Research direction questions based on time series data

Please tell me about the statistical significance test process and research direction that I have to proceed with with the data

Construction: Construction Company Stock Price Index

Vacancy: Vacancy rates

Kospi: KOSPI Index

Rate: Base rate applied on a daily basis

Bond: 3-year bond yield

CC2: Construction cost index

Exchange:rate of exchange

Rent: Rent Index

It is also possible to write down the dividend yield data converted into numbers.

These data are first-order differential values, excluding vacancy rates, and for Rent, they are non-differential values.

I want to use this data to estimate the rate of return and check the stability through the Sharpe ratio, but I wonder if I can get the code.

As in the attached data format, data was collected in the same way for a total of five items.

[Walter Roberson]

This is not a question about MATLAB.

[형현]

I am very sorry for asking a question that is not directly related to the mat wrap itself.

However, as I collected data and preprocessed it, I felt like I lost the direction of research and wrote a question here in a hurry to seek advice from people who are well versed in statistics.

Answer 1

[Udit06]

Hi @형현

As per the definition of Sharpe Ratio definition given on the following Investopedia resource,

https://www.investopedia.com/terms/s/sharperatio.asp

You can calculate the Sharpe ratio from the data mentioned above using the following steps,

1. Calculate the rate of return for your Construction Company Stock Price Index. This can be done by calculating the percentage change in the index over a period of time.
2. Subtract the risk-free rate from the rate of return to get the excess return. The risk-free rate could be the base rate or the 3-year bond yield in this case.
3. The Sharpe ratio is calculated by dividing the excess return by the standard deviation of the rate of return.

Once you have the Sharpe ratio, you can use a t-test to test its statistical significance. You can refer to the following MathWorks documentation to understand more about t-test.

https://www.mathworks.com/help/stats/ttest.html

I hope this helps.