A Time Series Analysis of the Volatility in Three Financial Sector Large Caps
Advisor:Craigmile, Peter F.
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Publisher:The Ohio State University
Series/Report no.:The Ohio State University. Department of Mathematics Honors Theses; 2008
The Ohio State University. Department of Statistics Honors Theses; 2008
The financial sector has been at the center of attention for many investors in 2008 due to price volatility, extreme trading volumes, and innumerable problems within the sub-prime, banking, and brokerage industries. The collapse of Bear Stearns after missing earnings estimates for the fourth quarter of 2007 is one of the more notable catastrophes of 2008. This thesis will analyze three large cap financial stock companies in the investment banking and brokerage industry over the time period from January 2002 to the end of March 2008 to determine whether other companies will undergo similar future downtrends. These companies are Goldman Sachs (GS), Merrill Lynch (MER), and Morgan Stanley (MS).