Module: Quantitative Finance II (DFA 2033Y)
Answer ALL parts of the assignment and adhere to the page limits given for the specific questions.
Use font Times New Roman size 12 and line spacing 1.15.
Submission should be done on turnitin; this will enable to check for plagiarism
Date for Submission is on 18th of May 2020.
Part I [55 marks]
Topic: Stock Exchange of Mauritius (SEM)
Study Question: How have macroeconomic variables and the Covid-19 pandemic been affecting the performance of the Stock Exchange of Mauritius?
- Explain in details how you would be proceeding if you had to undertake the above study. [20 marks/max 2 pages]
- What type of data is being used for this study? [5 marks]
- Using a sample of data over a period of one year, explain how macroeconomic variables (use at least two variables) have affected the performance of the SEM. [20 marks/ max 4 pages]
- Using the same sample of data over a period of one year, explain how the Covid-19 virus, which was discovered in January, could have affected the performance of the SEM. Include the macroeconomic variables used in part (iii) as control variables. [10 marks/ max 3 pages]
- Use SEMDEX as performance measure
- Use most recent data available
- Use excel and/ or Eviews to answer parts (iii)/ (iv) of the above question
Data Source: https://www.muastockbroking.mu/
Include the result tables generated by the software when performing the regression.
Part II [45 marks]
Topic: Stock Markets
Study Question: How have macroeconomic variables and the Covid-19 pandemic affected the performance of global stock market/s?
Identify a group of three stock markets (including the SEM) which you want to include in the study.
- What type of data is being used for this study? [5 Marks]
- Explain the assumptions which must be verified before undertaking a regression analysis? [5 marks]
- Using a sample of data over a period of one year, explain how macroeconomic variables (use two variables) and the Covid-19 virus (discovered in January) have affected the performance of the stock markets. [35 marks/ max 4 pages]
Data Source for global markets: https://finance.yahoo.com/world-indices?.tsrc=fin-srch