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ICM337: Econometric Analysis for Finance
Module code: ICM337
Module provider: ICMA Centre; Henley Business School
Credits: 20
Level: 7
When you'll be taught: Semester 1
Module convenor: Professor Mike Clements, email: m.p.clements@icmacentre.ac.uk
Module co-convenor: Dr Lisa Schopohl, email: l.schopohl@icmacentre.ac.uk
Pre-requisite module(s): This module builds on the content covered in the pre-sessional module 'Future of work: coding with Python for business & finance' and students are expected to have completed this pre-sessional module prior to the start of ICM337 (Open)
Co-requisite module(s):
Pre-requisite or Co-requisite module(s):
Module(s) excluded:
Placement information: NA
Academic year: 2024/5
Available to visiting students: No
Talis reading list: No
Last updated: 19 November 2024
Overview
Module aims and purpose
This module equips you with the quantitative tools used by market participants. It is an introductory applied econometrics module with an emphasis on finance.Â
The aims and objectives of the module are to give you an introduction to econometrics so that you can understand the econometric techniques used in the finance research literature. Via illustrations from the empirical finance literature and using an econometric software package, you then learn how to apply these techniques to real data. Emphasis is placed on practical applications of the techniques in the global financial markets. As such, the module aims to encourage the development of IT and data handling skills: in particular, the use of Python as the software to apply the econometric techniques to data, e.g. from Eikon and Bloomberg.Â
Module learning outcomes
By the end of the module, it is expected that students will be able to:Â
- explain the standard approaches to model formulation, estimation and testing, and how to check the statistical validity of a model  Â
- formulate and apply econometric models to test financial theories and hypothesesÂ
- interpret and analyse the results from estimated econometric modelsÂ
- critically evaluate the use of econometrics in the published academic finance literature.Â
Module content
- Introduction to econometrics and simple regression assumptionsÂ
- Hypothesis TestingÂ
- Multiple regression, t-ratios and over-reaction hypothesisÂ
- Goodness of fit statistics and hedonic modelsÂ
- Heteroscedasticity and autocorrelationÂ
- Multicollinearity, functional form, normality,Â
- Seasonality, parameter stability testsÂ
- Panel DataÂ
- Conditional Variance modelsÂ
- Large scale data modelling and analysisÂ
Structure
Teaching and learning methods
The module uses a mixture of (1) lectures where the theory and concepts are introduced and (2) computer-lab based seminars where we apply the knowledge to practical cases and use Python as the econometric software.Â
Study hours
At least 34 hours of scheduled teaching and learning activities will be delivered in person, with the remaining hours for scheduled and self-scheduled teaching and learning activities delivered either in person or online. You will receive further details about how these hours will be delivered before the start of the module.
 Scheduled teaching and learning activities |  Semester 1 |  Semester 2 | Ìý³§³Ü³¾³¾±ð°ù |
---|---|---|---|
Lectures | 20 | ||
Seminars | 14 | ||
Tutorials | |||
Project Supervision | |||
Demonstrations | |||
Practical classes and workshops | |||
Supervised time in studio / workshop | |||
Scheduled revision sessions | 1 | ||
Feedback meetings with staff | |||
Fieldwork | |||
External visits | |||
Work-based learning | |||
 Self-scheduled teaching and learning activities |  Semester 1 |  Semester 2 | Ìý³§³Ü³¾³¾±ð°ù |
---|---|---|---|
Directed viewing of video materials/screencasts | |||
Participation in discussion boards/other discussions | |||
Feedback meetings with staff | |||
Other | |||
Other (details) | |||
 Placement and study abroad |  Semester 1 |  Semester 2 | Ìý³§³Ü³¾³¾±ð°ù |
---|---|---|---|
Placement | |||
Study abroad | |||
 Independent study hours |  Semester 1 |  Semester 2 | Ìý³§³Ü³¾³¾±ð°ù |
---|---|---|---|
Independent study hours | 165 |
Please note the independent study hours above are notional numbers of hours; each student will approach studying in different ways. We would advise you to reflect on your learning and the number of hours you are allocating to these tasks.
Semester 1 The hours in this column may include hours during the Christmas holiday period.
Semester 2 The hours in this column may include hours during the Easter holiday period.
Summer The hours in this column will take place during the summer holidays and may be at the start and/or end of the module.
Assessment
Requirements for a pass
50% weighted average markÂ
Summative assessment
Type of assessment | Detail of assessment | % contribution towards module mark | Size of assessment | Submission date | Additional information |
---|---|---|---|---|---|
Written coursework assignment | Group project | 30 | 2,500 | Semester 1 Week 12 Teaching | Group project which will include the estimation of econometric models and the use and interpretation of related techniques |
Online written examination | Online MCQ exam | 70 | 2 huors | Semester 1 Assessment weeks | Multiple-choice based exam |
Penalties for late submission of summative assessment
The Support Centres will apply the following penalties for work submitted late:
Assessments with numerical marks
- where the piece of work is submitted after the original deadline (or any formally agreed extension to the deadline): 10% of the total marks available for that piece of work will be deducted from the mark for each working day (or part thereof) following the deadline up to a total of three working days;
- the mark awarded due to the imposition of the penalty shall not fall below the threshold pass mark, namely 40% in the case of modules at Levels 4-6 (i.e. undergraduate modules for Parts 1-3) and 50% in the case of Level 7 modules offered as part of an Integrated Masters or taught postgraduate degree programme;
- where the piece of work is awarded a mark below the threshold pass mark prior to any penalty being imposed, and is submitted up to three working days after the original deadline (or any formally agreed extension to the deadline), no penalty shall be imposed;
- where the piece of work is submitted more than three working days after the original deadline (or any formally agreed extension to the deadline): a mark of zero will be recorded.
Assessments marked Pass/Fail
- where the piece of work is submitted within three working days of the deadline (or any formally agreed extension of the deadline): no penalty will be applied;
- where the piece of work is submitted more than three working days after the original deadline (or any formally agreed extension of the deadline): a grade of Fail will be awarded.
The University policy statement on penalties for late submission can be found at: /cqsd/-/media/project/functions/cqsd/documents/qap/penaltiesforlatesubmission.pdf
You are strongly advised to ensure that coursework is submitted by the relevant deadline. You should note that it is advisable to submit work in an unfinished state rather than to fail to submit any work.
Formative assessment
Formative assessment is any task or activity which creates feedback (or feedforward) for you about your learning, but which does not contribute towards your overall module mark.
Weekly practice MCQ tests via BlackboardÂ
Reassessment
Type of reassessment | Detail of reassessment | % contribution towards module mark | Size of reassessment | Submission date | Additional information |
---|---|---|---|---|---|
Online written examination | Online MCQ exam | 100 | 2 hours | During the University resit period | Multiple-choice based exam |
Additional costs
Item | Additional information | Cost |
---|---|---|
Computers and devices with a particular specification | ||
Printing and binding | ||
Required textbooks | Brooks, C. (2019). Introductory Econometrics for Finance, 4th Edition, Cambridge University Press, Cambridge (UK) | £45 (but available as e-book via UoR Library) |
Specialist clothing, footwear, or headgear | ||
Specialist equipment or materials | ||
Travel, accommodation, and subsistence |
THE INFORMATION CONTAINED IN THIS MODULE DESCRIPTION DOES NOT FORM ANY PART OF A STUDENT'S CONTRACT.