FINANCIAL ECONOMETRICS

This course aims to equip students with technical tools for handling data concerning financial markets. For example, data regarding the transactions in Korea Stock Exchange are publicly provided. However, such data must be analyzed in order that investors understand the current movement in the stock exchange market, which allows them to make a better investment decision. This course is designed to make students ready to make such analyses. In particular, our primary concerns are twofold: (i) how the returns and volatility of stocks are impacted by other important variables in Economics and Finance, and (ii) how historical data of a return on stock investment can be used to forecast its future movement.

1) To understand how to use Eview (statistical analysis program), 2) To understand econometric principles necessary for statistical data in Finance, and 3) To be able to statistically analyze the relations between returns and economic variables

.1 At the beginning of each class I will check attendance. 3.2 If you arrive to the classroom later than 15 minutes after the class begins, please do not enter the classroom. 3.3 Please do not walk in and out during the class time 3.4 Telephone call and SMS are strictly prohibited. In case of emergency, you can just ask my permission to do so outside. 3.5 If you miss a class, it is your responsibility to acquire materials and catch up with your friends. Certainly, you can visit my office to ask for clarifications.

Having taken at least Principles of Finance and Probability and Statistics.

Upon a successful completion of this course, students will be able to analyze statistical data to understand the the underlying causes of current movements of important variables in the financial markets