SVKM’s
NARSEE MONJEE INSTITUTE OF MANAGEMENT STUDIES
POST GRADUATE DIPLOMA IN MANAGEMENT
Program: PGDM Trimester: VI
Course: Financial Analytics II Code:
Teaching Scheme: Evaluation Scheme:
Classroom Practical/ Tutorial
Credit Continuous Term End Examination
Session Group work s Evaluation (TEE)
20 3 50% 50%
Course Rationale:
Recent years have witnessed a growing need for econometric methods in financial research and practice. As a
result, econometric methods in finance have become one of the most active areas of research. This course intends
to cover econometric techniques that are required for empirical finance, with an emphasis on Time Series Analysis,
Panel Data Analysis, and Cross-sectional Data Analysis. It would cover the application part of all the econometric
models covered in the course with the help of financial data analysis on a statistical software EViews/ R/ STATA.
Course Objectives:
1. Provide comprehensive knowledge to do empirical work in financial research and practice.
Learning Outcomes:
After completing the course, a student would be able to:
1. Acquire working knowledge of Financial Time Series data.
2. Acquire working knowledge of Financial Panel data.
3. Acquire working knowledge of Cross-sectional data.
4. Know how to access data sources and prepare data for econometric analysis.
5. Perform basic programming using the statistical software package EVIEWS/ R/ STATA.
6. Apply econometric concepts and techniques in professional assignments to real financial data.
Prerequisite(s):
Financial Analytics I
Statistics I & II
Investment Analysis & Portfolio Management
Derivatives
Pedagogy:
The study plan comprises a mix of classroom sessions, hands on sessions using EVIEWS/ R/ STATA, project
work, and project presentations.
Textbook:
Basic Econometrics, 5e, Damodar N Gujarati., [Link] & S Gunakesar, McGraw Hill
Publication,2012[Gujarati]
Reference Books:
Introductory Econometrics for Finance, 3e, Chris Brooks, Cambridge University Press, 2014 [Brooks]
Introductory Econometrics, 4e, Jeffery M. Woolridge, Cengage Learning,[Woolridge],2009
Journals:
Journal of Quantitative Finance
Links to websites:
[Link]
[Link]
[Link]
[Link]
Evaluation Scheme:
Class Participation 10%
Presentation 20%
Project Report: 20%
Term-End Exam 50%
TOTAL 100%
Session Plan:
Session Topic (including Learning Outcomes Pedagogical Tool Textbook
subtopics) Chapters &
Readings
1 What Role does Understand the need for a Discussion Textbook
Econometrics play separate discipline. Chapter 1
in Finance? Methodology of
Econometrics;
Types of Econometrics;
What is the connection
between Econometrics,
Statistics, and Finance?
2 Dummy Variable Understand the nature of Discussion & Hands on session Textbook
Regression Models dummy variables using EVIEWS/ R/ STATA Chapter 9
ANOVA Models with 2 Data on different Indian Banks
qualitative variables; from RBI website
ANCOVA models ([Link]
[Link]?site=home)
3 Relaxing the Understand the nature of Discussion & Hands on session Textbook
Assumptions of the multicollinearity; using EVIEWS/ R/ STATA Chapter 10
Classical Model: Estimation in the presence
Multicollinearity of perfect
multicollinearity;
Estimation in the presence
of high but imperfect
multicollinearity
4 Relaxing the Understand the nature of Discussion & Hands on session Textbook
Assumptions of the heteroscedasticity; using EVIEWS/ R/ STATA Chapter 11
Classical Model: OLS estimation in the
Heteroscedasticity presence of
heteroscedasticity;
Method of Generalized
Least Squares (GLS)
5 Relaxing the Understand the nature of Discussion & Hands on session Textbook
Assumptions of the autocorrelation; using EVIEWS/ R/ STATA Chapter 12
Classical Model: OLS estimation in the
Autocorrelation presence of
autocorrelation;
The BLUE estimator in the
presence of
autocorrelation
6 Model Understand the model Discussion & Hands on session Textbook
specification and selection criteria; using EVIEWS/ R/ STATA Chapter 13
diagnostic testing Types of specification
errors;
Consequences of model
specification errors
7 Nonlinear Estimation of nonlinear Discussion & Hands on session Textbook
Regression Models regression models using EVIEWS/ R/ STATA Chapter 14
8 Nonlinear Understand the approaches Discussion & Hands on session Textbook
Regression Models to estimating nonlinear using EVIEWS/ R/ STATA Chapter 14
regression models
9 Qualitative Understand the nature of Discussion & Hands on session Textbook
Response qualitative response using EVIEWS/ R/ STATA Chapter 15
Regression Models models;
Linear Probability Model
(LPM)
10 Qualitative Applications of LPM Discussion & Hands on session Textbook
Response Logit Model using EVIEWS/ R/ STATA Chapter 15
Regression Models
11 Panel Data Understanding the Fixed Discussion & Hands on session Textbook
Regression Models effect model using EVIEWS/ R/ STATA Chapter 16
Data on different Indian Banks
from RBI website (
[Link]
[Link]?site=home)
12 Panel Data Understanding the Random Discussion & Hands on session Textbook
Regression Models effect model using EVIEWS/ R/ STATA Chapter 16
Data on different Indian Banks
from RBI website (
[Link]
[Link]?site=home)
13 Panel Data Selection between fixed Discussion & Hands on session Textbook
Regression Models effect and random effect using EVIEWS/ R/ STATA Chapter 16
model; various diagnostic Data on different Indian Banks
tests; from RBI website
Applications of panel data ([Link]
from corporate finance [Link]?site=home)
literature
14 Dynamic Understand the role of time Discussion & Hands on session Textbook
Econometric or lag in Economics; using EVIEWS/ R/ STATA Chapter 17
Models The reasons for lags; Data on different market
Estimation of Distributed- interest rates from RBI website
Lag Models. ([Link]
[Link]?site=home)
15 Dynamic Estimation of Autoregressive Discussion & Hands on session Textbook
Econometric Models using EVIEWS/ R/ STATA Chapter 17
Models Data on different market
interest rates from RBI website
([Link]
[Link]?site=home)
16 Simultaneous- Understand the nature of Discussion & Hands on session Textbook
Equation Models Simultaneous-Equation using EVIEWS/ R/ STATA Chapter 18
Models Data on different market
interest rates from RBI website
([Link]
[Link]?site=home)
17 Simultaneous- Examples of Simultaneous- Discussion & Hands on session Textbook
Equation Models Equation Models using EVIEWS/ R/ STATA Chapter 18
Data on different market
interest rates from RBI website
([Link]
[Link]?site=home)
18 Artificial Artificial intelligence & Guest Lecture
Intelligence & neural networks application
Neural Networks in finance
19-20 Group Collecting panel data and Analysis to be carried out using
Presentations on applying Fixed Effect EVIEWS/ R/ STATA & Group
Given Projects Model and Random Effect Presentations by the students
Model and finding the
suitable model;
Collecting cross-sectional
data and applying
Qualitative Response
Regression Models;
Collecting time series data
and applying Dynamic
Econometric Models;
Collecting time series data
and applying
Simultaneous-Equation
Models;
Collecting time series data
and applying Nonlinear
Regression Models
