GRA 6547 Research Methodology in Finance
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APPLIES TO ACADEMIC YEAR 2016/2017 |
GRA 6547 Research Methodology in Finance
Responsible for the course
Kjell Jørgensen
Department
Department of Finance
Term
According to study plan
ECTS Credits
6
Language of instruction
English
Introduction
Welcome to this mandatory and important research methodology course in finance. The importance of this course can be summarised in the following three questions:
1) What do I need in order to be able to identify the empirical predictions of a financial or economic theory?
2) What do I need in order to be able to test the empirical predictions of the theory?
3) What do I need in order to be able to critically evaluate the research methodology used in financial resarch? Answer: Research Methodology in Finance.
Learning outcome
The aim of this course is to introduce students to important econometric techniques that are used in empirical finance and to facilitate an awareness in students of how these techniques can be applied. You should after completing this course be able to employ and understand most of the research methodology used in today's published research in empirical finance. More specifically, you should:
* have an advanced knowledge of the principles and methods of modern financial econometrics
* have extended and deepened your understanding of Econometrics gained in your Basic Econometrics course and improved your critical judgement and discimination in the choice of techniques applicable to complex situations
* have extended your understanding of the application of econometric methods and interpretation of the results at an advanced level
* have further practiced problem solving skills at an advanced level and the use of econometric software.
In addition, you should also have developed further the following key skills:
* Written communication
* Oral communication
* Ethical awareness in conducting research
* Teamwork
* Problem solving and analysis
* Using initiative
* Computer Literacy
Broader understanding of advanced information search strategies:
- acquaintance with advanced methods for information ”harvesting”, search technique, evaluation of sources
- know what a critical literature review is and how this type of articles may be searched for and used
- critical evaluation of sources
Prerequisites
All courses in the Masters programme will assume that students have fulfilled the admission requirements for the programme. In addition, courses in second, third and/or fourth semester can have spesific prerequisites and will assume that students have followed normal study progression. For double degree and exchange students, please note that equivalent courses are accepted.
Compulsory reading
Books:
Brooks, Chris. 2014. Introductory econometrics for finance. 3rd ed. Cambridge University Press
Book extract:
Saunders, Mark. 2016. Research methods for business students. 7th ed. Pearson Education, Essex. Chapter 3: Critically reviewing the literature, pp.70-124. Available electronically
Other:
During the course there may be hand-outs and other material on additional topics relevant for the course and the examination.
Recommended reading
Course outline
This course introduces students to modern econometric techniques that are relevant for empirical research in finance. The course starts with a session on data gathering in the library. Then univariate time series models and forecasting are covered before we move on to multivariate time series models and cointegration. The focus then switches to the modeling of volatility.
Course Content:
1. Data gathering
2. Univariate time series analysis
3. Multivariate time series analysis
4. Cointegration: Modeling long-run financial behaviour
5. Modelling Volatility: ARCH models
6. Information search strategies
Each topic will be accompanied by a hands-on practical application of an empirical finance topic. The software package Eviews will be an integral part of the lectures and the coursework.
During the semester there will be thesis seminars to guide the students towards writing a thesis registration form. This is conducted outside the course.
Computer-based tools
Eviews
Learning process and workload
A course of 6 ECTS credits corresponds to a workload of 160-180 hours.
Please note that while attendance is not compulsory in all courses, it is the student’s own responsibility to obtain any information provided in class that is not included on the course homepage/It's learning or text book.
Examination
Your course grade will be based on the following activities and weights:
50 % of the course grade will be based on a final three-hour written examination.
40 % of the course grade is based on two written assignments (each counting 20%), and a work assignment given by the library accounts for 10% of the grade.
| Form of assessment | Weight | Group size |
| Written examination 3 hours | 50% | Individual |
| Assignment | 40% | |
| Work assignment by the library | 10% | |
Specific information regarding student assessment will be provided in class. This information may be relevant to requirements for term papers or other hand-ins, and/or where class participation can be one of several components of the overall assessment. This is a course with continuous assessment (several exam components) and one final exam code. Each exam component is graded using points on a scale from 0-100. The final grade for the course is based on the aggregated mark of the course components. Each component is weighted as detailed in the course description. Students who fail to participate in one/some/all exam components will get a lower grade or may fail the course. You will find detailed information about the points system and the mapping scale in the student portal @bi. Candidates may be called in for an oral hearing as a verification/control of written assignments.
Examination code(s)
GRA 65476 (continuous assessment) for the final letter grade counting for 100%
Examination support materials
BI approved exam calculator
Bilingual dictionary
Permitted examination support materials for written examinations are detailed under examination information in the student portal @bi. The section on support materials and the use of calculators and dictionaries should be paid special attention to.
Re-sit examination
It is only possible to retake an examination when the course is next taught. The assessment in some courses is based on more than one exam code. Where this is the case, you may retake only the assessed components of one of these exam codes. All retaken examinations will incur an additional fee. Please note that you need to retake the latest version of the course with updated course literature and assessment. Please make sure that you have familiarised yourself with the latest course description.
Additional information
Honour code. Academic honesty and trust are important to all of us as individuals, and are values that are integral to BI's honour code system. Students are responsible for familiarising themselves with the honour code system, to which the faculty is deeply committed. Any violation of the honour code will be dealt with in accordance with BI’s procedures for academic misconduct. Issues of academic integrity are taken seriously by everyone associated with the programmes at BI and are at the heart of the honour code. If you have any questions about your responsibilities under the honour code, please ask. The learning platform itslearning is used in the teaching of all courses at BI. All students are expected to make use of itslearning.