research paper: Calendar Effects in International HongKong Stock Markets
An empirical research paper
The aim of the assignment is to combine the work that you have done during
the research methods exercises and tutorials on testing for calendar effects
into a short academic paper. In particular, you should test for at least one of
the following calendar effects in a stock market of your choice: (a) day of the
week effect, (b) month of the year effect, or (c) holiday effect. You should test
for the calendar effect using regression analysis using Excel. The paper
should contain the following sections
1. Title page with abstract
You should provide a 100 word summary of your research.
2. Introduction www.szdhsjt.com
Here you should motivate the research, summarise what you have done,
provide a preview of the results and explain your overall conclusions.
3. Literature review
You should summarise and discuss at least ten papers, including those that
you have already been given. You should prioritise the papers, focussing
more on those that are most relevant to your own research.
4. Data
You should provide a detailed description of the sources of your data and the
sample period used. You should provide summary statistics of the data, and a
discussion of these.
5. Method
You should describe in detail the estimation method that you use and the
hypotheses to be tested. The statistical hypotheses should be linked to the
overall research question.
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6. Results
You should report and interpret your results in light of the hypotheses to be
tested.
7. Summary and conclusion
You should briefly summarise your findings and place them in the context of
the existing literature. You should note any limitations of your research and
make some suggestions for future research.
8. References
It is important that you include references for all the papers cited and that you
use the Harvard referencing system.
9. Tables and figures
All tables and figures should be properly annotated so that they can be read
without having to refer back to the text.
Note: This is a group assignment, the length of which must not exceed 4,000
words, not including references, tables and figures. Your paper should be
professionally presented, following the Journal of Finance style. Note that the
results that you obtain and their statistical significance will not affect the mark
that you receive. Instead, marks will be awarded for the way that you describe
each step of the research process, and the way that you report and interpret
your results and conclusions. Weight will also be attached to the quality of the
written presentation of your paper. A disc containing your calculations should
be submitted together with the written assignment. |
