Fin223 Draft

Date: 16th December 2019
FIN223
INVESTMENT
ANALYSIS
(For Potential Investors and Current Stockholders)
Group member: Ayman Rohile (6151188),

Jain Thomas (5916690) and Nikhil Koshy
(5874853)
University of Wollongong in Dubai
TABLE OF CONTENTS
Executive Summary............................................................................................................. 3
Introduction.......................................................................................................................... 4
Overview About The Chosen Companies..........................................................................4
1. Air Arabia..............................................................................................................................4
2. Emaar Properties.................................................................................................................5
3. Emirates National Bank Of Dubai (ENBD)...........................................................................5
1. Regression Analysis And T-Statistic Test...............................................................6
1.1 Regression Analysis And T Statistic Test Of Air Arabia...................................................7
1.2 Regression Analysis And T-Statistic Test Of Emaar Properties......................................8
1.3 Regression Analysis And T-Statistics Of Emirates National Bank Of Dubai (Ebnd)........9
2. Chow Break-Point Test...........................................................................................10
2.1 Chow Break-Point Test Of Air Arabia..................................................................................11
2.2 Chow Break Point Of Emaar Properties..............................................................................11
2.3 Chow Break-Point Test Of Emirates National Bank Of Dubai (Enbd).................................12
3. Analysis Of Beta (With Breakpoint In Time-Period)..............................................13
3.1 Beta Analysis Of Air Arabia............................................................................................13
3.2 Beta Analysis Of Emaar Properties................................................................................14
3.3 Beta Analysis Of Emirates National Bank Of Dubai (Ebnd)...........................................15
Recommendations............................................................................................................. 16
Conclusion......................................................................................................................... 18
Appendix............................................................................................................................ 19
Appendix 1: Return Calculation.................................................................................................19
Appendix 2: Break Point Beta Of Air Arabia..............................................................................20
Appendix 3: Breakpoint Beta Of Emaar Properties...................................................................21
Appendix 4: Breakpoint Beta Of Enbd.......................................................................................22
References.......................................................................................................................... 23
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2
EXECUTIVE SUMMARY
Decision making for investing in the financial markets can be stressful, so it is

important to understand how securities respond to changes in the market. This
report takes into consideration the stocks issued by three companies which are listed
in the Dubai Financial Market. Dubai Financial Market (DFM) is a stock market
located in Dubai which launched its financial activities in March 26, 2000. Currently,
it trades 76 equities out of which 13 in banking sector (DFM n.d.) However, in 27 th
December 2005, the Executive Council of Dubai made its decision to transform the
fully owned government stock market into a “public shareholding company with a
capital of AED 8 billion divided into 8 billion shares, and 20% of the capital, equal to
1.6 billion shares” which was offered through an IPO (DFM n.d.). The IPO exceeded
their expectation with subscription that totalled to AED 201 billion. The chosen
companies are Air Arabia from the transportation sector, Emaar Properties from the
real estate industry and last but not least, Emirates National Bank of Dubai (ENBD)
from the banking sector. The purpose of selecting companies from three different
industries is to gain useful insights from investing in stock with different backgrounds
and how that affects the beta values of the securities. The report analyses various
features of stock issued by the aid companies by conducting statistical tests.
Moreover, it also provides recommendation on which stock are deemed favourable
according to the risk preferences and characteristics of the investors.
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INTRODUCTION
The report will provide a brief overview of the selected companies i.e. Air Arabia,
Emaar Properties and Emirates National Bank of Dubai. The purpose of the report is
to examine if the stocks of the respective companies are considered stable or not. To
achieve this objective, data about closing stock prices for each firm was collected on
a monthly basis from the Thomson Reuters Website. The methodology used for
conducting the analysis is calculating returns on stock and on the Dubai Financial
Market Index. With this information, it performed Regression Analysis, T- Statistic
and Chow Break-Point test to examine certain aspects and characteristics of the
securities with the help of the statistical tool, E-Views. Additionally, data was divided
into three time periods which was instrumental in observing how the beta value
changed for a certain time period. However, the data collected was for the 1 st Jan
2010 to 31st August 2019. So, it should be noted that all limitations that occur from
using historical data should be considered for this report. The results observed from
the statistical analysis may not give a fair picture of the underlying trend. Also, the
beta calculated might not necessarily be accurate in predicting future volatility of the
stocks. Yet, it is useful information for assessing the level of stability provided by the
shares in the form of returns.
The next section of the essay will introduce each company and provide an
introduction about its financial performance and its operations.
OVERVIEW ABOUT THE CHOSEN COMPANIES
1. AIR ARABIA
Air Arabia is the first and largest low-cost carrier in Middle East and North Africa
that begun in the year 2003. The airline flies to 170 destinations spread across
Middle East, North Africa, Asia and Europe. (Rizvi 2013). In the year 2005, the
company had their financial break as they had made a net profit of AED 31.3
4
million. In the year 2006, their net profit was AED 376 million and finally in 2016
their net profit reached AED 531 million (AirArabia.com n.d.).
Recently, there are many emerging budget friendly airline service providers,
however, Air Arabia has proved to be the most effective one. The low-cost carrier
won ‘Merit Award for CAPA Low Cost Airline of the Year’ in 2006 and the ‘World
Airline Award for Best Low-Cost Airline in the Middle East’ in the consequent year
(Rizvi 2013). Currently, the company has not only earned a revenue of
approximately AED 3.7 billion and gained a profit of AED 566 million for rendering
services but also owns assets worth over AED 10.574 million (AirArabia.com
n.d.).
2. EMAAR PROPERTIES
Emaar Properties PJSC is a global construction company which was started on
2nd June 1997. Their international presence is spread across Middle East, North
Africa, Pan-Asia, Europe and North America. Emaar has its operations in UAE,
Kingdom of Saudi Arabia, Syria, Jordan, Lebanon, Egypt, Morocco, India,
Pakistan, Turkey, USA, Italy and Canada (Emaar n.d.).
They are the proud builders of the world’s tallest building- The Burj Khalifa.
Looking at Emaar properties foundation, their total assets worth over AED 62.8
billion (USD 17 billion) as on September 2013. They own more than 232 million
square metre of land internationally and has 12 hotels and resorts that assist
them in generating revenue. In the year 2013 Emaar has recorded a net profit of
AED 2.568 billion (USD 699 million). In the first half of the year 2014 they
recorded a net profit of AED 1.731 billion (USD 471 million). Emaar can proudly
say that they have worked on 2 million square feet of land out of which 639,000
square feet was in the international market (ArabianBusiness.com 2014).
3. EMIRATES NATIONAL BANK OF DUBAI (ENBD)

Emirates NBD is one of the top banks in the Middle east, North Africa and Turkey
region. It came into existence after H.H Late Sheikh Rashid bin Saeed Al
Maktoum signed the Charter of Incorporation of the National Bank of Dubai on
5
16th June 1963. Emirates NBD was listed on the Dubai Financial Market on 16 th
October 2007 (Emirates NBD n.d.).
Now the bank has its operations in the UAE, India, Egypt, Turkey, Kingdom of
Saudi Arabia, Germany, Russia, Austria etc. In total they have 980 branches all
around the world with 3964 ATMs. Emirates NBD has a lot of services like Islamic
banking, investment banking, asset management, private banking, global
markets & treasury and brokerage operations.
The total assets of the bank were AED 675.6 Billion (approx. USD 184 Billion) as
on September 2019. Today, the bank has its presence in over 13 countries and
has 14 million customers. The bank is ranked in the top 20 by Forbes in the
world’s best regarded companies (Emirates NBD n.d.).
Moving on, the report will give an overview of Regression Analysis and T-Statistics
as well as analyse the results of the statistical tests conducted on the returns of the
stocks issued by the above-mentioned companies.
1. Regression Analysis and T-Statistic Test
Regression Analysis is synomous to analysing investment returns where the

market is taken as the independent variable while the securities issued by a
company assumed to be the dependent variable. It plays an instrumental role in
formulating the hypothesis that the independent variable is ‘significantly
independent from the dependent variable.
A regression model is said to be statically good if the R-Square is more than 60

percent i.e. more of 60 percent of dependent variable is significantly influenced
by the independent variable. This, from an investor’s point of view, means that
the variation in the returns offered by company stock is influenced by the
variations that occur in the market. Moving on, this report will conduct regression
analysis on the selected companies (Xiaolin 2018).
Apart from interpreting the regression analysis, t statistic test is also used for
understanding the predictability of stock returns. In this case, we will be looking at
6
conducting a test to prove that most of the independent variable is individually
significant to explain the dependant variable at 95 percent level of significance.
So, the null hypothesis (H 0) is set as majority of independent variable is not
individually significant to explain dependent variable. The alternative
hypothesis (H1) is most of the independent variable is significant to explain
dependent variable.
1.1 Regression Analysis and T statistic test of Air Arabia.
From looking at the regression analysis, we can observe the beta coefficient
of Air Arabia (i.e. coefficient of market rate) is 0.580939 and hence, the stock
is defensive in nature. This means that stock would be able to provide
constant dividends and remain stable during various phases of the business
cycle.
Upon looking at the regression analysis of Air Arabia, it is observed that R

square is 0.287626. It is understood that about 28.7626 percentage of
fluctuations in returns of Air Arabia is determined by fluctuation in the market.
Moreover, over 71.2374 percent of the movement of the company’s
performance is not significantly influenced by the movement in the Dubai
Financial Market General Index and hence, is influenced by other
independent variables. This means that this regression model is weakly fitted
which explains the reason as to why the changes in the market return do not
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adequately explain changes in the return of Air Arabia. One could conclude
that there are other factors that impact the returns of this firm.
Furthermore, when overseeing the analysis for evidence whether most of the
independent variable is individually significant to explain the dependant
variable at 95 percent level of significance, the probability value is considered.
In this case, p value is 0.0000 which is less than 0.05. As a matter of fact, we
reject null hypothesis. It can be said that there is enough evidence to
conclude that majority of the Dubai Financial Market conditions is
individually significant to explain the variation caused in returns of Air
Arabia.
1.2 Regression Analysis and T-Statistic Test of Emaar Properties

Dependent Variable: EMR
Method: Leas t Squares
Date: 12/09/19 Tim e: 10:12
Sam ple: 2010M02 2019M08
Included obs ervations : 115
Variable Coefficient Std. Error t-Statis tic Prob.
C 0.001225 0.004456 0.274988 0.7838

RM 1.166313 0.061794 18.87406 0.0000
R-squared 0.759180 Mean dependent var 0.006805

Adjusted R-s quared 0.757049 S.D. dependent var 0.096729
S.E. of regres sion 0.047678 Akaike info criterion -3.231472
Sum s quared res id 0.256866 Schwarz criterion -3.183734
Log likelihood 187.8097 Hannan-Quinn criter. -3.212096
F-statis tic 356.2302 Durbin-Wats on s tat 2.254870
Prob(F-s tatis tic) 0.000000
of Emaar Properties (i.e. coefficient of market rate) is 1.166313 and hence,
the stock is aggressive in nature. This means that stock is riskers but would
higher returns in lieu of undertaking such an investment.
From the regression analysis of Emaar Properties, it is observed that R

square is 0.759180. It is understood that about 75.9180 percentage of
fluctuations in returns of Emaar Properties is determined by fluctuation in the
market. Moreover, over 24.082 percent of the movement of the company’s
performance is not significantly influenced by the movement in the Dubai
8
Financial Market General Index and hence, is influenced by other
independent variables. However, the regression analysis is good model to
explain the variations caused in the closing prices of stocks by Emaar
Properties as R square is more than 60 percent.
Moreover, when overseeing the analysis for evidence whether most of the
variable at 95 percent level of significance, p value is 0.0000. This is less than
0.05 and therefore we reject null hypothesis. It can be noted that there is
enough evidence to support the statement that most of the Dubai Financial
Market is separately significant to explain the returns of the said
company, Emaar Properties.
1.3 Regression Analysis and T-statistics of Emirates National Bank of Dubai

(EBND)
Dependent Variable: ENBD
Date: 12/09/19 Tim e: 10:13
Sam ple: 2010M02 2019M08
Included obs ervations: 115
C 0.009922 0.005925 1.674464 0.0968

RM 0.818742 0.082173 9.963660 0.0000
R-s quared 0.467670 Mean dependent var 0.013838

Adjus ted R-s quared 0.462960 S.D. dependent var 0.086515
S.E. of regres s ion 0.063401 Akaike info criterion -2.661451
F-s tatis tic 99.27452 Durbin-Wats on s tat 2.187043
Prob(F-statis tic) 0.000000
of ENBD (i.e. coefficient of market rate) is 0.818742 and hence, the stock is
defensive in nature. This means that stock would be able to provide constant
dividends and remain stable during various phases of the business cycle.
It is noted that R square is 0.467670 which about 46.7670 percentage of

fluctuations in returns of ENBD is caused by fluctuation in the market.
Moreover, over 53.233 percent of the variations of the company’s
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performance is not influenced by the variations in the national stock market
and hence, is influenced by other independent variables. Yet, the regression
analysis is a poor model to explain the variations caused in the closing prices
of stocks by Emaar Properties as R square is less than 60 percent. It can be
justified with the fact that there are other aspect that determine the returns of
the ENBD’s securities.
Moreover, when overseeing the analysis for evidence whether most of the
variable at 95 percent level of significance, p value is 0.0000. This is less than
0.05 and therefore we reject null hypothesis. It can be noted that there is
enough evidence to support the statement that most of the Dubai Financial
Market is separately significant to explain the returns of Emirates
National Bank of Dubai.
2. Chow Break-Point Test
Chow Break- Point is done to test predictability of stock returns. In other words, it
indicates structural changes in all of the equation parameters. It is performed
using regression that contains all the variables that is to be measured. The
purpose behind the Chow Break Point test is to evaluate how the stock
responded to change in policy or shock in market (Greene n.d.). This means to
check if parameters are stable over time. Therefore, the null hypothesis (H 0) is
there is no structural break in the set of data (i.e. 1=2). Alternative
hypothesis is that there is structural break in the set of data (i.e. 12).
The next section will conduct Chow Break-Point test for each of the company’s
stock return.
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2.1 Chow Break-Point test of Air Arabia
Chow Breakpoint Test: 2013M01 2016M03
Null Hypothesis: No breaks at specified breakpoints
Varying regressors: All equation variables
Equation Sample: 2010M02 2019M08
F-statistic 0.163061 Prob. F(4,109) 0.9566

Log likelihood ratio 0.686096 Prob. Chi-Square(4) 0.9530
Wald Statistic 0.652243 Prob. Chi-Square(4) 0.9571
The constancy of F- statistic is 0.9566. At 95 percent level of significance,

alpha is 0.05. So, probability of F-statistic is more than p- value. Hence,
probability of F-statistic is more obvious, and one would logically accept null
hypothesis. Thus, there is enough evidence to defend the fact that there was
no structural break in the sample set of stock returns. In other words,
parameters are stable over time and that 1=2.
2.2 Chow Break Point of Emaar Properties


The probability of F- statistic is 0.1041. At 95 percent level of significance,

alpha is 0.05. So, probability of F-statistic is more than p-value. Hence,
probability of F-statistic is more obvious, and one would a null hypothesis.
Thus, there is enough evidence to support the fact that there was no structural
break in the sample set of stock returns. In other words, parameters are
stable over time and 1=2.
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2.3 Chow Break-Point Test of Emirates National Bank of Dubai (ENBD)

The probability of F- statistic is 0.8715. At 95 percent level of significance,

alpha is 0.05. So, probability of F-statistic is more than p- value. Hence,
probability of F-statistic is significant than p-value, and one would accept null
hypothesis. Thus, there is enough evidence to support the fact that there was
no structural break in the sample set of stock returns and that parameters are
stable. In other words, 1=2.
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3. Analysis of Beta (with breakpoint in time-period)
Beta is the measure of systemic risk that arises from being exposed to changes in
the market and business environment. Due to such changes, beta value of the
respective stock accordingly. Variations observed in beta can be said to be caused
by the daily operations and financial performance of the organization.
.1 Beta Analysis of Air Arabia
BETA ANALYSIS OF AIR ARABIA

0.7
0.659723
0.6
0.604763
0.5
0.458254
BETA VALUES
0.4
0.3
0.2
0.1
2010-2013 2013-2016 2016-2019

TIME PERIOD
It can be observed that beta values for the time period, 1 st Jan 2010 to 31st
August 2019, range from 0.458254 to 0.659723. It can be said that beta is
relatively stable as the increase in the volatility of stock return is not depicted
by steep upward slope in the graph but with a rather gentle upward trend.
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.2 Beta Analysis of Emaar Properties
BETA ANALYSISOFEMAAR
1.8
1.6
1.543344
1.4 1.358138
1.2
BETA VALUES
1
1.059096
0.8
0.6
0.4
0.2
2010-2013 2013-2016 2016-2019

Time Period
One can note that beta value for Emaar Properties stocks ranges from
1.358138 to 1.543344 for the given period. However, it is hard to ignore the
fact that beta value drastically reduced to 1.059095 during the time period Jan
2013 to March 2013. This means that beta value reduced by approximately
30 percent from the initial beta recording. Nevertheless, it rapidly increased to
1.54344 which is an upward trend by 50 percent. It can be concluded from the
steep rise and fall in the graph shown above that the stock is riskier and
hence, not stable.
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.3 Beta Analysis of Emirates National Bank of Dubai (EBND)
BETA ANALYSIS OF ENBD

1.2
1.057775
1
0.798926
0.8
BETAVALUES
0.675686
0.6
0.4
0.2
0
2010-2013 2013-2016 2016-2019
TIME PERIODS
It can be observed that beta values for the time period, 1st Jan 2010 to 31st
August 2019, range from 1.05775 to 0.675686. It can be said that beta is
relatively stable as the increase in the volatility of stock return is not depicted
by steep upward slope in the graph but with a rather gentle downward trend.
When compared to
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RECOMMENDATIONS
To summarize the beta for Air Arabia for the whole time period is 0.580939. This
means that the when the market declines by 10 percent, the return decreases by
approximately 5.8 percent only. Yet, when the market increases by 10 percent, it
would only experience a 5.8 percent increase. Since beta is less than one, it
suggests that the beta is low which points out to low risk and a higher valuation or a
superior performance (Mayo 2014). Beta coefficients are reliable in predicting future
stock returns and hence, if an investor prefers to stability over higher yield, they
would be inclined to invest in stocks of such companies (Mayo 2014). Furthermore,
investing in stock issued by budget-friendly airline service providers is
something a shrewd investor would do as he is aware of the fact that demand for
such services is inelastic and also on the rise by frequent passengers (Turner &
Morell 2003). Therefore, their business will be thriving even when the economy
suffers a shock (Hung & Liu 2005). This explains why the beta is low and it would be
good decision for potential investors to put money into, if they are income-oriented
investors.
Meanwhile, the beta coefficient for Emaar Properties for the time frame is 1.16613. It
is obvious when the market return increases by 15 percent, then the return of the
security would increase by approximately 17.495 percent. However, the investor
would be devastated if the return declines by 23.326 percent when the market
experiences a slump by 20 percent. This points out the fact that this stock is riskier
and is more volatile than the market. This is because real estate and construction
sector gets heavily impacted by economic recession. Financial analysts state that if
there is decrease of cash flow in the economy of Dubai, real estate industry would
face difficulty in raising fund for project that in turn, impact its financial performance
(Varghese 2019). This explains why the regression model was strongly fitted to
explain the fluctuation caused in the securities. Investing in this industry is decision
that varies that according to risk preferences of future stockholders. If an investor is
willing to bear more risk and getting higher return as compensation, then holding
stock in Emaar Properties is a feasible option. Otherwise, it would be a half-witted
idea for potential investors to buy a stake in if they are interested to be risk averse
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and looking for ‘safer’ stocks. Since it is an aggressive stock, it is recommended
to be an attractive investment for younger potential stockholders to invest in
as they aspire to earn higher returns as compensation for undertaking high
level of risk.
Last but not the least, stock that is being discussed is issued by Emirates National
Bank of Dubai (ENBD) which has a beta coefficient of 0.818742. One would say that
when the market increases by 10 percent, the stock’s return increases by 8.18
percent while the market drops down by 10 percent, it would decrease by only 8.18
percent (Mayo 2014). Comparing to securities issued by ENBD, this is relatively a
safer option as it is less volatile than the market. Nevertheless, it should be noted
that economic downturn that affected small and medium private enterprises which
leads to failure in their payment and in turn, posing a hurdle to the financial stability
of the banking sector (Moukahal 2011). This can be proved by the decrease in the
returns of ENBD’s stocks for the recent years. Yet, the stability in the returns
makes it a viable option to investors and is highly suggested as a worth option
for investment to risk- averse investors.
To summarise, another suggestion given to future investors is to allocate money in

different industries as the best way to make the most out of the funds invested.This
is known as inter-industry diversification which gives the benefit of minimizing risk
and increasing returns. Though it might be complicated and require huge amount of
funds to be invested, it allows to maximize returns as different industries would react
in different ways to the same event. It should be kept in mind; a certain level of risk
cannot be minimized which is known as undiversifiable risk. Portfolio
Diversification is not limited to industries but can done by investing beyond
geographical boundaries. Investing in other countries in Europe and North America
can offset the risk of investing in the UAE during economic slumps.
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CONCLUSION
In conclusion, the report was able to examine the computation of beta of the selected
firms. From the analysis, it is observed that stocks issued by Air Arabia are most
stable of the three while securities of Emaar Properties are more volatile than the
market. Hence, it is recommended for potential investors to put their money into
shares that is favourable to their risk preferences and investment plans. In this case,
Air Arabia and Emirates National Bank of Dubai would be preferred by risk-averse
investors as well as well as investors who put emphasis on earning income.
Emirates National Bank of Dubai (ENBD) is a viable investment option for investors
willing to bear more risk. The report was instrumental in pointing out features and
characteristics of each stock. Though it may not be necessarily accurate for
predicting future stock return, it helped in providing useful insights in gauging the
volatility of stock return in comparison to overall market.
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APPENDIX
APPENDIX 1: RETURN CALCULATION

Exchange Date ENBD RENBD AAB RAB EMAAR REM DFMGI RDFM
31-Jan-2010 0.640 0.245 0.616 433.28
28-Feb-2010 0.662 +0.033 0.267 +0.084 0.598 -0.031 433.69 0
31-Mar-2010 0.839 +0.237 0.267 +0.000 0.802 +0.295 501.99 0.15
30-Apr-2010 0.809 -0.036 0.257 -0.039 0.784 -0.023 473.72 -0.06
31-May-2010 0.749 -0.077 0.233 -0.098 0.672 -0.155 430.09 -0.1
30-Jun-2010 0.662 -0.124 0.233 +0.001 0.614 -0.090 398.05 -0.08
31-Jul-2010 0.681 +0.028 0.230 -0.013 0.654 +0.063 411.83 0.03
31-Aug-2010 0.662 -0.028 0.216 -0.064 0.654 -0.000 403.98 -0.02
30-Sep-2010 0.782 +0.167 0.226 +0.046 0.748 +0.135 458.52 0.13
31-Oct-2010 0.901 +0.142 0.227 +0.002 0.772 +0.032 480.46 0.05
30-Nov-2010 0.885 -0.018 0.213 -0.063 0.726 -0.062 454.37 -0.06
31-Dec-2010 0.751 -0.163 0.223 +0.047 0.712 -0.020 443.93 -0.02
31-Jan-2011 0.792 +0.053 0.213 -0.047 0.612 -0.152 417.76 -0.06
28-Feb-2011 0.830 +0.047 0.217 +0.019 0.535 -0.133 384.09 -0.08
31-Mar-2011 0.901 +0.082 0.207 -0.046 0.648 +0.191 423.72 0.1
30-Apr-2011 1.089 +0.189 0.202 -0.025 0.660 +0.018 444.9 0.05
31-May-2011 1.032 -0.054 0.193 -0.047 0.632 -0.043 424.72 -0.05
30-Jun-2011 1.130 +0.091 0.181 -0.064 0.606 -0.042 413.05 -0.03
31-Jul-2011 1.171 +0.036 0.183 +0.012 0.578 -0.047 413.23 0
31-Aug-2011 1.157 -0.012 0.172 -0.058 0.574 -0.007 406.4 -0.02
30-Sep-2011 1.054 -0.094 0.171 -0.007 0.552 -0.039 389.8 -0.04
31-Oct-2011 0.931 -0.123 0.172 +0.006 0.558 +0.011 383.41 -0.02
30-Nov-2011 0.888 -0.048 0.168 -0.027 0.544 -0.026 375.44 -0.02
31-Dec-2011 0.800 -0.103 0.160 -0.050 0.515 -0.053 368.49 -0.02
31-Jan-2012 0.819 +0.023 0.178 +0.107 0.550 +0.064 390.88 0.06
29-Feb-2012 0.920 +0.116 0.205 +0.145 0.634 +0.143 471.13 0.19
31-Mar-2012 0.830 -0.103 0.195 -0.052 0.608 -0.042 448.93 -0.05
30-Apr-2012 0.771 -0.075 0.161 -0.192 0.656 +0.076 444.06 -0.01
31-May-2012 0.735 -0.047 0.157 -0.026 0.584 -0.117 400.65 -0.1
30-Jun-2012 0.741 +0.007 0.162 +0.032 0.562 -0.039 395.3 -0.01
31-Jul-2012 0.741 -0.000 0.174 +0.070 0.682 +0.194 420.01 0.06
31-Aug-2012 0.825 +0.108 0.179 +0.033 0.664 -0.027 421.46 0
30-Sep-2012 0.811 -0.017 0.180 +0.001 0.698 +0.050 429.85 0.02
31-Oct-2012 0.784 -0.034 0.186 +0.034 0.724 +0.037 440.96 0.03
30-Nov-2012 0.800 +0.021 0.196 +0.053 0.754 +0.041 437.79 -0.01
31-Dec-2012 0.776 -0.031 0.227 +0.148 0.752 -0.003 441.79 0.01
31-Jan-2013 1.035 +0.288 0.241 +0.058 0.977 +0.261 513.92 0.15
28-Feb-2013 1.051 +0.016 0.250 +0.036 1.063 +0.085 524.68 0.02
31-Mar-2013 1.062 +0.010 0.211 -0.168 1.027 -0.035 498.04 -0.05
30-Apr-2013 1.375 +0.258 0.267 +0.234 1.125 +0.091 581.39 0.15
31-May-2013 1.484 +0.076 0.302 +0.126 1.197 +0.062 644.39 0.1
30-Jun-2013 1.285 -0.144 0.291 -0.037 1.039 -0.142 605.13 -0.06
31-Jul-2013 1.470 +0.135 0.378 +0.262 1.197 +0.142 704.76 0.15
31-Aug-2013 1.498 +0.018 0.365 -0.037 1.153 -0.038 686.98 -0.03
30-Sep-2013 1.470 -0.018 0.373 +0.022 1.169 +0.014 752.13 0.09
31-Oct-2013 1.503 +0.022 0.395 +0.057 1.219 +0.042 795.63 0.06
30-Nov-2013 1.429 -0.050 0.387 -0.021 1.264 +0.036 802.09 0.01
31-Dec-2013 1.729 +0.190 0.422 +0.088 1.532 +0.193 917.48 0.13
31-Jan-2014 1.960 +0.126 0.417 -0.013 1.604 +0.046 1,026.57 0.11
28-Feb-2014 2.284 +0.153 0.422 +0.013 1.825 +0.129 1,149.11 0.11
31-Mar-2014 2.249 -0.016 0.381 -0.102 1.996 +0.089 1,211.85 0.05
30-Apr-2014 2.668 +0.171 0.359 -0.059 2.186 +0.091 1,377.37 0.13
31-May-2014 2.600 -0.026 0.376 +0.045 2.306 +0.053 1,385.29 0.01
30-Jun-2014 2.274 -0.134 0.338 -0.107 1.855 -0.217 1,073.55 -0.25
31-Jul-2014 2.750 +0.190 0.378 +0.114 2.155 +0.150 1,315.88 0.2
31-Aug-2014 2.636 -0.042 0.376 -0.007 2.460 +0.132 1,378.46 0.05
30-Sep-2014 2.693 +0.022 0.373 -0.007 2.548 +0.035 1,373.12 0
31-Oct-2014 2.641 -0.019 0.359 -0.037 2.206 -0.144 1,237.55 -0.1
30-Nov-2014 2.450 -0.075 0.406 +0.121 2.338 +0.058 1,165.65 -0.06
31-Dec-2014 2.420 -0.012 0.408 +0.007 1.817 -0.252 1,027.53 -0.13
31-Jan-2015 2.453 +0.013 0.452 +0.101 1.677 -0.080 1,000.38 -0.03
28-Feb-2015 2.505 +0.021 0.444 -0.018 1.890 +0.120 1,052.27 0.05
31-Mar-2015 2.516 +0.004 0.387 -0.138 1.652 -0.135 956.87 -0.1
30-Apr-2015 2.696 +0.069 0.447 +0.144 2.063 +0.222 1,151.48 0.19
31-May-2015 2.665 -0.011 0.438 -0.019 1.940 -0.061 1,068.13 -0.08
30-Jun-2015 2.652 -0.005 0.441 +0.006 1.972 +0.017 1,112.73 0.04
31-Jul-2015 2.846 +0.070 0.438 -0.006 1.978 +0.003 1,128.20 0.01
31-Aug-2015 2.396 -0.172 0.387 -0.126 1.690 -0.157 997.21 -0.12
30-Sep-2015 2.374 -0.009 0.381 -0.014 1.617 -0.044 978.46 -0.02
31-Oct-2015 2.451 +0.032 0.368 -0.036 1.615 -0.002 954.05 -0.03
30-Nov-2015 2.178 -0.118 0.329 -0.110 1.444 -0.111 872.48 -0.09
31-Dec-2015 2.015 -0.078 0.370 +0.117 1.425 -0.014 858.21 -0.02
31-Jan-2016 2.094 +0.038 0.327 -0.126 1.279 -0.108 816.19 -0.05
29-Feb-2016 1.974 -0.059 0.365 +0.110 1.464 +0.135 882.13 0.08
31-Mar-2016 2.121 +0.072 0.335 -0.086 1.507 +0.029 913.67 0.04
30-Apr-2016 2.252 +0.060 0.338 +0.008 1.702 +0.122 950.72 0.04
31-May-2016 2.301 +0.022 0.365 +0.078 1.564 -0.084 902.28 -0.05
30-Jun-2016 2.260 -0.018 0.357 -0.023 1.552 -0.008 901.57 0
31-Jul-2016 2.385 +0.054 0.395 +0.101 1.707 +0.095 948.63 0.05
31-Aug-2016 2.279 -0.045 0.368 -0.071 1.777 +0.040 954.2 0.01
30-Sep-2016 2.222 -0.025 0.370 +0.007 1.777 0.000 946.03 -0.01
31-Oct-2016 2.178 -0.020 0.354 -0.045 1.745 -0.019 907.3 -0.04
30-Nov-2016 2.200 +0.010 0.346 -0.023 1.707 -0.022 915.21 0.01
31-Dec-2016 2.312 +0.049 0.362 +0.046 1.785 +0.044 961.46 0.05
31-Jan-2017 2.293 -0.008 0.376 +0.037 1.860 +0.041 991.95 0.03
28-Feb-2017 2.244 -0.022 0.335 -0.115 1.865 +0.003 988.65 0
31-Mar-2017 2.260 +0.007 0.289 -0.149 1.827 -0.020 947.73 -0.04
30-Apr-2017 2.249 -0.005 0.283 -0.019 1.822 -0.003 929.89 -0.02
31-May-2017 2.205 -0.020 0.272 -0.039 1.780 -0.024 909.24 -0.02
30-Jun-2017 2.216 +0.005 0.278 +0.020 1.947 +0.090 923.6 0.02
31-Jul-2017 2.216 0.000 0.289 +0.038 2.063 +0.057 989.27 0.07
31-Aug-2017 2.315 +0.043 0.305 +0.055 2.128 +0.031 990.51 0
30-Sep-2017 2.282 -0.014 0.310 +0.018 2.125 -0.001 970.56 -0.02
31-Oct-2017 2.274 -0.004 0.338 +0.084 2.075 -0.024 990.11 0.02
30-Nov-2017 2.219 -0.024 0.338 -0.000 1.890 -0.094 931.32 -0.06
31-Dec-2017 2.233 +0.006 0.338 -0.000 1.737 -0.084 917.63 -0.01
31-Jan-2018 2.451 +0.093 0.354 +0.047 1.749 +0.007 924.36 0.01
28-Feb-2018 2.410 -0.017 0.357 +0.008 1.639 -0.064 883.38 -0.05
31-Mar-2018 2.927 +0.194 0.310 -0.139 1.541 -0.062 846.46 -0.04
30-Apr-2018 2.941 +0.005 0.332 +0.068 1.538 -0.002 834.77 -0.01
31-May-2018 2.723 -0.077 0.316 -0.050 1.416 -0.083 807.05 -0.03
30-Jun-2018 2.666 -0.021 0.267 -0.170 1.340 -0.055 768.08 -0.05
31-Jul-2018 2.872 +0.075 0.291 +0.089 1.438 +0.071 804.82 0.05
31-Aug-2018 2.573 -0.110 0.275 -0.058 1.364 -0.052 773.3 -0.04
30-Sep-2018 2.614 +0.016 0.261 -0.051 1.361 -0.002 771.88 0
31-Oct-2018 2.527 -0.034 0.278 +0.061 1.389 +0.020 758.23 -0.02
30-Nov-2018 2.499 -0.011 0.278 -0.000 1.225 -0.125 726.6 -0.04
31-Dec-2018 2.421 -0.032 0.278 0.000 1.124 -0.086 688.78 -0.05
31-Jan-2019 2.598 +0.071 0.272 -0.020 1.174 +0.043 699.1 0.01
28-Feb-2019 2.587 -0.004 0.258 -0.053 1.334 +0.128 717.67 0.03
31-Mar-2019 2.736 +0.056 0.256 -0.008 1.302 -0.025 717.44 0
30-Apr-2019 3.254 +0.173 0.278 +0.082 1.307 +0.004 753.4 0.05
31-May-2019 3.022 -0.074 0.280 +0.010 1.217 -0.071 713.44 -0.05
30-Jun-2019 3.090 +0.022 0.286 +0.019 1.217 0.000 723.87 0.01
31-Jul-2019 3.240 +0.047 0.305 +0.065 1.506 +0.213 794.59 0.09
31-Aug-2019 3.145 -0.030 0.327 +0.069 1.348 -0.111 751.09 -0.06
19
APPENDIX 2: BREAK POINT BETA OF AIR ARABIA
Dependent Variable: AAB

Date: 12/10/19 Tim e: 12:37
Sam ple: 2013M01 2016M03
C -0.001336 0.012873 -0.103793 0.9179

RM 0.604763 0.128768 4.696521 0.0000


Date: 12/10/19 Tim e: 12:37
Sam ple: 2013M01 2016M03
C -0.001336 0.012873 -0.103793 0.9179

RM 0.604763 0.128768 4.696521 0.0000


Date: 12/10/19 Tim e: 16:12
Sam ple: 2016M03 2019M08
C -0.000102 0.009591 -0.010646 0.9916

RM 0.659723 0.252248 2.615368 0.0125
R-s quared 0.146032 Mean dependent var -0.002628

20
APPENDIX 3: BREAKPOINT BETA OF EMAAR PROPERTIES

Date: 12/10/19 Tim e: 16:18
Sam ple: 2010M02 2013M01
C 0.006353 0.007822 0.812218 0.4223

RM 1.358138 0.113304 11.98671 0.0000


Date: 12/10/19 Tim e: 12:41
Sam ple: 2013M01 2016M03
C -0.001915 0.008998 -0.212855 0.8326

RM 1.059096 0.090011 11.76633 0.0000


Date: 12/10/19 Tim e: 16:19
Sam ple: 2016M03 2019M08
C 0.003934 0.005760 0.682983 0.4986

RM 1.543344 0.151499 10.18716 0.0000
R-s quared 0.721794 Mean dependent var -0.001975

21
APPENDIX 4: BREAKPOINT BETA OF ENBD

Date: 12/10/19 Tim e: 16:20
Sam ple: 2010M02 2013M01
C 0.008309 0.012351 0.672729 0.5057

RM 1.057775 0.178916 5.912146 0.0000


Date: 12/10/19 Tim e: 12:43
Sam ple: 2013M01 2016M03
C 0.010897 0.011091 0.982515 0.3322

RM 0.798926 0.110950 7.200779 0.0000


Date: 12/10/19 Tim e: 16:21
Sam ple: 2016M03 2019M08
C 0.013674 0.008128 1.682318 0.1003

RM 0.675686 0.213768 3.160843 0.0030

22
REFERENCES
Airarabia.com n.d., ‘Journey’, viewed 12 Dec. 2019,

https://www.airarabia.com/en/journey.
Arabian Business 2014, ‘Emaar Properties – UAE’, viewed 13 December 2019 ,

https://www.arabianbusiness.com/companies/emaar-properties-uae-66430.html .
DFM n.d., ‘About DFM’ , viewed 13 December 2019, https://www.dfm.ae/about-

dfm/about-dfm .
Emaar n.d., ‘Who We Are’, viewed 12 December 2019,

https://www.emaar.com/en/who-we-are .
Emirates NBD n.d., ‘About us’, viewed 12 December 2019,

https://www.emiratesnbd.com/en/about-emirates-nbd/about-us .
Greene, C n.d., ‘Testing for a break at an unknown change-point: a test with known
size in small samples’, ECONOMICS LETTERS, vol. 64, no. 1, pp. 13–16, viewed 13
December 2019, https://search-ebscohost-com.ezproxy.uow.edu.au/login.aspx?
direct=true&db=edswss&AN=000081599700002&site=eds-live .
Hung, JH & Liu, YC 2005 ,An examination of factors influencing airline beta values’,
Journal of Air Transport Management, vol 11, pp. 291-296,
https://www.researchgate.net/publication/229399841_An_examination_of_factors_inf
luencing_airline_beta_values.
Mayo, H 2014, ‘Basic finance: An Introduction to Financial Institutions, Investments

and Management’, 11th edn, Philadelphia, pp. 150-166.
Moukahal, W 2011, The Banking Industry in the UAE, Deloitte, viewed 13 December
2019, https://www2.deloitte.com/content/dam/Deloitte/xe/Documents/About-
Deloitte/mepovdocuments/mepov5/me_pov5_Banking.pdf .
Li Xiaolin 2018, ‘Real time regression analysis in internet of stock market cycles’,
Cognitive Systems Research, vol. 52, pp. 371–379, viewed 13 December 2019,
https://search-ebscohost-com.ezproxy.uow.edu.au/login.aspx?
direct=true&db=inh&AN=18781155&site=eds-live .
23
Turner, S & Morrell, P 2003, ‘An evaluation of airline beta values and their
application in calculating the cost of equity capital’, Journal of Air Transport
Management, vol. 9, no. 4, pp. 201–209, viewed 13 December 2019, https://search-
ebscohost-com.ezproxy.uow.edu.au/login.aspx?
direct=true&db=edselp&AN=S0969699702000856&site=eds-live
https://www.reuters.com/article/us-emirates-dubai-gdp/dubai-economic-growth-at-its-
slowest-since-2009-debt-crisis-idUSKCN1R80RO .
Varghese, J 2019, Dubai Financial Market declines as real estate worries linger, Gulf
News, viewed 13 December 2019, https://gulfnews.com/business/markets/dubai-
financial-market-declines-as-real-estate-worries-linger-1.67913904 .
24

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Date: 16th December 2019

Group member: Ayman Rohile (6151188),

Overview About The Chosen Companies..........................................................................4

3. Emirates National Bank Of Dubai (ENBD)...........................................................................5

1. Regression Analysis And T-Statistic Test...............................................................6

1.1 Regression Analysis And T Statistic Test Of Air Arabia...................................................7

1.2 Regression Analysis And T-Statistic Test Of Emaar Properties......................................8

2. Chow Break-Point Test...........................................................................................10

2.1 Chow Break-Point Test Of Air Arabia..................................................................................11

2.2 Chow Break Point Of Emaar Properties..............................................................................11

2.3 Chow Break-Point Test Of Emirates National Bank Of Dubai (Enbd).................................12

3. Analysis Of Beta (With Breakpoint In Time-Period)..............................................13

3.1 Beta Analysis Of Air Arabia............................................................................................13

3.2 Beta Analysis Of Emaar Properties................................................................................14

3.3 Beta Analysis Of Emirates National Bank Of Dubai (Ebnd)...........................................15

Appendix 1: Return Calculation.................................................................................................19

Appendix 2: Break Point Beta Of Air Arabia..............................................................................20

Appendix 3: Breakpoint Beta Of Emaar Properties...................................................................21

Appendix 4: Breakpoint Beta Of Enbd.......................................................................................22

Decision making for investing in the financial markets can be stressful, so it is

OVERVIEW ABOUT THE CHOSEN COMPANIES

3. EMIRATES NATIONAL BANK OF DUBAI (ENBD)

1. Regression Analysis and T-Statistic Test

Regression Analysis is synomous to analysing investment returns where the

A regression model is said to be statically good if the R-Square is more than 60

1.1 Regression Analysis and T statistic test of Air Arabia.

Upon looking at the regression analysis of Air Arabia, it is observed that R

1.2 Regression Analysis and T-Statistic Test of Emaar Properties

Variable Coefficient Std. Error t-Statis tic Prob.

C 0.001225 0.004456 0.274988 0.7838

R-squared 0.759180 Mean dependent var 0.006805

From the regression analysis of Emaar Properties, it is observed that R

1.3 Regression Analysis and T-statistics of Emirates National Bank of Dubai

Variable Coefficient Std. Error t-Statis tic Prob.

C 0.009922 0.005925 1.674464 0.0968

R-s quared 0.467670 Mean dependent var 0.013838

It is noted that R square is 0.467670 which about 46.7670 percentage of

2. Chow Break-Point Test

F-statistic 0.163061 Prob. F(4,109) 0.9566

The constancy of F- statistic is 0.9566. At 95 percent level of significance,

2.2 Chow Break Point of Emaar Properties

F-statistic 1.970366 Prob. F(4,109) 0.1041

The probability of F- statistic is 0.1041. At 95 percent level of significance,

F-statistic 0.308847 Prob. F(4,109) 0.8715

The probability of F- statistic is 0.8715. At 95 percent level of significance,

.1 Beta Analysis of Air Arabia

BETA ANALYSIS OF AIR ARABIA

2010-2013 2013-2016 2016-2019

2010-2013 2013-2016 2016-2019

BETA ANALYSIS OF ENBD

To summarise, another suggestion given to future investors is to allocate money in

APPENDIX 1: RETURN CALCULATION

Dependent Variable: AAB

Variable Coefficient Std. Error t-Statis tic Prob.

C -0.001336 0.012873 -0.103793 0.9179

R-s quared 0.373490 Mean dependent var 0.009931

Dependent Variable: AAB

Variable Coefficient Std. Error t-Statis tic Prob.

C -0.001336 0.012873 -0.103793 0.9179