Hi Statalist,
Currently i'am working on my master thesis that contains the topic the 'idiosyncratic volatility puzzle'. I created 5 portfolios based on the idioysncratic volatility of the previous month. I want to look if the mean returns of these portfolios during the financial crisis, significantly differ from the total sample period mean returns. So simply said, i want to tests if the portfolio means of 2008-2009 are signifcantly different from my total sample period (2003-2020). The problem is that i have no idea which test i can use here. I (or at least think) have no independent samples, so i think a normal t-test is not applicable here?. I saw several t-tests pass by ( e.g. welch t-test, wilcoxon tests) but none of them seem to fit my problem. Is there anyone on this forum that had a comparable problem and can help me which test i need to use?. I'am new to this forum so if i made any mistakes in this post, please let me know!.
Thanks in advance for the help!
Marijn Wolkers
Currently i'am working on my master thesis that contains the topic the 'idiosyncratic volatility puzzle'. I created 5 portfolios based on the idioysncratic volatility of the previous month. I want to look if the mean returns of these portfolios during the financial crisis, significantly differ from the total sample period mean returns. So simply said, i want to tests if the portfolio means of 2008-2009 are signifcantly different from my total sample period (2003-2020). The problem is that i have no idea which test i can use here. I (or at least think) have no independent samples, so i think a normal t-test is not applicable here?. I saw several t-tests pass by ( e.g. welch t-test, wilcoxon tests) but none of them seem to fit my problem. Is there anyone on this forum that had a comparable problem and can help me which test i need to use?. I'am new to this forum so if i made any mistakes in this post, please let me know!.
Thanks in advance for the help!
Marijn Wolkers
