Hello

 

This is my first post on this forum and I hope someone can help me out.

I have a datafile (weeklyR) with returns of +- 100 companies.

I acquired this computing the following code:

 

library("tseries");

tickers  = c("GSPC" , "BP" , "TOT" ,    "ENI.MI" , "VOW.BE" ,   "CS.PA"

,

"DAI.DE" ,      "ALV.DE" ,      "EOAN.DE" ,     "CA.PA" ,       "G.MI"

, "DE" , "EXR.MI" ,

"MUV2.BE" , "UG.PA" , "PRU.L", "VOD.L" , "DPB.BE" , "REP.MC" , "RWE.BE"

,

"AGN.AS" , "FTE.PA" , "EAD" , "LGEN.L" , "CNP.PA" , "ULVR.L" , "TKA.BE"

,

"RIO.L" , "NOK" , "SGO.PA" , "RNO.PA" , "VIE.PA" , "BAYN.DE" , "SAN.PA"

,

"DG.PA" , "SSE.L" , "GSK.L" , "EN.PA" , "LYB" , "MLSNP.PA" , "IBE.MC" ,

"EURS.PA" , "AH.AS" , "VIV.PA" , "TIT.MI" , "VOLV-B.ST" , "ABI.BR" ,

"LHA.DE" , "OML.L" , "CNA.L" , "CON.DE" , "PHG" , "AZN.L" , "SBRY.L" ,

"BA.L" , "BT-A.L" , "AF.PA" , "430021.VI" , "SL.L" , "ERIC-A.ST" , "

CDI.PA"

, "AAL.L" , "ALO.PA" , "DELB.BR" , "HOT.BE" , "GAS.MC" , "SU.PA" , "

OR.PA" ,

"FNC.MI" , "MRW.L" , "MAP.MC" , "ML.PA" , "IMT.L" , "EBK.DE" , "PP.PA" ,

"ACN" , "BTI" , "CRG.IR" , "CPG.L" , "BN.PA" , "NG.L" , "T7L.BE" , "

HEIA.AS"

, "ACS.MC" , "LG.PA" , "STAN.L" , "ALU.PA" , "FRE.MU" , "SW.PA" ,

"WOS.L" ,

"AKZA.AS" , "HEN.MU")

for( series in tickers ){

print(series)

close <-

 

get.hist.quote(instrument=series,retclass="zoo",quote="AdjClose",compression
="d",

start="2000-1-1",  end="2011-12-31",quiet=TRUE)

if(series==tickers[1]){ pricedata = close }else{ pricedata = merge(

pricedata , close ) }

}

colnames(pricedata) = tickers

# Avoid a missing because of trade halt for that stock

pricedata = na.approx(pricedata)

weeklyR = diff(log(pricedata))

time(weeklyR) = as.Date(time(weeklyR))

print(weeklyR)

save(weeklyR , file = "weeklyR.Rdata")

write.zoo(weeklyR,file="weeklyR.csv",quote=T,sep=",", na = "NA", dec =

"." ,

row.names = F,col.names = T)

 

Now I need to make a market model in R so i can generate abnormal returns

from these stocks. As market index I would like to use the GSPC. I also

need

to consider abnormal returns calculated over a sixty-trading-day window.

Can this be done in R? Is it difficult to write this code?

 

Any help would be much appreciated!

 

thanks

 

drsenne

 


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