Chose any 3 markets from the below list:
Eastern Europe: Poland, Czech Republic, Hungry, Romania, Bulgaria, Slovakia, Croatia, Georgia
Latin America: Brazil, Mexico, Argentina, Chile, Colombia, Peru, Ecuador
Asia: India, China, Pakistan, Bangladesh, Indonesia, Vietnam, Philippines, Thailand, Malaysia, Sri Lanka
Middle East: Saudi Arabia, United Arab Emirates, Qatar, Oman, Kuwait, Bahrain, Egypt, Jordan, Turkey
Structure of Final Project
Word Limit : 3000 words Maximum
Introduction: Give the background of the chosen Markets and motivation to use the Time series models (ARMA, VAR, VECM, JCT), highlight the following research questions: (20 Points)
· Market Efficiency (ARMA family Models)
· Market Integration (VAR family Models)
· Long run financial relationships (VECM, JCT)
2. Literature review: Provide at least 8 reference articles to support your research question (15 Points)
3. Methodology: Provide full model details including assumptions (10 Points)
4. Data: Provide details of your data set, and use daily data for at least the last 5 years (15 Points)
5. Results: Provide empirical results (Tables) and explain the results both statistically and economically (30 Points)
6. Conclusion and recommendations: Summary and recommendation for investors (5 Points)
7. References (5 Points)
Marking Criteria
Students will be marked based on correct interpretation and procedures.