contemporary issues in finance syllabus
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7/28/2019 Contemporary Issues in Finance Syllabus
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Contents:
Area of Study No. of
Expected
Papers
Expected Learning Outcomes Expected
Duration
( in Weeks)
1. Random Walk
Hypothesis (RWH)
2. RWH Applications for
different macro time
series
03
1. Concept: Random Walk Hypothesis,
RWH and its application for financial
Time Series
2. Methodologies:
a. Autocorrelation function and Graphs
b. Ljung Box Q test
c. ADF Unit Root Test, Variance Ratio
Test, Philips Perron Test.
3. Reading & Writing: 03 readings and 03
pagers
04
Evaluation 1 1. Take home examination: producing two page review of
your selected term paper. At least review of 03 papers.
2. Plagiarism allowed only 18% on first check.
Level:
Equivalent
to 01 Hour
1. Market Efficiency
2. Weak form of Market
Efficiency
3. Event Studies
04+02 1. Concepts: Efficient Market Hypothesis
(EMH) theory and practices, the
interaction of RWH & EMH, The forms of
EMH, World Wide Evidences of EMH,
EMH & CAPM, EMH & Fama & French 3
factor Model, EMH &Black Monday &
Tuesday
2. Methodologies:
a. One Sample T test
b. Paired Sample T test
c. ADF / PP test / VR
d. Autocorrelation function and Graphs
3. Reading & Writing: 06 readings and 06
04 weeks
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pagers
Evaluation 2 1. Take home examination: analyzing data and interpreting
results for selected Methodologies.
2. Plagiarism allowed only 18% on first check.
Level:
Equivalent
to 01 Hour
1. Market Regularities /
Anomalies
2. Day of the Week Effect
3. January Effect
4. Ramadan Effect
6+2 1. Concepts: Market Regularities, Market
Anomalies, different kinds of Anomalies,
EMH & Market regularities, day of the
week effect, December Effect, Ramdan
Effect, Intra Day Effect.
2. Methodologies:
a. Independent Sample T testb. ANOVA
c. Kruskall Walis Test
d. Post Hoc Multiple Comparison
e. OLS with Dummy Variables
3. Reading & Writing: 06 readings and 06
pagers
Evaluation 3 1. Take home examination: analyzing data and interpreting
results for selected Methodologies.
2. Plagiarism allowed only 18% on first check.
Level:
Equivalent
to 01 Hour
1. Stochastic Volatility&
Forecasting of Time
Series
2. ARCH-Family models
5+1 1. Concepts: Stylized facts of financial
time series analysis, AR process,
Homoscedascity, Hetroscedicity,
forecasting conditional to variance,
ARCH, GARCH, TARCH, GJR-ARCH,
EGARCH.
2. Methodologies:
a. ADF
b. ARCH Model
c. GARCH model
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d. GJR-Model
e. EGARCH
f. TARCH
Reading & Writing: 06 readings and
finalizing term paper
Evaluation 4 Term Paper Presentation or Viva
Plagiarism allowed only 18% on first check.
Level:
Equivalent
to 02 Hour
Hands on exercise: Application of concepts through computer Simulation on Pakistani data. All the
methodologies will be applied in Pakistani Case. Eviews and STATA will be used.
Reading Titles Concept Covered.
Comprehensive
Readings
Evaluation 1 1. Random walk and breaking trend in financial
series: An econometric critique of unit root
tests by Abdul Rahman, Samir Saadi in the
Review of Financial Economics 17 (2008) 204 –
212.
2. The Random Walk Model in the Pakistani
Equity Market: An Examination by Fazl Husein,
PDR, PIDE, 1997
3. DO EXCHANGE RATES FOLLOW RANDOM
WALKS? An Application of Variance-Ratio Testby ABDUL RASHID Pakistan Economic & Social
Review, 2006.
RandomWalkH
ypothesis
Optional
Readings
Evaluation 1 4. The Behaviour of Stock Returns in an Emerging
Market: A Case Study of Pakistan by Khilji Arif,
PDR, PIDE, 1993
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Comprehensive
Readings
Evaluation 21. Distribution Of Stock Returns In An Emerging
Market: The Pakistani Market Author(s): FAZAL
HUSAIN and JAMSHED UPPAL, 1998, Pakistan
Economic & Social Review
2. MARKET EFFICIENCY IN EMERGING STOCKMARKETS: THE CASE OF DHAKA
STOCKEXCHANGE (DSE) Author(s): M. Farid
AhmedSource: Savings and Development, Vol.
26, No. 1 (2002), pp. 49-68
3. Stock Market Volatility and Weak-form
Efficiency: Evidence from an Emerging Market
Author(s): Abid Hameed, Hammad Ashraf and
Rizwana Siddiqui
4. Testing Semi-strong Form Efficiency of Stock
Market Author(s): Salman Syed Ali, Khalid
Mustafa and Asad Zaman Source: The Pakistan
Development Review, Vol. 40, No. 4.
5. The Response of Karachi Stock Exchange to
Nuclear DetonationAuthor (s): Attiya Y. Javed
and Ayaz AhmedSource: The Pakistan
Development Review, Vol. 38, No. 4.
6. Testing Semi-strong Form Efficiency of Stock
Market Author (s): Salman Syed Ali, Khalid
Mustafa and Asad ZamanSource: The Pakistan
Development Review, Vol. 40, No. 4
StockMarketEfficiency
OptionalReadings
Evaluation 27. The Efficiency of Emerging Stock Markets:
Empirical Evidence from the South Asian
RegionAuthor(s): Arusha Cooray and
Guneratne WickremasingheSource: The
Journal of Developing Areas, Vol. 41, No. 1
(Fall, 2007), pp. 171-183
8. Market Volatility, Manipulation, and
Regulatory Response: A Comparative Study of
Bombay and Karachi Stock MarketsAuthor (s):
Jamshed Y. Uppal and Inayat U. Mangla
9. Single Stock Futures Trading and Stock Price
Volatility: Empirical AnalysisAuthor(s): Safi
Ullah Khan and Syed Tahir HijaziSource: The
Pakistan Development Review, Vol. 48, No. 4
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Comprehensive
Readings
Evaluation 3
1. An Investigation of the Day-of-the-Week Effect
on Stock Returns in TurkeyAuthor(s): Riza
Demirer and M. Baha KaranSource: Emerging
Markets Finance & Trade, Vol. 38, No. 6,
Turkey in the Financial Liberalization Process
(II) (Nov. - Dec., 2002), pp. 47-77
2. The Day-of-the-Week Effect in Stock Returns:
Further Evidence from Eastern European
Emerging Markets. Author(s): Richard A. Ajayi,
Seyed Mehdian and Mark J. PerrySource:
Emerging Markets Finance & Trade, Vol. 40
3. Anomalies in Karachi Stock Market: Day of the
Week Effect Author (s): Mohammed Nishat
and Khalid MustafaSource: The Bangladesh
Development Studies, Vol. 28, No. 3
4. A Seasonality in the Pakistani Equity Market:
The Ramadhan Effect Author (s): Fazal
HusainSource: The Pakistan Development
Review, Vol. 37, No. 1 (Spring 1998), pp. 77-81
5. The January Effect in Preferred Stock
InvestmentsAuthor(s): Daniel E. Vetter and
John R. WingenderSource: Quarterly Journal of
Business and Economics, Vol. 35, No. 1
EM
HAnamolies
Optional
Readings
Evaluation 3
1. An Analysis of Day-of-the-Week Effects in the
Egyptian Stock Market by Hassan Alya, Seyed
Mehdianb, and Mark J. Perryb
2. Stock Market Seasonality: Day Of The Week
Effect And January Effect: by Lukas Mazal
2008-2009
3. Seasonalities in stock markets: the Day of the
Week Effect: by George Drogalas, Stergios
Athianos and George Elekidis
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Comprehensive
Readings
Evaluation 4
1. Estimation of an Asymmetric Stochastic
Volatility Model for Asset ReturnsAuthor(s):
Andrew C. Harvey and Neil ShephardSource:
Journal of Business & Economic Statistics, Vol.
14, No. 4 (Oct., 1996), pp. 429-434
2. A Multivariate GARCH Model of International
Transmissions of Stock Returns and
Volatility:The Case of the United States and
CanadaAuthor(s): G. Andrew KarolyiSource:
Journal of Business & Economic Statistics, Vol.
13, No. 1 (Jan., 1995), pp. 11-25
3. Volatility and Links between National Stock
MarketsAuthor(s): Mervyn King, Enrique
Sentana and Sushil WadhwaniSource:
Econometrica, Vol. 62, No. 4 (Jul., 1994), pp.
901-933
4. Intraday Volatility in International Stock Index
Futures Markets: Meteor Showers or
HeatWaves?Author(s): G. Geoffrey Booth,
Mustafa Chowdhury, Teppo Martikainen and
Yiuman TseSource: Management Science, Vol.
43, No. 11 (Nov., 1997), pp. 1564-1576
5. Corporate Disclosure Practices, Institutional
Investors, and Stock Return VolatilityAuthor(s):
Brian J. Bushee and Christopher F. NoeSource:
Journal of Accounting Research, Vol. 38
6. Does Increased International Influence Cause
Higher Stock Market Volatility?Author(s): John
HasslerSource: The Scandinavian Journal of
Economics, Vol. 101, No. 1 (Mar., 1999), pp. 1-
7. The Impact of Political Risk on the Volatility of
Stock Returns: The Case of CanadaAuthor(s):
Marie-Claude Beaulieu, Jean-Claude Cosset
and Naceur EssaddamSource: Journal of
International Business Studies, Vol. 36, No. 6
AssetsVolatilityModeling