The Econometrics of Financial Markets

Course aim

This course provides students with an advanced understanding of the modern techniques of financial econometrics and more specifically to key empirical and applied tools to analyse financial data; to develop and execute empirical research using EViews, R and RATS software; to perform various robustness tests in order to substantiate initial findings or researcher’s prior expectations.

Course content

Introduction to the analysis of financial data and markets participants’ behaviour using econometric techniques: its importance, motivation, innovation (significance) and the role of the researcher in this process. Methodological issues relevant to data analysis in finance markets: the link between theory and empirical analysis. Transforming and presenting financial data: tables, charts, graphs, use of financial ratios, the construction and use of special financial indices. Summary measures for data: their construction, use and limitations. Writing in finance: descriptive and summary reports; empirical research reports. Brief revisions of linear regression model: its estimation and applications; measures of fit; t-test (F-test and Chi-squared) distributions in hypothesis testing; performing hypothesis testing and confidence intervals estimation; departures from model specifications and diagnostic checking of the model assumptions; interpretation and applications of various extension and or special cases of multiple regression model. Empirical data modelling using time series, cross-sectional and panel data regression methods. Modelling volatility and correlation in financial time series data. Time series long-run relationships in finance: unit roots testing; tests for co-integration - co-integrated time series; error correction time series models and modelling. Limited depended variables – empirical models and applications to finance.

Textbook(s)

Brooks, C 2008, Introductory econometrics for finance, 2nd edn, Cambridge University Press, Cambridge

Prerequisite(s)

Common to all relevant programs
Subject Area & Catalogue Number	Course Name
MATH 4044	Statistics for Data Science

Corequisite(s)

Common to all relevant programs
Subject Area & Catalogue Number	Course Name
BANK 5014	Financial Theory and Financial Markets
BANK 5013	Investment Management

Teaching method

Component	Duration
INTERNAL, CITY WEST
Seminar	3 hours x 13 weeks
EXTERNAL, CITY WEST, ONLINE
External	3 hours equiv x 13 weeks
INTERNAL, CITY WEST (INTENSIVE)
Seminar	39 hours x N/A

Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.

Assessment

Empirical Project - Group, Examination, Research Report

Fees

EFTSL*: 0.125
Commonwealth Supported program (Band 3)
To determine the fee for this course as part of a Commonwealth Supported program, go to:
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Fee-paying program for domestic and international students
International students and students undertaking this course as part of a postgraduate fee paying program must refer to the relevant program home page to determine the cost for undertaking this course.

Non-award enrolment
Non-award tuition fees are set by the university. To determine the cost of this course, go to:
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Not all courses are available on all of the above bases, and students must check to ensure that they are permitted to enrol in a particular course.

* Equivalent Full Time Study Load. Please note: all EFTSL values are published and calculated at ten decimal places. Values are displayed to three decimal places for ease of interpretation.