Factors involved in systemic risk of Walmart Stocks (Mathematics & Economics Statistics Project)

Final Report Title: Factors Involved In Systemic Risk of Walmart Stocks
Name, Bowen Fu CID: 54
Introduction
“Systemic risk refers to the risk of a breakdown of an entire system rather than simply the failure of individual parts” (CFA Institute, 2020). The risk affects the financial sector as there are close links linkages within the entire financial system, reflecting risks in the broad financial market CFA Institute, 2020). Systemic risk relates to the risks caused by factors that affect all companies in the market, caused the external factors. The beta coefficient usually expresses the magnitude of systemic risk. The research question is what factors are involved in the systemic risk of Walmart stocks? Systemic risks affect returns, asset prices, and the stability of the financial system. Wal-Mart is a leading retail enterprise, which belongs to the consumer sector, and has an obvious correlation with the economic cycle.
Hypothesis
Y=Return of Walmart
X1 is the S&P 500 Index,
X2 is Consumer Price Index
X3 is Industrial Production Index
X4 is TED Spread, which measures the spread between 3-month LIBOR and Treasury bills
X5 is 3-Month Treasury Bill
Z1 is M1 Money Supply
Z2 is Consumer Credit.
* Hypothesis 1: X1 is positively associated with Y.
* Hypothesis 2: X2 and X3 are positively associated with Y.
* Hypothesis 3: X4 and X5 are negatively associated with Y.
* The Indicators are the S&P 500 index and several macroeconomic variables.
* The Indicators are the S&P 500 index and several macroeconomic variables.
The Indicators are the S&P 500 index and several macroeconomic variables. The return on Wal-mart stock is the dependent variable. The independent variables are the market and macroeconomics variables, which influence returns and, by extension, the price. There are daily, weekly, monthly, and annual variations in the S...