FI4003 Emperical Methods

Required:

1. Discuss the theoretical underpinnings in (i) Yu and Yuan (2011) and Wang (2018a), and (ii) Wang (2018b) and Wang and Duxbury (2021)

2. Critically review literature, and summarise and evaluate approaches to construct proxies for investor sentiment.

3. Suppose that you decide to extend the US evidence from Wang (2021) to an emerging market. Select the market and justify your selection. (400 words) [8 marks]

4. For the selected market, present and interpret descriptive statistics of (i) overnight returns, (ii) intraday returns, and (iii) total returns. (500 words) [15 marks]

5. Select one method to filter conditional volatility. Present and interpret descriptive statistics of conditional volatility of (i) overnight returns, (ii) intraday returns, and (iii) total returns. (650 words) [20 marks]

6. Examine the mean-variance relation for (i) overnight returns, (ii) intraday returns, and (iii) total returns. Interpret.(650 words)

Guideline coverage of issues/answers expectations:

Requirement 1:

1. Provide theoretical underpinnings of empirical findings in Yu and Yuan (2011) and Wang (2018b).
2. Provide theoretical underpinnings of empirical findings in Wang (2018b) and Wang and Duxbury (2021).
3. Make comparison between (i) and (ii).

Requirement 2:
1. Provide reasons why proxies are needed for investor sentiment.
2. Summarise main types of proxies for investor sentiment
3. Critically evaluate each type.

Requirement 3:
1. Select an emerging market.
2. Justify your choice from at least two main perspectives: (i) Provide criteria used to label the selected market as an emerging market; (ii) Explain reasons why the research question as in Wang (2021) is of particular interest in your selected market.

Requirement 4:
1.Present descriptive statistics of three returns.
2. Interpret.

Requirement 5:
1.Select the method to filter conditional volatility.
2.Present descriptive statistics of conditional volatility of three returns.
3.Interpret.