IC205-Introductory Econometrics for Finance

Module Provider: ICMA Centre
Number of credits: 20 [10 ECTS credits]
Level:5
Terms in which taught: Spring term module
Pre-requisites: IC104 Introductory Quantitative Techniques for Business and Finance
Non-modular pre-requisites:
Co-requisites:
Modules excluded:
Module version for: 2017/8

Module Convenor: Prof Mike Clements

Email: m.p.clements@icmacentre.ac.uk

Summary module description:
This module introduces students to the econometric techniques that are used in the empirical finance literature.

Aims:
Building on Introductory Quantitative Techniques for Finance module, this module aims to give students a solid understanding of the econometric approaches that are commonly employed to test financial theories.

Assessable learning outcomes:
Upon completion of the module, students should be able to:
- Explain the fundamentals of the statistical theory underlying the tools employed to estimate and test econometric models
- Formulate and validate econometric models testing financial theories and hypotheses
- Interpret and analyse the results from an estimated econometric model
- Comprehend and critically evaluate the use of econometrics in the published academic finance literature

Additional outcomes:
The module also aims to encourage the development of IT skills and in particular the manipulation of data using statistical software packages. Students will also improve their ability to translate abstract theoretical concepts into practical solutions to financial problems.

Outline content:
Topic 1 Relationships between variables, regression techniques and simple linear regression: assumptions, estimation (OLS), derivation
Topic 2 The normality assumption
Topic 3 Hypothesis testing for single and multiple hypotheses
Topic 4 Multiple regression : the Classical Linear Regression Model
Topic 5 Goodness of Fit Statistics
Topic 6 Violations of the assumptions : causes, consequences, solutions
Topic 7 Dynamic models
Topic 8 Long run relationships in finance - non-stationarity, testing for unit roots, cointegration, error correction formulations.

Brief description of teaching and learning methods:
The module will be primarily lecture based with directed textbook based supplementary reading. There will be a number of tutorial/seminar sessions – both classroom-based and computer lab-based – to aid students in developing more depth and in understanding the linkage between topics

Contact hours:
  Autumn Spring Summer
Lectures 20
Seminars 8
Guided independent study 172
       
Total hours by term 200.00
       
Total hours for module 200.00

Summative Assessment Methods:
Method Percentage
Written exam 75
Project output other than dissertation 25

Other information on summative assessment:

Formative assessment methods:
Exercises will be set for the weekly classes, at which attendance is compulsory.

Penalties for late submission:

Penalties for late submission on this module are in accordance with the University policy.
The following penalties will be applied to coursework which is submitted after the deadline for submission:
• where the piece of work is submitted up to one calendar week after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for the piece of work will be deducted from the mark;
• where the piece of work is submitted more than one calendar week after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.
(Please refer to the Undergraduate Guide to Assessment for further information: http://www.reading.ac.uk/internal/exams/student/exa-guideUG.aspx)

The Module Convenor will apply the following penalties for work submitted late, in accordance with the University policy.
  • where the piece of work is submitted up to one calendar week after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for the piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of five working days;
  • where the piece of work is submitted more than five working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.

  • The University policy statement on penalties for late submission can be found at: http://www.reading.ac.uk/web/FILES/qualitysupport/penaltiesforlatesubmission.pdf
    You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.

    Length of examination:
    One 2-hour unseen written paper.
    Part 1 examinations are held in the Summer term.

    Requirements for a pass:
    A minimum mark of 40%.

    Reassessment arrangements:
    Re-examination for Part 1 modules takes place in August/September of the same year.
    Reassessment is by examination only (coursework will not be included in the re-assessment).

    Additional Costs (specified where applicable):
    1) Required text books: Brooks, C. (2014) Introductory Econometrics for Finance, 3rd edition, CUP, 978-1107661455, £49.99.
    2) Specialist equipment or materials:
    3) Specialist clothing, footwear or headgear:
    4) Printing and binding:
    5) Computers and devices with a particular specification:
    6) Travel, accommodation and subsistence:

    Last updated: 31 March 2017

    Things to do now