中南财经政法大学：《金融计量学》课程教学课件（双语讲稿）Chapter 01 Introduction to Financial Econometrics

Financial Econometrics Chapter 1.Introduction to Financial Econometrics Jin Ling School of Finance,Zhongnan University of Economics and Law

Financial Econometrics Chapter 1. Introduction to Financial Econometrics Jin Ling School of Finance, Zhongnan University of Economics and Law 1

Introdution Name:Jin Ling(金凌) Email:lingjin@zuel.edu.cn Research Field:Financial development;Financial innovation;Financial markets https://jrxy.zuel.edu.cn/2023/0223/c4521a325265/page.htm 2

Name: Jin Ling (金 凌） Email: lingjin@zuel.edu.cn Research Field: Financial development; Financial innovation; Financial markets https://jrxy.zuel.edu.cn/2023/0223/c4521a325265/page.htm 2 Introdution

Grading ·Participation10% ·Presentation30% ·Team Work(3 or less) Choose a paper and make presentation to analyze the paper(Specially the empirical design). Tell what the problem is and how the paper use econometric techniques to solve the problem. Term Paper 60%(at least 5000 words) Any topics that you are interested in.Tell why you choose the topic ·Collect data ·Empirical design ·Present the results ·Conclusion. 3

• Participation 10% • Presentation 30% • Team Work (3 or less). • Choose a paper and make presentation to analyze the paper (Specially the empirical design). • Tell what the problem is and how the paper use econometric techniques to solve the problem. • Term Paper 60% (at least 5000 words) • Any topics that you are interested in. Tell why you choose the topic. • Collect data. • Empirical design. • Present the results. • Conclusion. 3 Grading

Presentation 。The range of journa: ·Domestic journal:经济研究、管理世界、经济学（季T刊）、世界经济、管理科学学报、中 国工业经济、金融研究 Foreign journal:Journal of Finance,Journal of Financial Economics,Review of Financial Studies, Journal of Financial and Quantitative Analysis,Review of Finance,Journal of Corporate Finance, Journal of Financial Markets,Journal of Financial Intermediation,Journal of Banking and Finance. ·Requirement: 15-20 minutes.One team member makes the presentation and clarifies each's contribution. Tell what the problem is(5 points,20%in the score of term paper). Financial theory (10 points,20%in the score of term paper). How the paper use econometric techniques to explore the variable relation and verify theory(10 points,30%in the score of term paper). The results and applications(5 points,30%in the score of term paper)

• The range of journal: • Domestic journal: 经济研究、管理世界、经济学（季刊）、世界经济、管理科学学报、中 国工业经济、金融研究. • Foreign journal: Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Review of Finance, Journal of Corporate Finance, Journal of Financial Markets, Journal of Financial Intermediation, Journal of Banking and Finance. • Requirement: • 15-20 minutes. One team member makes the presentation and clarifies each’s contribution. • Tell what the problem is (5 points, 20% in the score of term paper). • Financial theory (10 points, 20% in the score of term paper). • How the paper use econometric techniques to explore the variable relation and verify theory (10 points, 30% in the score of term paper). • The results and applications (5 points, 30% in the score of term paper). 4 Presentation

Textbooks 格请学，自理学领研见线五学用型 高级计量经济学 及Stata应用（第=s) 基本有用的 计量经济学 Mostly Useful Science of Econometrics 赵西亮。 香大达 4T值在kn 5

5 Textbooks

Objective 1.Learn how to collect and analyze data. 2.Use econometric techniques to solve financial problems. 3.Independently complete an academic paper. THE SVERIGES RIKSBANK PRIZE IN ECONOMIC SCIENCES IN MEMORY OF ALFRED NOBEL 2021 David Joshua Guido Card D.Angrist W.Imbens "for his empirical "for their methodological THE ROTAL SWEDSSH ACADEMY OF SCENCES 6

• 1. Learn how to collect and analyze data. • 2. Use econometric techniques to solve financial problems. • 3. Independently complete an academic paper. 6 Objective

Tools Statistical Software Stata.SAS,Matlab,Eviews,R.Python. 。Literature ·中国知网。 ·ScienceDirect. ·图书馆数据库，超星发现。 ·Database ·CSMAR ·Wind. ·Choice. ·CNRDS. 7

• Statistical Software • Stata, SAS, Matlab, Eviews, R, Python. • Literature • 中国知网。 • ScienceDirect. • 图书馆数据库，超星发现。 • Database • CSMAR. • Wind. • Choice. • CNRDS. 7 Tools

Course Schedule Chapter 1.Introduction to Financial Econometrics 。 Chapter 2.Statistical Foundations:Overview of OLS Chapter 3.Causal Inference framework 1 。 Chapter 4.Causal Inference framework 2 Chapter 5.Mediation Effect and Moderating Effect Chapter 6.Control Variables and Fixed Effects Chapter 7.Difference-in-difference Model 1 Chapter 8.Difference-in-difference Model 2 。 Chapter 9.Instrumental Variable Regression Chapter 10.Propensity Score Matching 。 Chapter 11.Regression Discontinuity Design 。 Chapter 12.Application:Policy Evaluation Chapter 13.Application:Corporate Finance Chapter 14.Application:Financial Markets ·Presentations. 8

• Chapter 1. Introduction to Financial Econometrics • Chapter 2. Statistical Foundations: Overview of OLS • Chapter 3. Causal Inference framework 1 • Chapter 4. Causal Inference framework 2 • Chapter 5. Mediation Effect and Moderating Effect • Chapter 6. Control Variables and Fixed Effects • Chapter 7. Difference-in-difference Model 1 • Chapter 8. Difference-in-difference Model 2 • Chapter 9. Instrumental Variable Regression • Chapter 10. Propensity Score Matching • Chapter 11. Regression Discontinuity Design • Chapter 12. Application: Policy Evaluation • Chapter 13. Application: Corporate Finance • Chapter 14. Application: Financial Markets • Presentations. 8 Course Schedule

Outline The Definition of Financial Econometrics The Characteristics of Financial Data Typical Financial Econometrics problems 9

• The Definition of Financial Econometrics • The Characteristics of Financial Data • Typical Financial Econometrics problems 9 Outline

The Definition of Financial Econometrics ·Defination: Financial Econometrics is the application of econometric techniques to problems in finance. ·金融计量学是以一定的金融理论和统计资料为基础，运用数学、统计学方法与电脑技术， 以建立计量模型为主要手段，定量分析研究具有随机性特性的金融变量关系的应用学科。 ·Elements: ·Financial Theory. Statistics(Financial data). ·Econometric model. Quantitative analysis. Variable relationship. 10

• Defination: • Financial Econometrics is the application of econometric techniques to problems in finance. • 金融计量学是以一定的金融理论和统计资料为基础，运用数学、统计学方法与电脑技术， 以建立计量模型为主要手段，定量分析研究具有随机性特性的金融变量关系的应用学科。 • Elements: • Financial Theory. • Statistics (Financial data). • Econometric model. • Quantitative analysis. • Variable relationship. 10 The Definition of Financial Econometrics