Current sample: 1994:1 to 1998:12 TOPIX MORINAGA SONY NOMURA 1994:1 5.05493 11.62356 14.50348 25.93516 1994:2 4.95034 1.58037 0.46985 2.55333 1994:3 1.49873 -3.36613 -8.98563 -10.16326 1994:4 -0.65511 0.89687 -1.55042 2.75247 1994:5 2.08179 4.70880 7.68324 9.07750 1994:6 2.52507 0.50977 -2.77116 -1.66671 1994:7 -1.85860 -3.44862 -3.02036 -7.41080 1994:8 -0.29323 -2.48681 4.00721 0.00000 1994:9 -3.62337 2.13531 -5.89893 -7.51527 1994:10 -0.52417 1.22486 2.57084 -0.98040 1994:11 -3.56783 -8.90688 -11.84178 -4.53478 1994:12 0.041282 3.18081 7.34275 6.48606 1995:1 -2.82448 -11.09007 -20.77755 -6.48606 1995:2 -5.20704 -7.03165 -8.87955 -14.98643 1995:3 -7.09135 -4.97840 3.50913 -3.03975 1995:4 -0.65756 7.59293 -2.56126 4.82021 1995:5 -0.17813 -5.98185 -3.84663 -11.19179 1995:6 -6.14295 -10.33331 -0.24540 -2.66682 1995:7 5.90135 6.13689 15.87033 13.85862 1995:8 6.66153 2.35305 11.28794 12.16969 1995:9 3.43848 0.00000 -3.81726 1.03628 1995:10 -0.28102 -0.93459 -11.09968 -3.67495 1995:11 0.52375 6.14528 16.03427 6.72087 1995:12 6.74704 6.61928 13.65361 11.77830 1996:1 3.79012 7.94068 5.65300 3.06370 1996:2 -0.30555 -2.70810 -6.13883 -7.14590 1996:3 -1.70701 4.97234 3.66575 8.43071 1996:4 6.74816 4.91455 6.21883 -3.02399 1996:5 -0.10739 -1.97316 1.02415 -11.12256 1996:6 0.90794 -0.72728 4.83048 4.78560 1996:7 -3.04728 -8.17169 -6.59264 -13.48674 1996:8 -3.41339 -4.04095 1.03170 1.06384 1996:9 -0.46295 4.04095 3.03272 8.12630 1996:10 0.54179 -0.59583 -2.88620 -8.65680 1996:11 -1.05085 -7.65627 6.51789 2.10534 1996:12 -4.24563 -5.07275 4.03280 -9.84401 1997:1 -8.63704 -3.92207 7.48606 -11.56302 1997:2 0.49883 -2.86416 6.27796 3.79792 1997:3 -0.96812 -1.70944 -0.69125 -16.14234 1997:4 0.21821 4.80862 6.59826 3.58461 1997:5 8.04495 3.46055 5.98604 -2.85734 1997:6 2.44895 4.21816 1.81823 13.53413 1997:7 -0.051040 -9.57451 16.65149 6.13689 1997:8 -3.26380 -11.12256 -11.67243 -4.87902 1997:9 -4.58569 -12.51631 8.22381 -1.89280 1997:10 -5.10444 2.98530 -13.20288 -11.46034 1997:11 -8.23737 -11.19179 8.71782 12.09526 1997:12 -2.63128 -26.59892 6.22423 9.64603 1998:1 0.64330 20.84438 0.85837 -2.32569 1998:2 4.65268 2.74931 -2.59755 2.32569 1998:3 -0.38042 3.00523 -0.88106 -10.28095 1998:4 -3.42746 -9.66268 -2.59988 2.82593 1998:5 -0.64363 4.94801 6.07849 -6.72253 1998:6 -1.91415 2.38512 2.11424 6.72253 1998:7 5.66289 2.00007 2.80546 4.24306 1998:8 -6.79847 -8.97153 -17.56716 -20.69548 1998:9 -8.16148 -0.72464 -8.28757 -33.50135 1998:10 -5.85446 2.15836 -24.87586 -10.76307 1998:11 8.33855 16.07380 19.68551 30.76518 1998:12 -0.43141 0.00000 -9.05491 -19.49321 PLOT OF SONY VERSUS TOPIX ============================= SONY |---------------------------------------------------| 19.686 -| *| | * * * * | | 2 | 8.545 -|** * * * | | * * * * * 2**** * * * | | * * * *** * * * * | -2.595 -| * * 3* * * * * | | ** * | | * * ** ** * | -13.736 -| * | | * | | * | -24.876 -| * | |---------------------------------------------------| TOPIX | | | | | | -8.637 -1.847 4.943 -5.242 1.548 8.339 TIME SERIES PLOT ================ SONY PLOTTED WITH + TOPIX PLOTTED WITH * MINIMUM MAXIMUM -24.87586 19.68551 |-+-------------------------------------------------+-| 1994:1 | * + | 1994:2 | + * | 1994:3 | + * | 1994:4 | +* | 1994:5 | * + | 1994:6 | + * | 1994:7 | +* | 1994:8 | * + | 1994:9 | + * | 1994:10 | * + | 1994:11 | + * | 1994:12 | * + | 1995:1 | + * | 1995:2 | + * | 1995:3 | * + | 1995:4 | + * | 1995:5 | + * | 1995:6 | * + | 1995:7 | * + | 1995:8 | * + | 1995:9 | + * | 1995:10 | + * | 1995:11 | * + | 1995:12 | * + | 1996:1 | * + | 1996:2 | + * | 1996:3 | * + | 1996:4 | 2 | +* 1996:5 | *+ | 1996:6 | * + | 1996:7 | + * | 1996:8 | * + | 1996:9 | * + | 1996:10 | + * | 1996:11 | * + | 1996:12 | * + | 1997:1 | * + | 1997:2 | * + | 1997:3 | 2 | +* 1997:4 | * + | 1997:5 | + * | 1997:6 | +* | 1997:7 | * + | 1997:8 | + * | 1997:9 | * + | 1997:10 | + * | 1997:11 | * + | 1997:12 | * + | 1998:1 | 2 | +* 1998:2 | + * | 1998:3 | 2 | +* 1998:4 | *+ | 1998:5 | * + | 1998:6 | * + | 1998:7 | + * | 1998:8 | + * | 1998:9 | 2 | +* 1998:10 | + * | 1998:11 | * + | 1998:12 | + * | |-+-------------------------------------------------+-| -24.87586 19.68551 MINIMUM MAXIMUM Equation 1 ============ Method of estimation = Ordinary Least Squares Dependent variable: SONY Current sample: 1994:1 to 1998:12 Number of observations: 60 Mean of dep. var. = .668702 LM het. test = .658245 [.417] Std. dev. of dep. var. = 9.06180 Durbin-Watson = 2.29691 [.848,.903] Sum of squared residuals = 3793.99 Jarque-Bera test = .255908 [.880] Variance of residuals = 65.4137 Ramsey's RESET2 = 2.26555 [.138] Std. error of regression = 8.08787 F (zero slopes) = 16.0649 [.000] R-squared = .216903 Schwarz B.I.C. = 213.636 Adjusted R-squared = .203402 Log likelihood = -209.541 Estimated Standard Variable Coefficient Error t-statistic P-value C 1.11726 1.05012 1.06393 [.292] TOPIX 1.01888 .254205 4.00811 [.000] PLOT OF FIT VERSUS SONY ============================ FIT |---------------------------------------------------| 9.613 -| * *| | * * * | | * * * * | 5.289 -| ** * | | * * * | | * * * | 0.965 -| * * * *2** * 2* 3* ** | | * * * * * | | * 2 2 * * * | -3.359 -| * * | |* * * * | | * * | -7.683 -| * * * | |---------------------------------------------------| SONY | | | | | | -24.876 -7.051 10.773 -15.964 1.861 19.686