We have selected 42 observations from the monthly bulletin of the Bucharest Stock

Exchange. This raw data represents the traded shares (X variable) and its turnover (Y variable)
in February and March of the present year.

Date Traded Shares Turnover (RON)

02.02.2009 5,403,514.00 1,879,119.48
03.02.2009 3,245,718.00 1,222,817.83
04.02.2009 7,500,332.00 2,579,067.62
05.02.2009 5,737,005.00 2,444,467.01
06.02.2009 5,049,353.00 1,730,092.10
09.02.2009 2,993,196.00 1,101,750.64
10.02.2009 1,808,274.00 705,179.22
11.02.2009 6,186,518.00 2,355,701.65
12.02.2009 13,946,398.00 6,209,479.06
13.02.2009 12,423,715.00 4,923,604.66
16.02.2009 8,907,782.00 3,206,025.83
17.02.2009 10,773,795.00 3,542,856.33
18.02.2009 11,417,417.00 3,347,756.87
19.02.2009 7,833,768.00 2,557,032.70
20.02.2009 10,467,840.00 3,462,192.83
23.02.2009 4,006,705.00 1,236,808.67
24.02.2009 8,779,805.00 2,470,934.48
25.02.2009 11,856,792.00 3,570,525.56
26.02.2009 6,777,797.00 1,945,496.40
27.02.2009 7,328,769.00 2,177,383.64
02.03.2009 2,703,902.00 778,406.38
03.03.2009 4,898,424.00 1,503,212.69
04.03.2009 6,230,026.00 2,103,037.85
05.03.2009 8,815,584.00 3,086,765.53
06.03.2009 7,134,930.00 2,205,016.17
09.03.2009 10,504,816.00 3,328,595.49
10.03.2009 11,674,273.00 3,765,877.67
11.03.2009 17,707,743.00 5,884,537.67
12.03.2009 7,216,209.00 2,624,394.96
13.03.2009 15,072,826.00 4,988,690.30
16.03.2009 9,970,215.00 3,620,283.31
17.03.2009 14,376,964.00 5,274,961.37
18.03.2009 9,386,785.00 3,427,668.08
19.03.2009 17,438,934.00 6,756,517.98
20.03.2009 5,196,603.00 2,177,679.34
23.03.2009 14,941,163.00 6,715,704.59
24.03.2009 31,224,878.00 12,851,219.79
25.03.2009 10,001,218.00 4,310,862.02
26.03.2009 16,064,354.00 7,212,439.67
27.03.2009 14,206,280.00 6,410,988.44
30.03.2009 8,850,338.00 3,526,870.13
31.03.2009 7,639,409.00 3,028,229.49

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 I. For each of the two variables:

a) Calculate and interpret the average, standard deviation and the coefficient of variation
for row data. Interpret the results. Is the data series homogenous?

1. Traded shares (X):

 AVERAGE:
n

x shares (1)
x  i 1
 9, 611, 913.50
n

 STANDARD DEVIATION:
2

 xi 
n

  x0
shares (2)
s  i 1
 5,323,400.96
n 1

where s 2  28,338,597,748,093.80 is the variance.

 COEFFICIENT OF VARIATION:
s 5,323,400.96
cv   100   100  55.38% (3)
x 9,611,913.50
The coefficient of variation is higher than 35% so we concluded that the data is homogenous,
meaning that the average is representative.

2. Turnover (Y)

 AVERAGE:
n

x RON (4)
x  i 1
 3,529,767.89
n

 STANDARD DEVIATION:
2

 
n

 xi  x0 RON (5)
s  i 1
 2,257,093.08
n 1

where s 2  5,094,469,162,311.86 is the variance.

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  COEFFICIENT OF VARIATION:
s 2,257,093.08
cv   100   100  63.94% (6)
x 3,529,767.89
The coefficient of variation is higher than 35% so we concluded that the data is
homogenous, meaning that the average is representative.

b) Summarize the data in an appropriate number of classes. Construct the frequency

distribution.

The number of intervals was calculated using the following relation:

2k  42  k  6 (7)

1. Traded shares (X)

We have chosen the size of the intervals of 5,000,000 traded shares. The classes begin
at 1,500,000 and end at 31,500,000.

  LL UL Interval Frequency (fi)

class 1 1,500,000 6,500,000 1500000 up to 6500000 12
class 2 6,500,000 11,500,000 6500000 up to 11500000 18
class 3 11,500,000 16,500,000 11500000 up to 16500000 9
class 4 16,500,000 21,500,000 16500000 up to 21500000 2
class 5 21,500,000 26,500,000 21500000 up to 26500000 0
class 6 26,500,000 31,500,000 26500000 up to 31500000 1
Total 42
Table 1 Frequency distribution for traded shares

2. Turnover (Y)

We have chosen the size of the intervals of 2,050,000 RON. The classes begin at
700,000 and end at 13,000,000.

  LL UL Interval Frequency (fi)

class 1 700000 2,750,000 700000 up to 2750000 19
class 2 2,750,000 4,800,000 2750000 up to 4800000 13
class 3 4,800,000 6,850,000 4800000 up to 6850000 8
class 4 6,850,000 8,900,000 6850000 up to 8900000 1
class 5 8,900,000 10,950,000 8900000 up to 10950000 0
class 6 10,950,000 13,000,000 10950000 up to 13000000 1
Total 42
Table 2 Frequency distribution for turnover

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 c) Calculate and interpret for the frequency distribution the average, standard deviation
and coefficient of variance. Compare with the results from point a). Explain the
differences.

1. Traded shares (X)

Frequency Class midpoint

 x i  avg   f i  x i  avg   f i / N
2 2
x i  fi
(fi) (xi)
12 4,000,000 48,000,000 375,680,272,108,844 8,944,768,383,543.89
18 9,000,000 162,000,000 6,377,551,020,408 151,846,452,866.86
9 14,000,000 126,000,000 174,617,346,938,775 4,157,555,879,494.65
2 19,000,000 38,000,000 176,899,092,970,522 4,211,883,165,964.80
0 24,000,000 0 0 0.00
1 29,000,000 29,000,000 376,544,784,580,499 8,965,352,013,821.40
Total 42  403,000,000 1,110,119,047,619,050 26,431,405,895,691.60
a)

Average (avg) 9,595,238

Standard deviation 5,141,148
Coefficient of variation 0.535802057 54%
b)
Table 3 Calculation of average, standard deviation and coefficient of variation for the traded shares

2. Turnover (Y)

Frequency Class midpoint

 xi  avg   f i  xi  avg   f i / N
2 2
(fi) (xi) x i  fi

19 1,725,000 32,775,000 61,967,816,043,084 1,475,424,191,502.00

13 3,775,000 49,075,000 774,270,124,717 18,435,002,969.44
8 5,825,000 46,600,000 42,101,235,827,664 1,002,410,376,849.15
1 7,875,000 7,875,000 18,870,749,716,553 449,303,564,679.84
0 9,925,000 0 0 0
1 11,975,000 11,975,000 71,301,940,192,744 1,697,665,242,684.38
Total 42   148,300,000 195,016,011,904,762 4,643,238,378,685
a)

Average (avg) 3,530,952

Standard deviation 2,154,817
Coefficient of variation 0.61026523 61%
b)
Table 4 Calculation of average, standard deviation and coefficient of variation for the turnover

In both cases we can observe that the values obtained now are lower than the ones at
point a). The explanation consists in the fact that here we have considered the middle point of
the interval as data.

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 d) Construct a histogram and describe the shape of the distribution based on the
histogram.

1. Traded Shares (X)

Histogram for Traded Shares

20
18
16
14
12
10
8
6
4
2
0
1500000 up 6500000 up 11500000 up 16500000 up 21500000 up 26500000 up
to 6500000 to 11500000 to 16500000 to 21500000 to 26500000 to 31500000

Figure 1 Histogram for the traded shares

The shape of the histogram reveals us that the distribution is not equal. It presents a
maximum of 18 values between 6,500,000 and 11,500,000 traded shares. Between 21,500,000
and 26,500,000 there were no traded shares.

2. Turnover (Y)

Histogram for Turnover

20
18
16
14
12
10
8
6
4
2
0
700000 up to 2750000 up to 4800000 up to 6850000 up to 8900000 up to 10950000 up
2750000 4800000 6850000 8900000 10950000 to 13000000

Figure 2 Histogram for the turnover

The shape of the histogram reveals us that the distribution is not equal. It presents a
maximum of 19 values between 700,000 RON and 2,750,000 RON. Between 8,900,000 and
10,950,000 there is no registered turnover.
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 e) In which interval is expected that about 95% of the data will fall? Is this assumption
true for this data?

Figure 3 The empirical rule

(Source: Prof. Ph.D. Erika Marin, Managerial Data Analysis course materials)

The empirical rule tells us how the data is spread based on the standard deviation, as
represented in the graphic above.
Based on the empirical rule 95% of the data will fall in the following interval:
x  2s , x  2s 
1. Traded Shares (X)
For the X variable we have the interval below:
 -1, 034, 888.414, 20, 258,715.41
The traded shares in the analyzed period of time are lower than 20,258,715.41 with a
probability of more than 95,45%.

2. Turnover (Y)
For the Y variable we have the interval below:
 -984, 418.2629, 8,043, 954.049 
The turnover in the analyzed period of time are lower than 8,043,954.049 with a
probability of more than 95,45%.

II. Using the “Pivot Table Wizard” in EXCEL, build a pivot table on your spreadsheet
(using also the second variable).

Date Traded Shares Turnover (RON) Market Activity

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 02.02.2009 5,403,514.00 1,879,119.48 Low Activity
03.02.2009 3,245,718.00 1,222,817.83 Low Activity
04.02.2009 7,500,332.00 2,579,067.62 Low Activity
05.02.2009 5,737,005.00 2,444,467.01 Low Activity
06.02.2009 5,049,353.00 1,730,092.10 Low Activity
09.02.2009 2,993,196.00 1,101,750.64 Low Activity
10.02.2009 1,808,274.00 705,179.22 Low Activity
11.02.2009 6,186,518.00 2,355,701.65 Low Activity
12.02.2009 13,946,398.00 6,209,479.06 Moderate Activity
13.02.2009 12,423,715.00 4,923,604.66 Moderate Activity
16.02.2009 8,907,782.00 3,206,025.83 Low Activity
17.02.2009 10,773,795.00 3,542,856.33 Moderate Activity
18.02.2009 11,417,417.00 3,347,756.87 Moderate Activity
19.02.2009 7,833,768.00 2,557,032.70 Low Activity
20.02.2009 10,467,840.00 3,462,192.83 Moderate Activity
23.02.2009 4,006,705.00 1,236,808.67 Low Activity
24.02.2009 8,779,805.00 2,470,934.48 Low Activity
25.02.2009 11,856,792.00 3,570,525.56 Moderate Activity
26.02.2009 6,777,797.00 1,945,496.40 Low Activity
27.02.2009 7,328,769.00 2,177,383.64 Low Activity
02.03.2009 2,703,902.00 778,406.38 Low Activity
03.03.2009 4,898,424.00 1,503,212.69 Low Activity
04.03.2009 6,230,026.00 2,103,037.85 Low Activity
05.03.2009 8,815,584.00 3,086,765.53 Low Activity
06.03.2009 7,134,930.00 2,205,016.17 Low Activity
09.03.2009 10,504,816.00 3,328,595.49 Moderate Activity
10.03.2009 11,674,273.00 3,765,877.67 Moderate Activity
11.03.2009 17,707,743.00 5,884,537.67 Moderate Activity
12.03.2009 7,216,209.00 2,624,394.96 Low Activity
13.03.2009 15,072,826.00 4,988,690.30 Moderate Activity
16.03.2009 9,970,215.00 3,620,283.31 Low Activity
17.03.2009 14,376,964.00 5,274,961.37 Moderate Activity
18.03.2009 9,386,785.00 3,427,668.08 Low Activity
19.03.2009 17,438,934.00 6,756,517.98 Moderate Activity
20.03.2009 5,196,603.00 2,177,679.34 Low Activity
23.03.2009 14,941,163.00 6,715,704.59 Moderate Activity
24.03.2009 31,224,878.00 12,851,219.79 High Activity
25.03.2009 10,001,218.00 4,310,862.02 Moderate Activity
26.03.2009 16,064,354.00 7,212,439.67 Moderate Activity
27.03.2009 14,206,280.00 6,410,988.44 Moderate Activity
30.03.2009 8,850,338.00 3,526,870.13 Low Activity
31.03.2009 7,639,409.00 3,028,229.49 Low Activity
Table 4 Categorization of the traded shares based on the market activity
The Market Activity column of the above table was built using the vlook-up function in
Microsoft Excel. This function was applied on Table 5. We have chosen three forms of market
activity which categorize the volume of traded shares.

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 LL Market Activity Interval
1,000,000 Low Activity 1,000,000-10,000,000
10,000,000 Moderate Activity 10,000,000-20,000,000
20,000,000 High Activity more than 20,000,000
Table 5 Table for building the vlook-up function

In order to characterize the market we have built a pivot table showing the average
transaction unit price and the market activity structure, based on the number of traded shares.
The average transaction value is automatically calculated by the pivot table, by dividing the
turnover to the number of traded shares.

Market Activity Count of Traded Shares Average of Average Transaction Value

Low Activity 59.52% 0.3490
Moderate Activity 38.10% 0.3744
High Activity 2.38% 0.4116
Grand Total 100.00% 0.3672
Table 6 The Pivot table built using the two selected variables

III. Calculate the regression line, the coefficient of determination and coefficient of
correlation. Interpret the results.

14,000,000.00
12,000,000.00
10,000,000.00
Turnover

8,000,000.00
6,000,000.00
4,000,000.00
2,000,000.00
0.00
0.00 5,000,0 10,000, 15,000, 20,000, 25,000, 30,000, 35,000,
00.00 000.00 000.00 000.00 000.00 000.00 000.00

Traded shares
Figure 4 Scatter Diagram of the two variables

Figure 4 shows the relationship between the traded shares and the turnover. It can be
observed that the points are very close to or directly on the trend line. They are not very
scattered on the plot area, fact which reveals the linear relations between the two variables.

 The regression equation:

Y  b0  b1 X = - 437614  0.412757 X

8
 where b0 is the point where the line will intersect the y-axis and b1 is the slope of the line. The
values where calculated with the intercept and slope functions in Microsoft Excel.

 Coefficient of determination:
R 2  0.973495291
The fact that the coefficient of determination is very close to its maximum value of 1,
means that there is a close relationship between the values.

 Coefficient of correlation:

r  R 2 = 0.947693081
The coefficient of correlation is also close to the maximum value, which means that there is a
close relationship between the selected variables.

 P-values:

  Coefficients Standard Error t Stat P-value

Intercept -437613.9306 167994.8322 -2.604924954 0.012839877
X Variable 1 0.412756713 0.01533239 26.92057179 0.000000000000000000000000003

The P-values are less than α, 0.0000< 0.013, that means that the coefficients are
statistically coherent and we have a linear relationship between the 2 variables, X and Y.

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References:

Marin E.; Managerial Data Analysis Course Material

http://www.bvb.ro/info/Rapoarte/Lunare/Februarie2009.pdf
http://www.bvb.ro/info/Rapoarte/Lunare/Martie2009.pdf

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