Contemporary Issues in Finance Syllabus

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Contents:

Area of Study No. of

Expected

Papers

Expected Learning Outcomes Expected

Duration

( in Weeks)

1. Random Walk

Hypothesis (RWH)

2. RWH Applications for

different macro time

series

03

1. Concept: Random Walk Hypothesis,

RWH and its application for financial

Time Series

2. Methodologies:

a. Autocorrelation function and Graphs

b. Ljung Box Q test

c. ADF Unit Root Test, Variance Ratio

Test, Philips Perron Test.

3. Reading & Writing: 03 readings and 03

pagers

04

Evaluation 1 1. Take home examination: producing two page review of

your selected term paper. At least review of 03 papers.

2. Plagiarism allowed only 18% on first check.

Level:

Equivalent

to 01 Hour

1. Market Efficiency

2. Weak form of Market

Efficiency

3. Event Studies

04+02 1. Concepts: Efficient Market Hypothesis

(EMH) theory and practices, the

interaction of RWH & EMH, The forms of

EMH, World Wide Evidences of EMH,

EMH & CAPM, EMH & Fama & French 3

factor Model, EMH &Black Monday &

Tuesday

2. Methodologies:

a. One Sample T test

b. Paired Sample T test

c. ADF / PP test / VR

d. Autocorrelation function and Graphs


04 weeks



pagers

Evaluation 2 1. Take home examination: analyzing data and interpreting

results for selected Methodologies.


Level:

Equivalent

to 01 Hour

1. Market Regularities /

Anomalies

2. Day of the Week Effect

3. January Effect

4. Ramadan Effect

6+2 1. Concepts: Market Regularities, Market

Anomalies, different kinds of Anomalies,

EMH & Market regularities, day of the

week effect, December Effect, Ramdan

Effect, Intra Day Effect.

2. Methodologies:

a. Independent Sample T testb. ANOVA

c. Kruskall Walis Test

d. Post Hoc Multiple Comparison

e. OLS with Dummy Variables


pagers

Evaluation 3 1. Take home examination: analyzing data and interpreting

results for selected Methodologies.


Level:

Equivalent

to 01 Hour

1. Stochastic Volatility&

Forecasting of Time

Series

2. ARCH-Family models

5+1 1. Concepts: Stylized facts of financial

time series analysis, AR process,

Homoscedascity, Hetroscedicity,

forecasting conditional to variance,

ARCH, GARCH, TARCH, GJR-ARCH,

EGARCH.

2. Methodologies:

a. ADF

b. ARCH Model

c. GARCH model



d. GJR-Model

e. EGARCH

f. TARCH

Reading & Writing: 06 readings and

finalizing term paper

Evaluation 4 Term Paper Presentation or Viva

Plagiarism allowed only 18% on first check.

Level:

Equivalent

to 02 Hour

Hands on exercise: Application of concepts through computer Simulation on Pakistani data. All the

methodologies will be applied in Pakistani Case. Eviews and STATA will be used.

Reading Titles Concept Covered.

Comprehensive

Readings

Evaluation 1 1. Random walk and breaking trend in financial

series: An econometric critique of unit root

tests by Abdul Rahman, Samir Saadi in the

Review of Financial Economics 17 (2008) 204 –

212.

2. The Random Walk Model in the Pakistani

Equity Market: An Examination by Fazl Husein,

PDR, PIDE, 1997

3. DO EXCHANGE RATES FOLLOW RANDOM

WALKS? An Application of Variance-Ratio Testby ABDUL RASHID Pakistan Economic & Social

Review, 2006.

RandomWalkH

ypothesis

Optional

Readings

Evaluation 1 4. The Behaviour of Stock Returns in an Emerging

Market: A Case Study of Pakistan by Khilji Arif,

PDR, PIDE, 1993



Comprehensive

Readings

Evaluation 21. Distribution Of Stock Returns In An Emerging

Market: The Pakistani Market Author(s): FAZAL

HUSAIN and JAMSHED UPPAL, 1998, Pakistan

Economic & Social Review

2. MARKET EFFICIENCY IN EMERGING STOCKMARKETS: THE CASE OF DHAKA

STOCKEXCHANGE (DSE) Author(s): M. Farid

AhmedSource: Savings and Development, Vol.

26, No. 1 (2002), pp. 49-68

3. Stock Market Volatility and Weak-form

Efficiency: Evidence from an Emerging Market

Author(s): Abid Hameed, Hammad Ashraf and

Rizwana Siddiqui

4. Testing Semi-strong Form Efficiency of Stock

Market Author(s): Salman Syed Ali, Khalid

Mustafa and Asad Zaman Source: The Pakistan

Development Review, Vol. 40, No. 4.

5. The Response of Karachi Stock Exchange to

Nuclear DetonationAuthor (s): Attiya Y. Javed

and Ayaz AhmedSource: The Pakistan

Development Review, Vol. 38, No. 4.

6. Testing Semi-strong Form Efficiency of Stock

Market Author (s): Salman Syed Ali, Khalid

Mustafa and Asad ZamanSource: The Pakistan

Development Review, Vol. 40, No. 4

StockMarketEfficiency

OptionalReadings

Evaluation 27. The Efficiency of Emerging Stock Markets:

Empirical Evidence from the South Asian

RegionAuthor(s): Arusha Cooray and

Guneratne WickremasingheSource: The

Journal of Developing Areas, Vol. 41, No. 1

(Fall, 2007), pp. 171-183

8. Market Volatility, Manipulation, and

Regulatory Response: A Comparative Study of

Bombay and Karachi Stock MarketsAuthor (s):

Jamshed Y. Uppal and Inayat U. Mangla

9. Single Stock Futures Trading and Stock Price

Volatility: Empirical AnalysisAuthor(s): Safi

Ullah Khan and Syed Tahir HijaziSource: The

Pakistan Development Review, Vol. 48, No. 4



Comprehensive

Readings

Evaluation 3

1. An Investigation of the Day-of-the-Week Effect

on Stock Returns in TurkeyAuthor(s): Riza

Demirer and M. Baha KaranSource: Emerging

Markets Finance & Trade, Vol. 38, No. 6,

Turkey in the Financial Liberalization Process

(II) (Nov. - Dec., 2002), pp. 47-77

2. The Day-of-the-Week Effect in Stock Returns:

Further Evidence from Eastern European

Emerging Markets. Author(s): Richard A. Ajayi,

Seyed Mehdian and Mark J. PerrySource:

Emerging Markets Finance & Trade, Vol. 40

3. Anomalies in Karachi Stock Market: Day of the

Week Effect Author (s): Mohammed Nishat

and Khalid MustafaSource: The Bangladesh

Development Studies, Vol. 28, No. 3

4. A Seasonality in the Pakistani Equity Market:

The Ramadhan Effect Author (s): Fazal

HusainSource: The Pakistan Development

Review, Vol. 37, No. 1 (Spring 1998), pp. 77-81

5. The January Effect in Preferred Stock

InvestmentsAuthor(s): Daniel E. Vetter and

John R. WingenderSource: Quarterly Journal of

Business and Economics, Vol. 35, No. 1

EM

HAnamolies

Optional

Readings

Evaluation 3

1. An Analysis of Day-of-the-Week Effects in the

Egyptian Stock Market by Hassan Alya, Seyed

Mehdianb, and Mark J. Perryb

2. Stock Market Seasonality: Day Of The Week

Effect And January Effect: by Lukas Mazal

2008-2009

3. Seasonalities in stock markets: the Day of the

Week Effect: by George Drogalas, Stergios

Athianos and George Elekidis



Comprehensive

Readings

Evaluation 4

1. Estimation of an Asymmetric Stochastic

Volatility Model for Asset ReturnsAuthor(s):

Andrew C. Harvey and Neil ShephardSource:

Journal of Business & Economic Statistics, Vol.

14, No. 4 (Oct., 1996), pp. 429-434

2. A Multivariate GARCH Model of International

Transmissions of Stock Returns and

Volatility:The Case of the United States and

CanadaAuthor(s): G. Andrew KarolyiSource:

Journal of Business & Economic Statistics, Vol.

13, No. 1 (Jan., 1995), pp. 11-25

3. Volatility and Links between National Stock

MarketsAuthor(s): Mervyn King, Enrique

Sentana and Sushil WadhwaniSource:

Econometrica, Vol. 62, No. 4 (Jul., 1994), pp.

901-933

4. Intraday Volatility in International Stock Index

Futures Markets: Meteor Showers or

HeatWaves?Author(s): G. Geoffrey Booth,

Mustafa Chowdhury, Teppo Martikainen and

Yiuman TseSource: Management Science, Vol.

43, No. 11 (Nov., 1997), pp. 1564-1576

5. Corporate Disclosure Practices, Institutional

Investors, and Stock Return VolatilityAuthor(s):

Brian J. Bushee and Christopher F. NoeSource:

Journal of Accounting Research, Vol. 38

6. Does Increased International Influence Cause

Higher Stock Market Volatility?Author(s): John

HasslerSource: The Scandinavian Journal of

Economics, Vol. 101, No. 1 (Mar., 1999), pp. 1-

7. The Impact of Political Risk on the Volatility of

Stock Returns: The Case of CanadaAuthor(s):

Marie-Claude Beaulieu, Jean-Claude Cosset

and Naceur EssaddamSource: Journal of

International Business Studies, Vol. 36, No. 6

AssetsVolatilityModeling



Optional

Readings

Evaluation 4

Documents

Contemporary Issues in Finance Syllabus