ECMT3150: Group Project (Semester 1, 2022) 1 Introduction This group project assesses your ability to put econometric techniques into practice and your collaborative skills with your fellow classmates. Past students reported that they greatly bene ted from the experience in the group project. In a handful of cases, it resulted in job interviews and successful job o¤ers (e.g., from a reputable economic consulting rm). Please form a group of 5-6 members, and pick any topic which involves empirical econo- metric analysis on real data drawn from nancial markets. 2 Timeline 1. Forming a Group – Due in Week 5, at 5pm, 25 March 2022: I would encourage you to engage with your fellow classmates and discuss your interested area/topics after class and/or through Ed. To form a group, go to the tab People in Canvas and join in a group by lling in your name in an available slot. Once you have nalised the group members and the topic, one of the representatives should email Jacob Masseurs, our teaching assistant, at jmas6798@uni.sydney.edu.au (and cc to all the group members) with the group name, the name list and the research topic. You are most welcome to discuss the topic with Jacob and me before the due date. 2. Video Presentation – Due in Week 12, at 5pm, 28 May 2022: As a group, you are required to submit a 15-minute Video Presentation about your group project. Instructions for uploading the video presentation is found below and will be posted on Ed. 3. Group Report – Due in STUVAC, at 5pm, 3 June 2022: As a nal product of the group project, you need submit a succinct (up to 15 pages in total, including appendix and reference pages) and articulated report on your topic. Please include a cover sheet as the front page with the names and SID of all members. One of the representatives in the group should email me at simon.kwok@sydney.edu.au the group report (and cc to all other group members) by the due time. 4. Peer Evaluation – Each of the group members is required to send the scores con dentially to Jacob Masseurs at jmas6798@uni.sydney.edu.au after the due date of the group report. Your own score will be the simple average of the scores given to you by all your group members. 3 Assessment Criteria 1. (50%) Group Report. In the group report, I will look for: 1 (a) a well-de ned and interesting research question. Explain why the topic is impor- tant and interesting. You may either propose a new model or modify an existing model to accommodate the stylised facts of the data. The key to get a good topic is to have some innovative and unique elements, say in the form of new modelling methodology, new data and/or new insights obtained from data analysis. Extra credits will be awarded to projects with a higher level of originality and/or di￠ – culty. For example, it is not a great idea to blindly t a GARCH(1,1) model to the log-returns of stocks without giving much thoughts. You are not restricted to use the econometric models and techniques discussed in lectures – in fact, you are strongly encouraged to explore into textbook chapters not covered in class or ma- terials outside the textbook. Try to nd a topic that you want to learn more and that is likely bene cial to your career search and development after graduation. (b) a brief literature review: Give a short summary of what other researchers did on a related topic. Cite related work in the References section. (c) a suitable econometric model with well-justi ed assumptions. Explain carefully each of the assumptions (why they are necessary, whether they are realistic in light of the data, etc). (d) a data description section. Explain how you collect the dataset, prepare it for further analyses (e.g., data cleaning, way to handle missing data), and conduct exploratory data analyses (e.g., detect the presence of autocorrelations / het- eroskedasticity / seasonality / unit roots through visualisation tools and/or sta- tistical tests, if applicable). (e) a data analysis section. This typically involves estimation, hypotheses testing, model checking and prediction. You are expected to apply some econometrics techniques to address the underlying research question. (f) a summary of the main ndings. Interpret the results obtained in (e), and answer the research question in (a). The nal mark of the report is based on the above assessment criteria. All group members will get the same mark for the report in each group. 2. (30%) Video Presentation. Each group will give a video presentation up to 15 minutes on your research for the group report. All group members are expected to participate in your own group s video presentation. I will look for: (a) e¤ectiveness of disseminating your research ideas to the audience (myself and your classmates) (b) communication and time management skills (c) team work The nal mark of the video presentation is based on the above assessment criteria. All group members will get the same mark for the presentation in each group. 3. (20%) Peer evaluation. You are supposed to give a score (out of 20) to each of your group members (excluding yourself) based on a fair evaluation of his/her contribution to the report and presentation. In the end, you will receive the total score of the above three parts. 2 4 Video Presentation Instructions Here are some speci c instructions for recording and submitting the video presentation. 4.1 How to record your video You may choose any video recording software to record your group presentation. If you don t have any speci c preference, my recommendation is to record your video using Zoom, which is handy to use and is a natural choice nowadays. 4.2 How to submit your video You may upload your video to any online video streaming platform that would allow for easy access by me and by your peers. For the best playback experience, I would recommend using Youtube. Then, one of you in the group should submit the video by posting on Ed before the due time. Your post should (i) be tagged with the Group Project category, (ii) have your video successfully embedded (see the screenshot at the bottom of this post), and (iii) include the group name, the title of the group assignment, the list of names for all the group members, and perhaps a very brief description of your group work (optional). For consistency purpose, the title of the Ed post should be your group name followed by a short title of your group project. 4.3 Post-submission stage After submitting the video, you are free to like the video presentation of your own and other groups, give comments and ask questions. Do feel free to challenge other groups by asking them critical questions on their work. To add some fun and provide extra motivation, I will consider giving a few extra points to the video presentation for the top ve groups whose Ed post receives the most number of likes . I may also give extra points to a few groups who respond to questions satisfactorily. All these activities (giving likes , asking and responding to questions) should be carried out before the due time of the group report. 5 Some Ideas for Topic Search Former students usually work on an area in which they have a personal interest and/or want to pick up on the domain knowledge before graduation in preparation for their career devel- opment. To give you some inspiration on the topic, you may take the utilitarian approach by thinking about the kind of data you want to learn more about for your career develop- ment/further study/own interest. There is a wide range of data, including but not limited to: daily stock data (as time series or as panel data) high frequency stock data (by minute/second) ultra high frequency stock data (by tick) portfolio indices (ETF, S&P 500, etc.) 3 stock indices in di¤erent markets (S&P 500, ASX, etc.) commodities (gold, wheat, co¤ee, etc.) macro variables (GDP, in ation rate, house prices, etc.) foreign exchange derivative price/implied volatility bond yield (Treasury bills, corporate bonds, sovereign bonds) interest rate (LIBOR, HIBOR, etc.) asset-backed securities (CDO, CLO, etc.) bitcoin, block chain Alternatively, you may browse through the following sources to get a sense of the spectrum of nancial data available; however, you are not restricted to these sources. Eikon by Thomson Reuters – https://eikon.thomsonreuters.com/index.html. It works like Bloomberg terminals, with Excel add-on that allows data download through queries. A single license is held by the School of Economics; please contact Jacob Masseurs at jmas6798@uni.sydney.edu.au for login information and access time. Yahoo! Finance – http://finance.yahoo.com; and a Matlab package that downloads daily stock data – https://au.mathworks.com/matlabcentral/fileexchange/43627. A compilation of data sources on StackExchange – https://quant.stackexchange. com/questions/141/what-data-sources-are-available-online Journal publications with downloadable real datasets – e.g., Journal of Business and Economic Statistics, Journal of Applied Econometrics (access through library catalog). To give further inspiration, here are some example topics proposed by students from previous years (for your reference only): The e¤ect of recent cyclones on volatility and derivative prices E￠ cient market hypothesis in emerging markets The e¤ects of interest rate decisions on asset price volatility The volatility of the Australian dollar The e¤ect of oil price shocks on the volatility of Australian stock market prices Are unicorn technology companies in a bubble The e¤ect of Trumps election on stock markets Cointegration between Australian commodity prices and the ASX Index 4 The e¤ect of public holidays on stock volatility and returns In uence of geopolitical events on South Korea s stock market volatility E¤ects of overnight social media sentiment on volatility at market open: an analysis using Twitter and Tesla (by The ARCHitects) Investigating Volatility Spillover E¤ects of Foreign Equity Markets on that of Australia (by The Martingale) How Tari¤ policy a¤ects American nancial market through Trump s Twitter What is the reaction of the Australian Dollar to Chinese Macroeconomic News Surprises and uctuations in Commodity Prices (by Mimi s Metricians) What are the e¤ects of Australian house prices on household consumption expenditure Impact of Fund Manager s Personal Characteristics on Mutual Fund Performance in Taiwan s Domestic Equity Fund Market (by Project Templeton) The E¤ects of Major Sport Events on Stock Returns and Volatility in the US (by Sport Social Science) The relation between investment in IT by the big 4 banks and fall in thier employment rate The Impact of Derivative Trading Frequency on Stock Volatility Exploring the Continued E¤ect of COVID-19 on Airline Stock Prices (by Benata- sophard) Testing for Cointegration between Stock Markets in Australia and the Asia-Paci c Region (by the Dummy Variables) Modelling and Forecasting Overseas Arrivals to Australia (by Bob s (Model) Builders) Predicting Power of VIX on Cryptocurrency Prices (by Bob the Builders) The E¤ect of COVID-19 National Lockdown on NSW and VIC Electricity Demand and Spot Prices (by Big Data Energy) How Social Media Sentiment Helped Rebound the Cryptocurrency Market Through The Covid-19 Pandemic (Big Fat L.I.E.rs) Investigating and forecasting Fast food industries stock prices during COVID-19 (Fast Food Lovers) The Impact of Market Interest on Cryptocurrency Prices (Harry Potter and the Impact of Market Interest on Cyrptocurrency Prices) The e¤ect fo stamp-duty relief on rst-home buyers (Designated Derivers) The Impact of COVID-19 on Australian Retail REITs (Landlords and Ladies of Sydney) 5
