FIN 4024: INTRODUCTION TO FINANCIAL

ECONOMETRICS


Spring 2020

Professor Pin-Huang Chou
choup@cc.ncu.edu.tw
886-3-4227151 ext. 66270
http://www.mgt.ncu.edu.tw/~choup

Introduction

This is a course in introductory financial econometrics. The aim of this course is twofold: First, to introduce the students empirical topics that are of interest and relevant to financial academics and practitioners. Second, to train the students to be able to implement research ideas to practice via econometric modeling and tools. Since this course focuses on developing students' skill to solve problems by their own, there will be no exams. Except for the first few lectures, most topics will be presented by students. I believe nobody can be taught, unless one wants to learn. Hence, the best way for students to learn is they learn by themselves. Students are expected to discuss with me thoroughly before they present in the class. Also, there will be a term paper due by the end of the semester.  Students are also required to discuss with the research topic by early May.

Textbooks: Lecture notes covering two textbooks are available in LMS.

Grading

Assignments

20%

Term paper

50%

Presentation

30%

Class Hours: Wednesday, 9:00 - 11:50.

 

Topics

  1. Introduction
  2. Introduction to conducting empirical project and writing research paper
  3. Review of Statistics
  4. SAS basics
  5. Returns on individual securities and indexes
  6. Basic regression models
  7. Advanced regression models
  8. Using dummy variables
  9. ARIMA
  10. Empirical Application on CAPM
  11. Mutual fund performance measure
  12. Event studies
  13. Investment strategies

Some sample SAS Programs

1. DW.sas
2. Heter1.sas
3. ARIMA.sas
4. Chowtest.sas
5. Autoreg.sas
6. Probit.sas