ECM2IE Econometrics:Stock Market Return

ECM2IE Econometrics:Stock Market Return

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ECM2IE Econometrics

Question:

Introduction

This assignment is worth 10% of the total mark. It should be handed in to the drop box in LMS (in a pdf form) by Friday 5pm Week 12. Your report should contain your answers to the questions from Sections 1 to 3 below, and with supporting Eviews outputs for Section 3. 

Section 1 (3 marks)

Question: Critically evaluate the main points of the article using three bullet points, in less than 150 words in total. 

Critical evaluation means

• To give your opinion on something 

• To support your opinion (with evidence where possible). • Note: Critiquing is NOT simply stating that something is “bad”.

• Weigh up strengths and weaknesses.

• Appraise the worth of something – test assumptions – judge the worth of an argument or position.

Your points of evaluation may include the following (but not limited to):

• Correlation vs. causation

• Importance of theories or insights in statistical analysis

• Multiple testing problem

• Sampling error

• Sampling bias

• Big data hubris

Section 2 (3 marks)

The following paper is published in Kaplanski, G., Levy. H. 2010, Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market, Journal of Financial and Quantitative Analysis, 45(2), 535-553.However, you do not need to read the full article to complete this part of the assignment.

Question: Critically evaluate the above statistical results in relation to the claim that the FIFA World Cup has a significant (negative) effect on stock market return. Use three bullet points, in less than 150 words in total. 

Your points of evaluation may include the following (but not limited to):

• Economic plausibility of the model

• Economic significance of effect size

• Explanatory power (or in-sample predictability) of the model

• Validity of statistical significance based on the p-value criterion

• Possible sampling bias

Section 3 (4 marks)

One of the problems in the analysis in Section 2 is that the sample covers a long period with a massive sample size. This will make the p-value very small regardless of economic significance of effect size, which can bias the outcome of statistical inference. In addition, there is a danger 

that the results may be distorted due to structural changes. The latter include the changes in trading behaviour of investors’, trading technologies, investment patterns, the development and regulatory framework of stock market, and market crash, among others.

ECM2IE Econometrics

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