Determine a proxy for investor sentiment

Assignment Help Financial Econometrics

Reference no: EM132720948

Create an application through coding/programming that encompasses the attached documents. Also, a brief demo showing the how the tool is working.

1. Discuss the theoretical underpinnings for empirical findings of Yu and Yuan (2011).

2. Suppose that you decide to extend the US evidence from Yu and Yuan (2011) to another market. Select a market and motivate your selection.

3. Critically review related literature, and summarise and evaluate approaches to construct proxies for investor sentiment.

4. Determine a proxy for investor sentiment in your selected market, and elaborate motivation for your selection.

5. Present descriptive statistics of (i) market returns of the selected market and (ii) investor sentiment.

6. Select one method to filter conditional volatility of market returns, and present descriptive statistics of conditional volatility.

7. Examine (i) the relation between market returns and investor sentiment, and (ii) the relation between market returns and conditional volatility. Discuss potential limitations of your work.

Attachment:- EMAF assignment.rar

Reference no: EM132720948

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len2720948

12/4/2020 11:52:08 PM

This module is called the empirical methods of accounting and finance. Ive given guidelines for the assignment and showed how the structure should be answered in each question to make it easier. SPSS program should be used in the assignment

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