| 課程代碼 |
1GM00M01
|
| 課程中文名稱 |
財務決策分析專題研討
|
| 課程英文名稱 |
Seminar in Financial Decision Analysis
|
| 學分數 |
3.0
|
| 必選修 |
選修
|
| 開課班級 |
博研經管二甲
|
| 任課教師 |
林靖中,蔡秉真
|
| 上課教室(時間) |
|
週三
|
第2節
|
(E0602)
|
|
週三
|
第3節
|
(E0602)
|
|
週三
|
第4節
|
(E0602)
|
|
| 課程時數 |
3
|
| 實習時數 |
0
|
| 授課語言 |
1.英語
◎全程外語教學
|
| 輔導考證 |
無
|
| 課程概述 |
This course is to introduce financial methodologies and techniques for financial decisions and academic research. Starting from the introduction to regression, students will understand the fundamental analysis tool using in finance and econometrics. For empirical studies, because of the characters of data and events, different models are developed to catch the possible relationships among variables. Students can experience useful models for their future researches. Various financial issues will be also discussed, allowing students to apply financial methodologies to investigate those topics.
|
| 先修科目或預備能力 |
Statistics
|
|
課程學習目標與核心能力之對應
|
| 編號 | 中文課程學習目標 | 英文課程學習目標 |
|
1
|
專業知識
|
|
|
2
|
資訊能力
|
|
|
3
|
問題分析
|
|
|
4
|
教學與研究倫理
|
|
|
| 就業力培養目標 |
此門課程無設定權重值
|
| 中文課程大綱 |
1.進階統計
2.迴歸分析
3.統計與計量軟體使用
4.事件研究法
5.向量自我迴歸
6.誤差修正模型
7.縱橫斷面資料
|
| 英/日文課程大綱 |
1.Advanced statistics
2.Regression
3.Application of statistics and econometrics software
4.Event study
5.Vector autoregression
6.Error correction model
7.Panel data
|
| 課程進度表 |
Professor Lin
- Introduction
- A brief overview of the classical linear regression model
- Further development and analysis of the classical linear regression model
- Classical linear regression model assumptions and diagnostic tests
- Univeriate time series modelling and forecasting
- Multivariate model
- Modelling long-run relationships in finance
- Modelling volatility and correlation
Vincent Tsai
My part of this lecture will focus on a few very famous studies on asymmetric information in financial markets:
- Introduction to Effective Spread given by Roll (1984)
- The Kyle (1985) model on inside trading
- Glosten and Milgrom (1985) model on asymmetric information and bid-ask spread
- Easley and O'Hara (1987) model on trade size and information
- Some basic statistical methods for modelling market micro-structure and dynamics
A very nice review paper is:
Madhavan, A. 2000. Market Micro-structure: A Survey, Journal of Financial Markets 3, 205-258.
Professor Tsai --> I will focus on the Glosten and Milgrom model, and also will show you how to use high-frequency data to estimate the intraday pattern of volatility.
|
| 期考調查 |
| 期中考(第9週)考試方式 |
presentation / report
|
| 期末考(第18週)考試方式 |
presentation / report
|
| 其他週考試考試週次與方式 |
none
|
|
| 教學方式與評量方式 |
| 課程學習目標 | 教學方式 | 評量方式 |
| 專業知識 |
課堂講授
|
口頭報告
（
期中
）
|
| 資訊能力 |
實作演練
分組討論
|
口頭報告
（
期末
）
|
| 問題分析 |
啟發思考
成果驗收
分組討論
|
口頭報告
（
平時
）
日常表現
（
平時
）
|
| 教學與研究倫理 |
啟發思考
分組討論
|
口頭報告
（
期末
）
日常表現
（
平時
）
|
|
| 指定用書 |
| 書名 |
Introductory Econometrics for Finance
|
| 作者 |
Chris Brooks
|
| 書局 |
Cambridge
|
| 年份 |
2008
|
| 國際標準書號(ISBN) |
978-0-521-69468-1
|
| 版本 |
2
|
請同學尊重智慧財產權，使用正版教科書，不得非法影印，以免觸犯智慧財產權相關法令
。 |
| 參考書籍 |
Professor Lin:
1. R. Carter Hill, William E. Griffiths and Guay C. Lim, 2012, Principles of Econometrics, 4th Edition, Wiley.
2. James H. Stock and Mark W. Watson, 2008, Introduction to Econometrics, Pearson.
|
| 教學軟體 |
EViews
Excel
|
| 課程規範 |
This course is taught by Prof. Ching-Chung Lin from Dept. of International Business and Prof. Ping-Chen Tsai from Dept of Finance.
Professor Lin--> I am going to briefly introduce the methodology used in finance studies. Students have to read a few famous articles to understand how to apply those techniques to investigate financial issues. The software of Eviews will be used to analyze your financial data.
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