Beruflich Dokumente
Kultur Dokumente
AMAF Project
Cointegration Test
Submitted To
Prof. Sajal Ghosh
Submitted By:
Mohammad Hasan 13P087
Monika Khetan
13P088
Nitin Dangwal
13P094
1 | Page
Data Explanation
Through the following analysis we want to see whether there is a long term
relationship between the Stock Prices of Two major steel companies in India
1. Tata Steel (with captive mines)
2. Jindal Steels (imported coal)
With the imported coal prices (Australian in the case of India) & Iron Ore
Prices
Basically we want to see how the prices of steel & iron ore effects the stock
prices of two types of steel companies in India. The two types being one with
the captive mines & the other without the mines.
We believe that the above prices along with the stock prices of the two
companies should be closely related in the long term.
The time series used in the analysis are as follows
Coal
t-Statistic
Prob.*
-2.557512
-4.051450
-3.454919
-3.153171
0.3006
t-Statistic
Prob.*
-7.697356
-3.495677
-2.890037
-2.582041
0.0000
t-Statistic
Prob.*
-0.442540
-4.049586
-3.454032
-3.152652
0.9847
t-Statistic
Prob.*
-8.226039
-3.495677
-2.890037
-2.582041
0.0000
t-Statistic
Prob.*
-2.176050
-4.049586
-3.454032
-3.152652
0.4974
Iron Ore
JSW
t-Statistic
Prob.*
-10.44987
-3.495677
-2.890037
-2.582041
0.0000
t-Statistic
Prob.*
-2.509986
-4.049586
-3.454032
-3.152652
0.3229
t-Statistic
Prob.*
-10.01634
-3.495677
-2.890037
-2.582041
0.0000
Tata Steel
Eigenvalue
Trace
Statistic
0.05
Critical Value
Prob.**
None *
At most 1 *
At most 2
At most 3
0.210943
0.194780
0.056397
0.017444
53.97882
29.81325
7.716059
1.794959
47.85613
29.79707
15.49471
3.841466
0.0119
0.0498
0.4962
0.1803
Eigenvalue
Max-Eigen
Statistic
0.05
Critical Value
Prob.**
None
At most 1 *
At most 2
At most 3
0.210943
0.194780
0.056397
0.017444
24.16557
22.09719
5.921100
1.794959
27.58434
21.13162
14.26460
3.841466
0.1291
0.0365
0.6234
0.1803
From above we find Trace test indicates two cointegrating relationship exists.
However Eigen Value test we get that no cointegration exists.
But as Trace shows cointegration we will test the series for cointegration
relationship.
D(TATA)
D(JSW)
D(COAL)
D(IRON_ORE)
CointEq1
0.086092
(0.02826)
[ 3.04692]
0.131443
(0.04569)
[ 2.87657]
0.014376
(0.00339)
[ 4.23641]
-0.002028
(0.00381)
[-0.53229]
D(TATA(-1))
0.068154
(0.15378)
[ 0.44319]
0.355271
(0.24870)
[ 1.42853]
-0.005263
(0.01847)
[-0.28497]
0.031851
(0.02073)
[ 1.53638]
D(JSW(-1))
-0.159193
(0.09292)
[-1.71325]
-0.335635
(0.15027)
[-2.23358]
-0.001122
(0.01116)
[-0.10051]
0.005461
(0.01253)
[ 0.43601]
D(COAL(-1))
-0.551174
(0.75687)
[-0.72822]
-1.184119
(1.22402)
[-0.96740]
0.167968
(0.09090)
[ 1.84785]
0.012260
(0.10203)
[ 0.12016]
D(IRON_ORE(-1))
-0.010661
(0.74787)
[-0.01426]
-0.320294
(1.20946)
[-0.26482]
0.189343
(0.08982)
[ 2.10808]
0.218269
(0.10082)
[ 2.16497]
1.468557
(6.88932)
[ 0.21316]
13.45015
(11.1414)
[ 1.20722]
0.038437
(0.82739)
[ 0.04646]
0.267996
(0.92873)
[ 0.28856]
Chi-sq
df
Prob.
D(JSW)
D(COAL)
D(IRON_ORE)
2.935211
0.530308
0.000203
1
1
1
0.0867
0.4665
0.9886
All
3.418829
0.3314
Chi-sq
df
Prob.
D(TATA)
D(COAL)
D(IRON_ORE)
2.040712
0.935871
0.070132
1
1
1
0.1531
0.3333
0.7911
All
2.873105
0.4116
Chi-sq
df
Prob.
D(TATA)
D(JSW)
D(IRON_ORE)
0.081207
0.010102
4.443991
1
1
1
0.7757
0.9199
0.0350
All
5.323567
0.1496
Chi-sq
df
Prob.
D(TATA)
D(JSW)
D(COAL)
2.360469
0.190101
0.014439
1
1
1
0.1244
0.6628
0.9044
All
7.094540
0.0689
In short term we find only one relation i.e short term causality running from
Iron ore to coal.