Finance: Swansea University Research Excellence Scholarship: Spillover Effects between Financial Markets: a Quantile Regression Approach

Closing date: 22 January 2018

Key Information

Swansea University Research Excellence Scholarships (SURES)

Swansea University is proud to offer 15 fully-funded PhD scholarships for students commencing study in October 2018 or January 2019.

The scholarships will be awarded on the basis of student excellence across a portfolio of 34 potential projects.

Project title: Spillover Effects between Financial Markets: a Quantile Regression Approach

Start date: October 2018

Descriptions:

After the 2007 financial crisis, researchers started to investigate the spillover effects between financial markets. However, most of these studies focused on spillover effects at an average level of stock returns and ignored the spillover effects on other parts of the distribution of stock returns. Currently, apart from several studies, see for example, Baur et al. (2012), Zhu et al. (2015) and Maderitsch (2015), not much work can be found in the literature that studies stock market spillovers by using quantile regression methods.

Quantile regression method (Koenker, 2005) has become more and more popular in finance. For example, this method has been used to study value at risk, volatility and distribution of stock returns and their forecasts etc. In this project we will use this advanced method to study spillover effects between stock markets. Specifically, we will address the following two questions: (a) How does the dynamic dependence of several stock markets change in bull and bear markets? (b) Do the linkages between these stock markets change as the global financial situation changes?

Aims:

The specific objectives of the project are as follows: (i) Identify factors that may also inference spillovers between stock market, (ii) Collect data required by the project, (iii) Develop a quantile regression model that takes into account the factors identified and that allows us to address the above two questions, (iv) Develop and implement an estimation method, discuss findings and validate our findings by using a wide range of stock market data, (v) Compare the performance of the model with others in the literature. By the end of the project, we will be able to shed some light on the dynamic evolution of spillover effects between stock markets, which could provide useful information on the stability of future financial markets, making a valuable contribution to the existing literature, as well as financial policy making. 

Supervisors / Academic Contacts:  Dr Yuzhi Cai / Ms Katerina Tsakou

The successful applicant will have access to our Postgraduate Research Student Training programmes.

Eligibility

Candidates should have (or expect to obtain) a first class honours degree (or equivalent) and/or a master's degree with distinction in finance, statistics, mathematics or a related subject.

Programming skills for R (or Matlab, C++, etc.) are required.

Due to funding restrictions, this scholarship is open to UK/EU candidates only.

Funding

The scholarship covers the full cost of UK/EU tuition fees and an annual stipend of £14,553 for 3 years. 

There will also be £1,000 per annum available for research expenses such as travel, accommodation, field trips and conference attendance.

How to Apply

To apply please complete and return the following documents to Dr Vivienne Jenkins (pgrsures@swansea.ac.uk) quoting reference COMAN3:

Student applications will be evaluated against the following criteria:

  • Literary and Academic attainments (60%)
  • Demonstrable esteem indicators i.e. ambassadorial skills, instincts and opportunities to demonstrate leadership, experience and interest in extracurricular and community activities (40%)