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This exercise is assessable and will count for 30 per cent of the total mark in this subject. 这次作业练习将占30％在你的这没学科分数里。
Due: 12:00 Monday 9th May Wood Theatre, Faculty of Economics and Commerce, 截止时间： 12:00 （星期一） 5月9日木剧院，经济与贸易学院，
Please note that as assignments will be returned during the week of 16th May late submissions will not be accepted. 请注意， 5月16日的一周内将返回分配迟交不会被接受。
Students should attempt both questions. Question 1 is worth 10 marks. Question 2 is worth 20 marks. 学生应该尝试这两个问题。问题1是价值10分。问题2是值得20分。
Plagiarism will not be tolerated. This is not a group assignment. You are allowed to discuss the exercise with your friends and colleagues. You are not allowed to submit work that is substantially taken from the work of others and is not the result of your own individual efforts. Plagiarism will result in the loss of some or all of your marks for this assignment. 抄袭者将不会被容忍。这不是一组分配。您可以与您的朋友和同事讨论行使。你不允许提交的工作，基本上是采取从别人的工作，是不是你自己的个人努力的结果。抄袭者将导致的损失部分或全部各就各位这项任务。

Question 1 问题1

Consider the multiple regression model 考虑多元回归模型

Question 2 问题2

If markets are integrated, the International Capital Asset Pricing Model implies that the expected return in country k is given by 如果市场整合，意味着K国，预期的回报是由国际资本资产定价模型

On the 19th of October 1987, there was a crash in world equity markets. Let Change be a dummy variable that takes the value of 0 before 19th of October 1987 and 1 afterwards. The following estimates were obtained using Ordinary Least Squares在1987年10月19日，在全球股市崩溃。让改变需要一个虚拟变量值为0之前， 19日之后的1987年10月1 。以下使用普通最小二乘估计获得

(ii)
Carefully interpret the output in Table 1.2. Is there statistically significant evidence that the Crash of 1987 led to a permanent change in the riskiness of the 小心地解释输出表1.2 。是否有统计学上的显着证据表明， 1987年股灾导致风险程度的永久性改变

Hong Kong market? Justify your answer. 香港市场？解释你的答案。
(5 marks)

On the 19th of October 1987, there was a crash in world equity markets. Let Crash be a dummy variable that takes the value 1 in the week of 19th October 1987 and zero
otherwise. Similarly let Change be a dummy variable that takes the value of 0 before
19th of October 1987 and 1 afterwards. The following estimates were obtained using Ordinary Least Squares
在1987年10月19日，在全球股市崩溃。让我们崩溃是一个虚拟变量，需要在本周10月19日1987年和零值1
否则。同样让改变需要一个虚拟变量前值0
1987年10月19日和1之后。以下使用普通最小二乘估计获得

(iii)
Carefully interpret the output in Table 1.3. How confident are you about your conclusions to part (ii) of this question? Justify your answer.
(6 marks)

(iv)
Outline two further approaches to testing for a permanent change in the riskiness of the Hong Kong market.

(6 marks)
(Total: 20 marks)

Plagiarism

It is the policy of the Department of Economics that attention be drawn to the nature and serious consequences of cheating and plagiarism.

Any student who copies from or otherwise uses the answer of any other person engaged in the performance of the same or comparable component of assessment or permits any other person to copy from or otherwise use his or he