ECON334: Financial Econometrics ASSIGNMENT

By May 15, 2018Academic Papers

ECON334: Financial Econometrics



Due date and time: 4pm on Friday of Week 11 (25th May 2018)

  • –  This is an individual assignment. It should reflect your individual effort.

  • –  The assignment should be typed, with the main tables, charts and results presented

    throughout the assignment to highlight your responses to the questions.

  • –  There should be no appendices (appendices will not be marked).

  • –  Marks will be awarded for neatness, conciseness and clarity of answers.

  • –  Where answers call for explanation, a simple reporting of numerically correct results will

    yield few (if any) marks.

  • –  Maximum number of pages allowed: 15 (additional pages will not be marked).

  • –  Pages should be numbered.

  • –  Be as concise as you can, while clearly addressing each question.

  • –  Use a 5% significance level for all statistical tests unless otherwise instructed.

  • –  Total marks: 50

    Submission instructions

  • –  You are required to submit the assignment in both print and electronic copies.

  • –  Electronic submission is via a submission link on iLearn.

  • –  Print copy (with a signed assignment coversheet) must be submitted at BESS (E4B).

  • –  A link to the FBE cover sheet is provided under the “Assignment” heading on iLearn Fill in

    the details of the cover sheet and staple it to the front of your assignment.

Part A

Total number of marks: 25

The excel file “assignment_data.xlsx” located under “Assignment” heading on iLearn contains five series for the period 3 January 2000 29 December 2017 totalling 4528 observations. The following variables are included:-

1. Daily returns on two portfolios of stocks:
SMALL_HiBM a portfolio consisting of

which are characterized as small companies with high book-to-market equity ratios.

  • h