Code:
local vbles rt idiovol beta size bmratio mom rev illiq coskew idioskew
local vbles: list sort vbles
frame create correlations
frame create cumulative
levelsof mdate, local(mdates)
foreach r of local mdates {
capture corr `vbles' if mdate == `r'
if c(rc) == 0 {
matrix C = r(C)
frame correlations {
svmat C, names(col)
gen mdate = `r'
gen vble = ""
local i = 1
foreach v of local vbles {
replace vble = `"`v'"' in `i'
local ++i
}
}
frame cumulative: frameappend correlations
frame correlations: clear
}
else if c(rc) != 2000 { // UNEXPECTED ERROR
display as error "Unexpected error in -corr-"
exit `c(rc)'
}
else {
continue
}
}
frame drop correlations
frame change cumulative
frame put _all, into(averages)
frame change averages
collapse (mean) `vbles', by(vble)Code:
* Example generated by -dataex-. To install: ssc install dataex clear input int stock_id str52 stock float(mdate rt idiovol beta size bmratio mom rev illiq coskew idioskew) 1 "3M India Ltd." 510 .0520779 .0916615 .7510074 5.772126 .2301245 -.2421852 .0086664 .568561 -11.246819 .6554044 1 "3M India Ltd." 511 .0533333 .1182759 .7796013 5.822898 .2346667 -.08882007 .0520779 .0834102 -12.68292 .7936354 1 "3M India Ltd." 512 -.0031646 .033802 .7886676 5.874875 .2227848 -.03028263 .0533333 .1184029 -12.682983 .8757973 1 "3M India Ltd." 513 .0031746 .0558377 .6494458 5.871695 .2379683 .1995213 -.0031646 .0922577 -16.301088 1.004618 1 "3M India Ltd." 514 -.0082279 .0225026 .7004792 5.874875 .2372152 .18131915 .0031746 .4863775 -16.789318 1.0411569 1 "3M India Ltd." 516 -.0228061 .0447686 .6646857 5.831355 .2478599 .1798179 -.0346203 .0671644 -17.989431 1.2790872 1 "3M India Ltd." 517 -.0630813 .0643021 .6528904 5.808293 .2536445 .17160204 -.0228061 .1301709 -17.13694 1.502053 1 "3M India Ltd." 518 -.1326715 .084525 .59209836 5.743131 .270722 .10628778 -.0630813 2.364254 -12.111776 1.1316483 1 "3M India Ltd." 519 .1862643 .1171338 .5532332 5.60079 .3351925 -.10605558 -.1326715 1.962032 -15.268206 .28582826 1 "3M India Ltd." 520 .1052632 .1162964 .7139871 5.771597 .2825614 -.2477172 .1862643 2.644915 -17.685534 .3838049 1 "3M India Ltd." 521 .0609524 .0747315 .700519 5.871695 .2556508 .03894482 .1052632 .0748728 -21.36768 .3219067 2 "A B B India Ltd." 510 .0310697 .0908318 .4928325 7.037915 .3767442 .0203469 .0927018 .0644927 -7.955564 .8680918 2 "A B B India Ltd." 511 .0193072 .066539 .4566708 7.068512 .3931433 .1042416 .0310697 .0393069 -7.885917 .8717429 2 "A B B India Ltd." 512 -.0049567 .0326465 .4516272 7.087632 .3856966 .22836693 .0193072 .0314682 -8.348626 .8894266 2 "A B B India Ltd." 513 -.1465931 .047887 .360816 7.082666 .4021704 .3833118 -.0049567 .1093975 -2.665329 1.035254 2 "A B B India Ltd." 514 -.0002085 .1316279 .4027637 6.92414 .4712529 .4084741 -.1465931 .0762896 -2.551017 .4909603 2 "A B B India Ltd." 515 .0369058 .0800709 .4821406 6.923934 .4713511 .19272646 -.0002085 .0238648 -.5813355 .5721269 2 "A B B India Ltd." 516 .1230645 .039354 .4618599 6.960177 .4709431 .19666737 .0369058 .0246835 -1.375635 .57083863 2 "A B B India Ltd." 517 .147538 .0784511 .5004291 7.07624 .4193375 .14288685 .1230645 .0576087 -1.888188 .6426939 2 "A B B India Ltd." 518 -.1015758 .0698819 .4680085 7.213857 .3654236 .11156937 .147538 .00926 17.036205 .2437781 2 "A B B India Ltd." 519 .0703369 .0813389 .4644257 7.106745 .4139284 .22523545 -.1015758 .0459729 9.548818 .1989993 2 "A B B India Ltd." 520 .1148791 .071224 .5211874 7.174716 .3867272 .12083534 .0703369 .0758109 16.906883 .05292072 2 "A B B India Ltd." 521 .0733518 .0411988 .5875958 7.283462 .3468782 .2675898 .1148791 .0236384 21.06798 .01546109 3 "A C C Ltd." 510 -.1629956 .0494911 1.0422283 7.906322 .3757709 .1532081 .0505785 .0001693 -5.548719 .575628 3 "A C C Ltd." 511 .037594 .0576206 1.0449023 7.728468 .4576692 .18472496 -.1629956 .0003263 -5.354321 .6685103 3 "A C C Ltd." 512 -.0018116 .0478863 1.0404295 7.76537 .4410869 .10122582 .037594 .0003022 -5.677112 .675517 3 "A C C Ltd." 513 -.0366606 .0545035 .927909 7.763659 .4440653 .16578344 -.0018116 .0004162 -.763524 .3999104 3 "A C C Ltd." 514 .2324793 .0545389 .9890953 7.726332 .4609646 .09409234 -.0366606 .0004073 -.05508276 .0857189 3 "A C C Ltd." 515 .0094772 .0679346 .9965018 7.93543 .3740752 -.22372445 .2324793 .0003013 .6842356 .12869345 3 "A C C Ltd." 516 -.1341612 .048411 .9468574 7.944861 .3777105 .11921484 .0094772 .0003085 -.6181256 .1951404 3 "A C C Ltd." 517 .0776496 .0739987 .9150216 7.801068 .4360965 .07467366 -.1341612 .0003754 -1.0836273 .01052911 3 "A C C Ltd." 518 -.1009413 .085914 .9575378 7.875917 .4047387 -.0813625 .0776496 .0003803 1.8999788 .3630732 3 "A C C Ltd." 519 -.0548737 .0731908 .8841012 7.769539 .4547292 .05469688 -.1009413 .000468 -6.26982 .4172138 3 "A C C Ltd." 520 .1100077 .0552034 .8759887 7.713101 .4811307 -.02480884 -.0548737 .0005921 -3.216651 .2910111 3 "A C C Ltd." 521 .1493462 .0546524 .888853 7.817489 .433448 -.08366531 .1100077 .0003609 2.0965748 .25523832 4 "A D C India Communications Ltd." 510 -.1504425 .0905394 1.5756077 3.663049 .8875517 -.2089349 -.0280963 .1526467 -11.18617 .9999411 4 "A D C India Communications Ltd." 511 .0229167 .0694774 1.543413 3.500137 1.064583 .04492957 -.1504425 .4789313 -9.748292 1.0794683 4 "A D C India Communications Ltd." 512 -.0902919 .0908449 1.514939 3.522825 1.040733 -.3168728 .0229167 .7972752 -7.856839 1.2683494 4 "A D C India Communications Ltd." 515 .0135135 .0816317 1.2613417 3.422306 1.168619 -.3657852 .0918033 1.403588 -14.12266 1.5074098 4 "A D C India Communications Ltd." 516 -.1525926 .0751573 1.1426127 3.435599 1.179704 -.2180948 .0135135 .5731306 -20.8343 1.769466 4 "A D C India Communications Ltd." 517 -.0821678 .0859583 1.1992506 3.269949 1.392133 -.18733987 -.1525926 2.918928 -19.735325 1.8279516 4 "A D C India Communications Ltd." 518 -.0895238 .1204351 1.2922428 3.184284 1.516762 -.3042599 -.0821678 1.175537 -16.862587 1.8053592 4 "A D C India Communications Ltd." 519 .1757323 .1155414 1.3370316 3.090588 1.741423 -.3827892 -.0895238 .414616 -10.48587 1.98192 4 "A D C India Communications Ltd." 520 .1868327 .1650361 1.1820819 3.252311 1.481139 -.6628183 .1757323 .2605021 6.146185 .8412775 4 "A D C India Communications Ltd." 521 .1124438 .198927 .9547688 3.423611 1.247976 -.3787015 .1868327 .1113622 1.0847142 1.0265048 5 "A G C Networks Ltd." 510 -.2367297 .0690548 1.8930784 5.452411 .3992679 .9802982 -.0006098 .0126685 -9.191351 1.3381217 5 "A G C Networks Ltd." 511 .1151079 .1420509 1.9465487 5.182289 .5319744 1.089498 -.2367297 .0193325 -9.93711 1.3835753 5 "A G C Networks Ltd." 512 -.0605018 .1398574 1.9666855 5.291192 .4770609 .9171872 .1151079 .0258063 -10.012973 1.3671902 5 "A G C Networks Ltd." 513 -.1571799 .1039934 1.9659363 5.228753 .5256772 1.3431653 -.0605018 .0527003 -15.934067 1.386089 5 "A G C Networks Ltd." 514 .1819663 .0866767 1.9043994 5.057582 .6238117 1.1347044 -.1571799 .0330671 -13.073632 1.4675443 5 "A G C Networks Ltd." 515 .1331189 .1175809 1.785625 5.224725 .5277671 .8423392 .1819663 .0228892 -18.27487 1.4467278 5 "A G C Networks Ltd." 516 -.153035 .0672813 1.8865 5.349865 .4909091 .8579108 .1331189 .0083676 -14.44452 1.397789 5 "A G C Networks Ltd." 517 -.0721469 .1157434 1.8121196 5.183692 .5796488 .3868339 -.153035 .0217256 -9.040719 1.550805 5 "A G C Networks Ltd." 518 -.176845 .0434617 1.726426 5.108729 .6247742 .0829706 -.0721469 .0481924 -1.276427 1.0308088 5 "A G C Networks Ltd." 519 .0654128 .0687536 1.6099684 4.914198 .7905957 -.27523685 -.176845 .0937928 -8.940083 .9531655 5 "A G C Networks Ltd." 520 .2004708 .1633577 1.6187953 4.977492 .7421286 -.5336088 .0654128 .0379236 -8.3060665 .8918641 5 "A G C Networks Ltd." 521 -.001634 .1845316 1.503249 5.160262 .6181373 -.3614422 .2004708 .0178599 -18.830147 .9789375 6 "Aarti Industries Ltd." 512 -.0592734 .0837323 .54238987 4.332705 1.748526 .6621372 .0717213 4.852063 -2.51095 .2593939 6 "Aarti Industries Ltd." 513 .0670732 .0846717 .3043987 4.272769 1.998985 .730141 -.0592734 19.9523 -1.573169 .27582726 6 "Aarti Industries Ltd." 514 -.0342857 .0633011 .2653327 4.337421 1.873751 .57827497 .0670732 7.869865 -4.0800953 .26782554 6 "Aarti Industries Ltd." 516 .023077 .105984 .2590122 4.32625 2.001283 .6654727 .025641 8.844965 -6.870831 .25357485 6 "Aarti Industries Ltd." 517 -.075188 .1041367 .2115522 4.349245 1.955799 .6445187 .023077 5.612283 -9.697611 -.02749905 6 "Aarti Industries Ltd." 518 -.0345529 .051413 .3444578 4.271095 2.114915 .49636275 -.075188 7.338284 -11.18653 .06150553 6 "Aarti Industries Ltd." 519 .0694737 .1425339 .4426504 4.236567 2.103158 .4036309 -.0345529 20.23219 -11.708984 -.00124911 6 "Aarti Industries Ltd." 521 .2765567 .0532722 .4167594 4.375505 1.830229 .09885359 .0748032 6.17208 -19.861423 -.01269575 7 "Aban Offshore Ltd." 510 -.0145471 .1671569 .786585 4.364499 1.677616 1.2047646 .3487341 .275687 1.4518754 .3233959 7 "Aban Offshore Ltd." 511 .1190476 .1594215 .9475352 4.349761 1.752 1.134144 -.0145471 .1244985 1.7804716 .3959191 7 "Aban Offshore Ltd." 512 -.0719149 .159507 .9419548 4.462223 1.565617 1.1239259 .1190476 .1111811 2.2743268 .413595 7 "Aban Offshore Ltd." 513 .0729023 .0699517 .9861982 4.387636 1.738377 1.481017 -.0719149 .2772467 16.4047 .4144061 7 "Aban Offshore Ltd." 514 .1435898 .0848001 1.111411 4.457945 1.620256 1.344908 .0729023 .2621013 16.005941 .4511779 7 "Aban Offshore Ltd." 515 .107997 .1112043 1.1869622 4.592186 1.416816 1.3816173 .1435898 .2400481 18.010456 .4047494 7 "Aban Offshore Ltd." 516 .1129848 .0938856 1.1931382 4.694736 1.244317 1.5549613 .107997 .164567 21.16874 .4284045 7 "Aban Offshore Ltd." 517 -.0842424 .0936677 1.2640696 4.801805 1.118 1.7029583 .1129848 .1848726 20.92513 .4412946 7 "Aban Offshore Ltd." 518 -.1528789 .0507528 1.4281996 4.713756 1.220847 1.704832 -.0842424 .6507712 .6502991 .6223256 7 "Aban Offshore Ltd." 519 .0609375 .0702427 1.4455564 4.547859 1.448594 .8668396 -.1528789 .7413276 1.863197 .5414214 7 "Aban Offshore Ltd." 520 .4554492 .1726061 1.4533905 4.606968 1.36539 .7503114 .0609375 .4639567 -.680744 .7698011 7 "Aban Offshore Ltd." 521 .4950671 .1588599 1.377457 4.982305 .938123 .6426098 .4554492 .1463009 -14.740382 .8392516 8 "Abbott India Ltd." 510 -.0880134 .0400271 .470697 6.180348 .3274099 .0607995 -.0076526 .0850838 -8.396762 1.0109442 8 "Abbott India Ltd." 511 .0137868 .0384877 .48466095 6.088228 .3590074 .14496128 -.0880134 .1205587 -8.26308 1.193236 8 "Abbott India Ltd." 513 .0564663 .0438338 .3456013 6.097377 .3832787 .1589364 -.0045331 1.718449 -5.416703 1.446219 8 "Abbott India Ltd." 514 -.0103448 .0468644 .28133413 6.152307 .3627931 .1486656 .0564663 .141572 -6.230135 1.4597585 8 "Abbott India Ltd." 515 -.0254355 .0409994 .2814446 6.141908 .3665854 .1533796 -.0103448 .151724 -4.753911 1.7025014 8 "Abbott India Ltd." 516 .0961744 .0455454 .28902167 6.116135 .3687164 .22343 -.0254355 .2158099 -3.2050874 1.6151198 8 "Abbott India Ltd." 517 .0260926 .0724427 .29424652 6.207966 .3363666 .1590225 .0961744 .0152713 -3.329112 1.8826425 8 "Abbott India Ltd." 518 -.1371583 .0446494 .2225012 6.233724 .3480292 .00621077 .0260926 .0122063 -3.963056 .6325775 8 "Abbott India Ltd." 519 -.0471542 .0464687 .29565042 6.027748 .425419 .03717353 -.1371583 .114091 -4.4661913 .5295486 8 "Abbott India Ltd." 520 .0477479 .0512873 .303145 5.979443 .4464721 -.10210545 -.0471542 .0304516 -2.774276 .58890784 8 "Abbott India Ltd." 521 .0789668 .0499418 .3377357 6.026083 .4261255 -.1277718 .0477479 .0181718 -2.489107 .5782541 9 "Accelya Solutions India Ltd." 510 -.352459 .089253 2.504547 4.345881 .6719821 .8174614 -.0400573 .0078417 -7.170419 1.0033356 9 "Accelya Solutions India Ltd." 511 .2543153 .0797726 2.491825 3.911423 1.040046 1.0159469 -.352459 .025954 -5.988738 1.0148292 9 "Accelya Solutions India Ltd." 512 -.1348624 .1268215 2.525519 4.137883 .8291743 .6850929 .2543153 .0175791 -6.570995 1.0163718 9 "Accelya Solutions India Ltd." 513 -.1410393 .0755205 2.5902946 3.99305 .9664899 1.2154334 -.1348624 .0152915 -6.270335 1.0201876 9 "Accelya Solutions India Ltd." 514 .2209877 .0760453 2.539881 3.840956 1.125185 .43133375 -.1410393 .0280572 -2.594969 1.0481699 9 "Accelya Solutions India Ltd." 515 -.041456 .0705575 2.496209 4.040768 .9215369 .2321703 .2209877 .0410044 -7.490185 1.0953172 9 "Accelya Solutions India Ltd." 516 -.2099156 .1099722 2.4161656 3.998384 .9698312 -.0050194 -.041456 .0168685 .4846404 .9823444 9 "Accelya Solutions India Ltd." 517 -.0921228 .0985367 2.3392482 3.762827 1.227503 -.12609863 -.2099156 .0556873 -1.2859864 1.0380969 9 "Accelya Solutions India Ltd." 518 -.3205882 .0484582 2.499194 3.666122 1.352059 -.3019144 -.0921228 .0920183 -8.733504 .901312 9 "Accelya Solutions India Ltd." 519 .1363636 .0632388 2.696745 3.279783 2.03723 -.4818861 -.3205882 .1479528 -1.8722357 .7565902 9 "Accelya Solutions India Ltd." 520 .2038095 .0869685 2.84804 3.407511 1.792762 -.8492668 .1363636 .1763114 8.656399 .7973647 9 "Accelya Solutions India Ltd." 521 .1787975 .2288317 2.633117 3.592919 1.489241 -.720834 .2038095 .0644834 -11.662564 1.1499352 end format %tm mdate
0 Response to Spearman Rank Correlation
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