Calendar Effects in International Stock Markets

 

 

BEFM022 Quantitative Research Methods 

 

Assessed Individual Assignment

(60 per cent of 15-credit module)

 

 

Calendar Effects in International Stock Markets

 

 

The aim of the assignment is to extend the case study that you have undertaken in Week 9 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 in Excel, or a software package of your choice.

 

Assignment Structure

 

Your assignment should contain the following sections:

 

  1. Title page with abstract

 

You should provide a summary of your research with no more than 100 words

 

2.  Introduction

 

Here you should motivate the research, explain and discuss your research objectives, summarise what you have done, provide an overview of the results and overall conclusions.

 

3.  Literature review

 

You should summarise and discuss at least five relevant published papers, which can include those that you have already been given in the course. 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 and data frequency used. You should also provide summary statistics of the data, and a discussion of these.

 

5.  Methodology

 

You should describe in detail the methodology that you use and the hypotheses to be tested. The hypotheses should be linked to the overall research question.

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 APA reference system. Further information about referencing other people’s work can be found here: https://vle.exeter.ac.uk/course/view.php?id=6748&section=2

 

9.  Tables and figures

 

All tables and figures should be numbered, titled and properly annotated so that they can be read without having to refer back to the text.

 

 

 

Further Notes:

 

  • This is an assessed piece of work that will account for 60% of the total marks available for this course.

 

  • This is an individual assignment, the length of which must not exceed 3,000 words, excluding references, appendices, tables and figures.

 

  • A word count must be placed on the front cover; 2 marks will be deducted if there is no word count and 5 marks will be deducted if the examiner feels that there has been a deliberate attempt to give misleading information about the length of the assignment.

 

  • Note that the results 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 separate file containing your data, calculations and programme code (if any) should be submitted together with the written assignment. Without this, your assignment mark will be capped at 50.

 

 

 

Submission Deadline: 12.00 noon Wednesday 28 April 2021

 

Please submit your completed individual assignment via eBart by the above deadline. The submission instruction and link will be available on ELE near the time.

 

Late submission

 

You will be penalised if you submit your assignment after the deadline. Details of the penalties for late submission can be found here:

http://as.exeter.ac.uk/academic-policy-standards/tqa- manual/aph/settingandsubmission/#late

 

Marking Criteria

 

The assignment will be assessed according to the following criteria:

 

  • Framing research question (s)
  • Understanding and Literature Review
  • Methodology
  • Analysis, Discussion and Conclusion
  • Style and Presentation

 

The university marking criteria for postgraduate modules are as follows:

 

  • 70% and above: Distinction work of near publishable standard, reflecting outstanding knowledge of material and critical ability.

 

  • 60-69%: Merit

work with a well-defined focus, reflecting a good working knowledge of material and good level of competence in its critical assessment.

 

  • 50-59%: Pass

work demonstrating adequate working knowledge of material and evidence of some analysis.

 

  • 40-49%: Condonable Fail limited knowledge of core material and limited critical ability.

 

  • 39%: and below: Fail lacking in basic knowledge and critical ability.

 

 

 

 

 

 

 

 

 

Mitigation

 

  • If you are unwell, or other adverse personal circumstances affect your ability to meet the deadline, you MUST complete an online mitigation form to request an extension as soon as possible and at the latest within one working day of the affected assessment submission date.

 

  • Please see the following link for the online form and for further details about the mitigation process: http://www.exeter.ac.uk/wellbeing/studentwelfare/mitigationprocess/

 

  • If you have any queries, please contact the Information Point:

info.buildingone@exeter.ac.uk

 

 

Cheating and Plagiarism

 

  • Cheating and plagiarism are totally unacceptable and will result in disqualification.

 

  • For further information, see the following website: https://as.exeter.ac.uk/academic-policy-standards/tqamanual/aph/managingacademicmisconduct/