Assessment Brief

Individually-written Data-based Report

This is the sole summative assessment for this module. Each of you has an individual Stock Index and Country which form the basis for answering all tasks. You have been informed of the stock exchange index and country via email.

Tasks

1) Financial Market Integration

1. For your allocated index and four others, source and present the correlation coefficient for weekly returns over five years up to a day in March

2022 (only one of these can be from the same continent).

1. Analyse the correlations you observe in the context of the factors driving the integration of financial markets.

2) Market Fundamentals and Dynamics

2022. For your allocated country, source and present the sovereign yield curve for a day of your choice in March 2022.
2023. Apply relevant theories of the yield curve to the pattern you observe on the day of your choice.
2024. Compare the yield curve presented for a) with the relative yield curve 1-month previously.
2025. Using economic theory, illustrate and explain the market process which produced any changes in yields you observe in the month to yourchosen day in March 2022, holding everything else constant.

3) Portfolio Diversification

1. From your allocated index, construct an equal-weighted portfolio consisting of 10 equity securities which reflects your preferred investmentposition regarding market risk.
2. Illustrate the position of your portfolio on the Security Market Line (SML) for your market.
3. Using your portfolio, illustrate and explain TWO different actions which you could take to reduce your exposure to market risk. Using examples,explain the circumstances when investors might do this.
4. Discuss the impact of environmental and social factors on the risk associated with securities and their expected return.

4) Resource Allocation

1. Set up a simple moving-average trading rule, explaining the parameters of the rule you have adopted.
2. Test your moving-average trading rule for 3 of the securities from the portfolio compiled for task 3 over a one-year period up to a day in April2022.
3. Compare the returns from your strategy with a buy-and-hold strategy over the same period.
4. What does your results imply about the informational efficiency of your market?
5. ‘Informational efficiency does not automatically lead to a socially-optimal allocation of resources.’ Discuss this statement with reference to:i. Environmental and social factors ii. Behavioural models of investing

Interim Data Submission Deadlines

You must submit data for the following interim deadlines:

11. Excel / pdf file with data for tasks 1 and 2 by 11.00pm (GMT) on 11/3/2022
12. Excel / pdf file with data for tasks 3 by 11.00pm (GMT) on 11/3/2022

Submission of data is rewarded in assessment criterion “Sourcing Data” in grading of summative assessment.

You will also receive feedback on the data submitted.

 Final Submission of Completed Report

1. The final completed report must be word processed.
2. Reports can be no longer than 4,000 words. This is a word-limit. There is no leeway. Word count includes the main body of the text but excludesfront cover/title page, contents page, tables, figures, references and appendices. Please note the School’s approach to word-count and the sanctions which apply to work submitted which breeches the word limit.
3. Submissions should have the School’s standard front cover declaration for all coursework assignments.
4. Students should submit an electronic copy of their completed report to the NOW Dropbox. Please submit written work in PDF Format to theNOW Dropbox.

5.. The deadline for submission of the completed report is 11.00PM (GMT) on 11/3/2022

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