - - - -
23-Jun- 0.0422 0.0423 0.0510 0.0196 0.0056 0.0340 0.0455 0.0300 0.0300 0.0478
08 5 4 7 8 79 36 39 1 1 9
- - - - - - - - -
16-Jun- 0.0295 0.0493 0.0517 0.0460 0.0415 0.0418 0.0524 0.0630 0.0309 0.0482
08 51 7 3 8 6 5 6 6 6 6
- - - - -
0.0421 0.0164 0.0282 0.0479 0.0109 0.1123 0.0004 0.1656
9-Jun-08 2 62 97 3 0 0 7 3 8 25
- - - - - - - - - -
0.0152 0.0102 0.0285 0.0494 0.0699 0.0310 0.0507 0.0119 0.0283 0.0615
2-Jun-08 4 8 9 2 5 4 9 6 5 8
-
27-May- 0.0218 0.0118 0.0731 0.0109 0.0517 0.0261 0.0086 0.0346 0.0177 0.0929
08 76 44 56 29 91 12 85 3 7 49
- - - - - - - -
19-May- 0.0283 0.0220 0.0058 0.0454 0.0048 0.0445 0.0680 0.0021 0.0346
08 4 7 7 5 2 5 5 69 7 0
-
12-May- 0.0226 0.0235 0.0750 0.0291 0.0385 0.0505 0.0276 0.0667 0.0267 0.0540
08 5 5 32 41 19 47 95 18 02 54
- - - - - -
5-May- 0.0970 0.0237 0.0364 0.0316 0.0277 0.0503 - 0.0955 0.0181 0.0632
08 17 7 5 46 63 3 0.0036 7 2 9
- - - -
28-Apr- 0.0156 0.0037 0.0378 0.1855 0.1133 0.0126 0.0511 0.0697 0.0114 0.0062
08 6 68 31 7 37 02 1 76 89 9
- - - - -
21-Apr- 0.0081 0.0091 0.1323 0.0019 0.0124 0.0015 0.0573 0.0054 0.0779
08 1 8 9 37 4 -0.031 9 3 02 66
-
14-Apr- 0.0775 0.0349 0.0590 0.0184 0.0486 0.0370 0.0156 0.0031 0.0431 0.1478
08 06 7 96 09 07 16 19 76 41 6
- - - - - - - - -
7-Apr- 0.0429 0.0084 0.0670 0.0493 - 0.0281 0.0022 0.0007 0.0274 0.0228
08 4 8 3 7 0.0271 3 4 1 2 1
-
31-Mar- 0.0288 0.0166 0.0850 0.0178 0.0309 0.0329 0.0608 0.0217 0.0419 0.0354
08 55 44 44 12 16 7 74 3 55 33
- - - - -
24-Mar- 0.0283 0.0010 0.0273 0.0187 - 0.0399 0.0339 0.0480 0.0107 0.0854
08 23 6 8 3 0.0158 7 8 84 5 7
-
17-Mar- 0.0085 0.0393 0.0080 0.0231 0.0382 0.0346 0.0039 0.0355 0.0321
08 01 58 51 7 75 93 42 67 16 0
- - - - -
10-Mar- 0.0060 0.0143 0.0169 0.0283 0.0232 0.0459 0.0799 0.0040 0.0370
08 73 72 59 0.025 4 89 7 2 4 4
- - - - -
3-Mar- 0.0254 0.0058 0.0489 0.0243 0.0059 0.0123 - 0.0449 0.0318
08 34 7 4 9 38 4 0.0431 96 -0.028 7
- - - - - - - - - -
25-Feb- 0.1039 0.0003 0.0147 0.0492 0.0366 0.0299 0.0041 0.0225 0.0166 0.1035
08 7 2 9 8 1 3 4 2 1 7
- - - - - -
19-Feb- 0.0273 0.0014 0.0021 0.0135 0.0034 0.0103 0.0160 0.0418 0.0023 0.0144
08 7 3 9 14 2 7 9 1 11 93
- -
11-Feb- 0.2168 0.0197 0.0016 0.0397 0.0201 0.0066 0.0094 0.0157 0.0140 0.0222
08 19 16 43 07 1 9 21 53 47 22
- - - - - - -
4-Feb- 0.0566 0.0155 0.0499 0.0640 0.0407 - 0.0350 0.0288 0.0459 -
08 3 9 5 4 3 0.0004 4 94 6 0.0146
- -
28-Jan- 0.0317 0.0112 0.0223 0.0645 0.1391 0.0796 0.0421 0.2935 0.0487 0.0179
08 46 61 8 16 94 77 44 28 07 2
- - -
22-Jan- 0.1247 0.0273 0.0535 0.0320 0.0790 0.0865 0.0564 0.0558 0.0040 0.0210
08 58 8 91 35 51 75 3 23 9 5
- - - - - - - -
14-Jan- 0.0338 0.0383 - 0.0412 0.0058 0.0469 0.0255 0.1104 0.0541 0.0716
08 7 7 0.0571 03 9 4 8 5 2 6
- - - - - -
0.1050 0.0255 0.0927 0.0625 0.0286 0.1185 0.0025 0.0086 0.0075 0.0315
7-Jan-08 8 1 66 4 3 42 53 36 2 5
- - - - - - - - -
31-Dec- - 0.0300 0.1003 0.1043 0.0332 0.0915 0.0118 0.0123 0.0452 0.0994
07 0.0888 1 5 4 1 9 6 7 2 3
- - - - - - -
24-Dec- 0.0249 0.0022 0.0441 0.0308 0.0350 0.0518 0.0018 0.0233 0.0040 0.0167
07 24 81 6 7 1 4 8 2 2 6
- - - - - -
17-Dec- 0.0172 0.0024 0.0089 0.0476 0.0053 0.0546 0.0305 0.0020 0.0112 0.0110
07 4 29 4 4 1 78 36 8 47 5
- - - - - - - -
10-Dec- 0.0063 0.0029 0.0605 0.0318 0.0434 0.0274 0.0296 0.0612 - 0.0313
07 6 9 7 9 8 7 3 6 0.0244 39
- - - - - -
3-Dec- 0.0362 0.0017 0.0329 0.0192 0.0050 0.0268 0.0080 0.0440 0.0158 0.0263
07 04 13 2 5 6 8 6 1 8 16
-
26-Nov- 0.0567 0.0155 0.0138 0.0845 0.0142 0.0061 0.0214 0.0260 0.0280 0.0029
07 37 07 71 51 45 4 33 24 7 33
- - - - - - - - - -
19-Nov- 0.0188 0.0044 0.0043 0.0575 0.0073 0.0223 0.0242 0.0257 0.0123 0.0733
07 6 7 2 5 5 5 7 3 7 7
- - - -
12-Nov- 0.0586 0.0394 0.0265 0.0111 0.0461 0.0363 0.0173 0.0399 0.0034 0.0212
07 42 42 84 9 54 4 4 38 67 8

20
Gaziz Seilkhanov, 2009
 - - - - - - -
5-Nov- 0.1417 0.0124 0.1159 0.0821 0.0869 0.0409 0.0291 0.1710 0.0370 0.0408
07 24 51 4 4 8 2 85 1 6 2

Time-Series Regression Results

Statistic AXP MMM ADBE AAPL BAC
0.002627 0.002850 0.001499 0.005029 0.004579
alpha 947 507 013 077 006
0.377503 1.030051 0.387665 1.084735 0.363163
alpha's t-stat 902 958 041 271 74
1.004361 0.941567 0.998244 0.860214 1.282671
beta 335 072 964 784 955
9.523407 22.45876 17.04063 12.24728 6.714973
beta's t-stat 106 183 686 571 254
0.465831 0.829058 0.736297 0.590544 0.302438
R-square 948 7 154 745 822
variance of
residuals 0.005088 0.000804 0.00157 0.002257 0.01669

Statistic BA CAT CSCO C CME

- - -
0.001295 0.003192 0.000571 0.000991 0.000923
alpha 92 277 687 39 65
- - -
0.313715 0.699568 0.190662 0.061224 0.139405
alpha's t-stat 26 028 708 86 33
0.887850 0.990349 0.960496 1.557826 0.793321
beta 168 226 653 08 435
14.18717 14.32567 21.14467 6.350411 7.903522
beta's t-stat 99 738 368 637 823
0.659324 0.663675 0.811285 0.279417 0.375246
R-square 759 352 568 743 571
variance of
residuals 0.001791 0.002186 0.000944 0.027527 0.004609

Statistic KO CL DELL ERTS XOM

- -
0.002718 0.004170 0.002317 0.006888 0.001601
alpha 219 22 27 41 784
- -
0.850567 1.225194 0.479335 1.253625 0.519751
alpha's t-stat 718 963 49 04 155
1.037134 0.964147 1.053917 0.973486 0.935012
beta 061 093 721 28 492
21.42184 18.69764 14.39022 11.69434 20.02655
beta's t-stat 545 853 875 201 679
0.815241 0.770724 0.665679 0.568030 0.794085
R-square 005 146 439 314 085

21
Gaziz Seilkhanov, 2009
 variance of
residuals 0.001072 0.001216 0.002454 0.00317 0.000997

Statistic GS GOOG IBM ISRG MA

0.004566 0.001751 0.004647 0.005045 0.006608
alpha 785 546 289 35 106
0.630381 0.475243 1.592891 0.704970 1.297776
alpha's t-stat 014 022 967 072 848
1.084103 0.825399 0.897528 0.984620 0.935174
beta 348 114 408 486 811
9.877811 14.78276 20.30636 9.081251 12.12308
beta's t-stat 782 527 875 95 924
0.484053 0.677549 0.798585 0.442266 0.585606
R-square 189 524 689 953 674
variance of
residuals 0.00551 0.001426 0.000894 0.005377 0.002722

Statistic MCD MSFT PCLN PG SBUX

0.004226 0.001753 0.012543 0.002119 0.003612
alpha 853 093 341 498 817
1.295900 0.424146 1.785414 0.650827 0.678780
alpha's t-stat 353 659 357 904 54
0.898385 0.954926 0.930260 0.994592 1.064876
beta 589 18 977 138 101
18.18087 15.25030 8.740334 20.15930 13.20626
beta's t-stat 294 002 793 607 438
0.760668 0.691001 0.423482 0.796237 0.626444
R-square 733 902 401 295 053
variance of
residuals 0.001117 0.001794 0.005182 0.001113 0.002974

Statistic JAVA SYMC VFC WPO YHOO

- - -
0.000628 0.003438 0.003724 0.001777 0.001431
alpha 44 311 928 52 6
- - -
0.061694 0.708281 0.846569 0.446401 0.251217
alpha's t-stat 1 058 812 17 07
1.294417 0.974557 0.996410 1.087055 1.068202
beta 572 944 285 207 539
8.387812 13.25151 14.94791 18.02019 12.37305
beta's t-stat 229 695 301 789 995
0.403517 0.628043 0.682384 0.757421 0.595476
R-square 163 651 659 69 513
variance of
residuals 0.010894 0.002474 0.002033 0.001665 0.003409

Data for the Second-Pass Regression

22
Gaziz Seilkhanov, 2009
 Estimat
Squared
ed Square Squared
Estimat residuals Residuals
Mean Varianc d Variance
ed from from
Retur es of Estimat s of X1*X2
Betas SECOND SECOND
ns Residu ed Residual
(X1) regressio regression
als Betas s
n
(X2)
2.58877E-
0.0031 1.0044 0.005088 1.0087 05 0.00511019 1.76729E-08 0.000132939
6.46416E-
0.0033 0.9416 0.000804 0.8865 07 0.00075702 3.31969E-07 0.000576168
2.4649E- 0.00156724 -
0.0019 0.9982 0.00157 0.9965 06 5 8.06239E-08 0.000283943
5.09405E- 0.00194150
0.0054 0.8602 0.002257 0.7400 06 5 2.1933E-06 0.001480979
0.0002785 0.02140779
0.0051 1.2827 0.01669 1.6452 56 5 7.56637E-06 0.002750703
3.20768E- -
-0.0009 0.8879 0.001791 0.7883 06 0.00159014 1.9514E-05 0.004417461
4.7786E- 0.00216490
0.0036 0.9903 0.002186 0.9808 06 3 1.3922E-06 0.001179913
8.91136E- 0.00090670 -
0.0010 0.9605 0.000944 0.9226 07 9 2.28838E-06 0.001512741
0.0007577 0.04288227
-0.0003 1.5578 0.027527 2.4268 36 8 4.0783E-06 -0.00201948
2.12429E- 0.00365641 -
-0.0006 0.7933 0.004609 0.6294 05 8 3.33719E-05 0.005776843
1.14918E- 0.00111180
0.0032 1.0371 0.001072 1.0756 06 8 2.25114E-06 0.001500381
1.47866E- 0.00117240
0.0046 0.9641 0.001216 0.9296 06 3 4.27601E-06 0.002067852
6.02212E- 0.00258631
-0.0019 1.0539 0.002454 1.1107 06 4 1.32996E-05 -0.00364686
1.00489E- 0.00308595 -
-0.0065 0.9735 0.00317 0.9477 05 2 8.68042E-05 0.009316875
9.94009E- 0.00093220 -
0.0020 0.9350 0.000997 0.8742 07 7 6.2741E-07 0.000792092
3.03601E- 0.00597340
0.0050 1.0841 0.00551 1.1753 05 9 8.46316E-06 0.002909152
2.03348E- 0.00117701 -
0.0021 0.8254 0.001426 0.6813 06 9 4.07279E-06 0.002018116
7.99236E-
0.0050 0.8975 0.000894 0.8056 07 0.00080239 3.38027E-06 0.001838552
2.89121E- 0.00529430
0.0055 0.9846 0.005377 0.9695 05 4 5.08689E-06 0.002255414
7.40928E- 0.00254554
0.0070 0.9352 0.002722 0.8746 06 6 1.46839E-05 0.003831953
1.24769E- 0.00100349
0.0046 0.8984 0.001117 0.8071 06 7 1.90016E-06 0.001378463
3.21844E- 0.00171313 -
0.0022 0.9549 0.001794 0.9119 06 8 3.43042E-07 0.000585698
2.68531E- 0.00482061
0.0130 0.9303 0.005182 0.8654 05 2 8.3941E-05 0.009161934
1.23877E- 0.00110698
0.0026 0.9946 0.001113 0.9892 06 1 1.56544E-07 0.000395656
8.84468E- 0.00316694
0.0041 1.0649 0.002974 1.1340 06 2 5.26888E-06 0.002295405
0.0001186 0.01410138 -
-0.0001 1.2944 0.010894 1.6755 79 5 1.05832E-06 0.001028746
6.12068E- 0.00241105
0.0039 0.9746 0.002474 0.9498 06 6 1.3862E-06 0.001177371
4.13309E- 0.00202570
0.0042 0.9964 0.002033 0.9928 06 2 3.30305E-06 0.001817429
2.77223E- 0.00180994 -
-0.0013 1.0871 0.001665 1.1817 06 7 6.47379E-06 0.002544364
1.16213E- 0.00364150 -
-0.0010 1.0682 0.003409 1.1411 05 2 7.87949E-06 0.002807043

Second-Pass Regression Output

RESULTS OUTPUT
Regression Statistics

23
Gaziz Seilkhanov, 2009
 0.25952705
Multiple R 3
0.06735429
R-square 1
-
0.00173057
Adjusted R-square 6
Standard Error 0.00347206
Observations 30
ANOVA
F
Significanc
df SS MS F e
2.35064E- 1.17532E- 0.9749500 0.3900995
Regression 2 05 05 01 05
0.0003254 1.20552E-
Residual 27 9 05
0.0003489
Total 29 97

Standard Upper
Coefficients Error t-statistic P-value Lower 95% 95%
-
0.01309243 0.0076105 1.7202929 0.0968227 0.0025231 0.028708
Y-intercept 6 85 92 81 94 065
- - -
0.01124120 0.0082804 1.3575602 0.1858424 0.0282312 0.005748
Estimated Betas 8 49 9 94 85 869
Estimated -
Variance of 0.22270826 0.2247468 0.9909295 0.3305179 0.2384340 0.683850
Residuals 1 11 73 58 98 621

Regression Output of the Test for Heteroscedasticity

RESULTS OUTPUT
Regression Statistics
0.45325069
Multiple R 8
0.20543619 n*R- critical Chi-square for 5% level of
R-square 6 df square significance
Obtained Chi-
square value
does not
exceed the
6.16308586 >>>>>>>> critical Chi-
Adjusted R-square 0.03990207 5 7 11.0705 >>>>>> square value
This means
that there is
NO
heteroscedasti
Standard Error 2.10006E-05 city

Observations 30
ANOVA
F
df SS MS F Significance
2.73667E- 5.47334E- 1.2410504
Regression 5 09 10 14 0.321136742
1.05846E- 4.41025E-
Residual 24 08 10
1.33213E-
Total 29 08

Standard Upper
Coefficients Error t-statistic P-value Lower 95% 95%
0.000353 0.13152041 0.8964599 - 0.0007767
Y-intercept 4.65332E-05 81 6 73 0.000683695 61
-
Estimated Betas -7.58305E- 0.000780 0.09715298 0.9234116 - 0.0015350
(X1) 05 527 6 86 0.001686758 97
Estimated
Variances of 0.02154088 0.023518 0.91590156 0.3688303 0.0700812
Residuals (X2) 8 781 2 12 -0.02699949 67

24
Gaziz Seilkhanov, 2009
Squared 0.000435 0.06986504 0.9448799 - 0.0009287
Estimated Betas 3.04091E-05 255 8 57 0.000867914 32
Squared
Variances of 0.29997331 0.497664 0.60276176 0.5523208 - 1.3271029
Residuals 1 796 5 19 0.727156339 61
- -
0.01924788 0.027309 0.70480930 0.4877129 - 0.0371158
X1*X2 3 348 4 63 0.075611606 41

Test for Autocorrelation

RESIDUAL OUTPUT

Predicted
Observat Mean Residuals-
ion Returns Residuals square ut - ut-1 (ut - ut-1)2
0.0029353 0.0001329
1 4 39 1.76729E-08
0.0026871 0.0005761 3.14296E- 9.87823E-
2 41 68 3.31969E-07 07 14
-
0.0022206 0.0002839 -2.51345E- 6.31746E-
3 08 43 8.06239E-08 07 14
0.0039252 0.0014809 2.11267E- 4.46339E-
4 35 79 2.1933E-06 06 12
0.0023906 0.0027507 5.37307E- 2.88699E-
5 54 03 7.56637E-06 06 11
-
0.0035107 0.0044174 1.19476E- 1.42745E-
6 97 61 1.9514E-05 05 10
0.0024465 0.0011799 -1.81218E- 3.28398E-
7 54 13 1.3922E-06 05 10
-
0.0025055 0.0015127 8.96189E- 8.03155E-
8 29 41 2.28838E-06 07 13
-
0.0017110 0.0020194 1.78991E- 3.20379E-
9 79 8 4.0783E-06 06 12
-
0.0052010 0.0057768 2.92936E- 8.58116E-
10 07 43 3.33719E-05 05 10
0.0016725 0.0015003 -3.11208E- 9.68503E-
11 39 81 2.25114E-06 05 10
0.0025250 0.0020678 2.02487E- 4.10009E-
12 71 52 4.27601E-06 06 12
-
0.0017916 0.0036468 9.02358E- 8.1425E-
13 53 6 1.32996E-05 06 11
-
0.0028552 0.0093168 7.35046E- 5.40292E-
14 59 75 8.68042E-05 05 09
-
0.0028038 0.0007920 -8.61767E- 7.42643E-
15 06 92 6.2741E-07 05 09
0.0021329 0.0029091 7.83575E- 6.1399E-
16 27 52 8.46316E-06 06 11
-
0.0041315 0.0020181 -4.39037E- 1.92754E-
17 34 16 4.07279E-06 06 11
0.0032022 0.0018385 -6.9252E- 4.79584E-
18 33 52 3.38027E-06 07 13
0.0032216 0.0022554 1.70662E- 2.91255E-
19 14 14 5.08689E-06 06 12
0.0031861 0.0038319 9.59697E- 9.21019E-
20 53 53 1.46839E-05 06 11
0.0032422 0.0013784 -1.27837E- 1.63423E-
21 61 63 1.90016E-06 05 10
-
0.0027574 0.0005856 -1.55712E- 2.42461E-
22 5 98 3.43042E-07 06 12
0.0037892 0.0091619 8.3598E- 6.98863E-
23 52 34 8.3941E-05 05 09
0.0021598 0.0003956 -8.37845E- 7.01984E-
24 93 56 1.56544E-07 05 09
25 0.0017842 0.0022954 5.26888E-06 5.11234E- 2.6136E-

25
Gaziz Seilkhanov, 2009
 76 05 06 11
-
0.0009678 0.0010287 -4.21056E- 1.77289E-
26 02 46 1.05832E-06 06 11
0.0026882 0.0011773 3.27883E- 1.07507E-
27 07 71 1.3862E-06 07 13
0.0023443 0.0018174 1.91685E- 3.6743E-
28 46 29 3.30305E-06 06 12
-
0.0012434 0.0025443 3.17074E- 1.00536E-
29 31 64 6.47379E-06 06 11
-
0.0018437 0.0028070 1.4057E- 1.97599E-
30 61 43 7.87949E-06 06 12
2.96603E-
0.00032549 08
calculated d-
statistic is lower
Durbin- than dL, so it
means that there
Watson d- 9.11249E- >>>> exists a positive
statistic: 05 >>>> autocorrelation
dL, 5% level
of
significance: 1.284
dU, 5% level
of
significance: 1.567

26
Gaziz Seilkhanov, 2009