This is the task I have been asked to do. I've read up on what central limit theorem (clt) is, but I feel like I'm missing something.
The data I have is a matrix of monthly stock returns from 50 different companies from 1/1/2000 to 1/8/2014.
I've established I find the cross sectional average return before the recession (Rb), and the average return after the recession(Ra) and;
(Rb - Ra) is my X-bar in the clt, z-score formula.
I apologise for any inaccuracies, my knowledge is very little and I'm thankful for your patience