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◄Faculty of Economics and Administration►

Main References : (1) Andersen, D.R., Sweeney, D.J., Williams, T.A. and
Martin, K. (2008). An Introduction to Management
Science : Quantitative Approaches to Decision Making.
12 ed., Thompson, South-Western.
th
(2) Hillier, F. S. And Hillier, M.S. (2004). Introduction to
Management Science: A Modelling and Case Study
nd
Approach with Spreadsheets, 2 . ed., McGraw-Hill.
ESGC6328 APPLIED FINANCIAL ECONOMETRICS

Learning Outcomes At the end of the course, students are able to:

(1) Analyse returns to financial assets;
(2) Construct indices as measures of stock market
performance;
(3) Build financial models including time-varying volatility
models using appropriate software;
(4) Assess the results of econometric-time series models
in the area of finance; and
(5) Communicate the findings effectively.
Synopsis of Course The course introduces the methods of construction of stock
Contents market indices, computation of returns with adjustment for
capital changes and estimation of betas. Tests of market
efficiency and estimations of selected financial models are
discussed. The capital asset pricing model is applied for
analyzing the ability of market timing and stock selectivitity.
Spurious regressions and stochastic processes are
introduced. The importance of data stationarity and order of
integration for financial data is explained. VAR modelling,
impulse response function, variance decomposition,
causality, cointegration and error correction mechanism are
discussed in the context of financial models. Calendar
anomalies and methods for modelling volatility in financial
data, such as ARCH & GARCH, are discussed.
Assessment Continuous Assessment: 50%
Final Examination: 50%
Main Reference (1) K.L.Kok and K.L. Goh, Malaysian Securities Market:
Indicator, Risk, Return, Efficiency and Inter-market
Dependence, Pelanduk Publications, 1995.
(2) W. Enders, Applied Econometric Time Series, John
Wiley, 1995.
(3) J. Campbell, A.W. Lo and A.C. MacKinlay, The
Econometrics of Financial Markets, Princeton University
Press, 1997.
(4) H.B. Tan and C.W. Wooi, Understanding the Behavior
of the Malaysian Stock Market, UPM Press, 2005.

ESGC6355 READINGS IN APPLIED STATISTICS

Learning Outcomes At the end of the course, students are able to:

(1) Analyse the importance of strong theoretical
underpinnings in examining a statistical problem of
interest;

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