Problems that could be tackled using time series data: ● How the value of a country’s stock index has varied with that country’s macroeconomic fundamentals ● How the value of a company’s stock price has varied when it announced the value of its dividend payment ● The effect on a country’s exchange rate of an increase in its trade deficit. In all of the above cases, it is clearly the time dimension which is the most important, and the analysis will be conducted using the values of the variables over time.
The value of econometrics (1) Testing whether financial markets are weak-form informationally efficient (2) Testing whether the Capital Asset Pricing Model (CAPM) or Arbitrage Pricing Theory (APT) represent superior models for the determination of returns on risky assets (3) Measuring and forecasting the volatility of bond returns (4) Explaining the determinants of bond credit ratings used by the ratings agencies (5) Modelling long-term relationships between prices and exchange rates (6) Determining the optimal hedge ratio for a spot position in oil (7) Testing technical trading rules to determine which makes the most money (8) Testing the hypothesis that earnings or dividend announcements have no effect on stock prices (9) Testing whether spot or futures markets react more rapidly to news (10) Forecasting the correlation between the stock indices of two countries.
标签: exchange经管大学堂：名校名师名课
京公网安备 11010802022788号
论坛法律顾问：王进律师
知识产权保护声明
免责及隐私声明
