Replication Exercise II (Variance Ratio Test and its Applications)
Timeline: Submit the report by week 10.
Articles: Choose one of the two given below
Kim, J. H., Shamsuddin, A., 2008, Are Asian Stock Markets Efficient? Evidence from New
Multiple Variance Ratio Tests. Journal of Empirical Finance, 15, 3, 518-532:
Table 4: Choose five markets. Replicate all tests
Datafile: Kimweekly.wfl
Wright, J.H., 2000. Alternative variance-ratio tests using ranks and signs. Journal of Business & Economic Statistics 18, 1-9.
Table 8: All five exchange rates, S2 test results need not be replicated
Datafile: Wright.wfl
Structure of your report:
Part I: Summary: A non-technical and readable summary of the paper in no more than 300 words (no more than 2 A4 typed pages) is expected. Discuss the aim, motivation, main finding, and conclusion of the paper.
Part II: Variance ratio tests (around 300 words, 30%)
A readable summary of the variance ratio tests that you will use. The full technical details are not expected. You may write down their formulae or descriptions in the manner that is presented in the lecture, but you will need to explain them in an intuitive and descriptive way.
Part III Replication Exercise (around 300 words plus Eviews or R output, 30%)
The issues you may discuss include (but not limited to)
- Data details
- Basic data analysis
- Replication results and assessment of your findings
Part IV Further Analysis
Conduct any further analyses of your choice. This is an open-end question where you can take an initiative and explore further the data and model used by the authors.
Attachment:- Data.rar