Calendar Effects in International Stock Markets
BEFM022J QUANTITATIVE RESEARCH METHODS The aim of the assignment is to extend the case study that you have undertaken
in Week 9 on testing for calendar effects into a short academic paper. In
particular, you should test for at least one of the following calendar effects in a
stock market of your choice: (a) day of the week effect, (b) month of the year
effect, or (c) holiday effect. You should test for the calendar effect using
regression analysis in Excel, or a software package of your choice.
Your assignment should contain the following sections:
1. Title page with abstract
You should provide a summary of your research with no more than 100 words
Here you should motivate the research, explain and discuss your research
objectives, summarise what you have done, provide an overview of the results
and overall conclusions.
3. Literature review
You should summarise and discuss at least five relevant published papers, which
can include those that you have already been given in the course. You should
prioritise the papers, focussing more on those that are most relevant to your own
You should provide a detailed description of the sources of your data and the
sample period and data frequency used. You should also provide summary
statistics of the data, and a discussion of these.
You should describe in detail the methodology that you use and the hypotheses
to be tested. The hypotheses should be linked to the overall research question.
You should report and interpret your results in light of the hypotheses to be
7. Summary and conclusion
You should briefly summarise your findings and place them in the context of the
existing literature. You should note any limitations of your research and make
some suggestions for future research.
It is important that you include references for all the papers cited and that you
use APA reference system. Further information about referencing other people’s
work can be found here: https://vle.exeter.ac.uk/course/view.php?id=6748§ion=2
9. Tables and figures
All tables and figures should be numbered, titled and properly annotated so that
they can be read without having to refer back to the text.