Assignment Structure:The assignment writing should follow the structure and contents provided.1)Introduction: very brief introductory paragraph. The introduction should address:
•Main purpose of the report•Summary of countries and data2)Main sections: you need to investigate for Three periods such as period1(2018–2020), period2(between 2018–2019) and period 3(2020).
•(A) Market Integration and Co–movement:analyse for three periods
1)Calculate the degree of integration between UK & US and UK & Y.C. Interpretation of main findings.
2)Calculate co–movement between three sectors of the UK andUS market and Y.C. market. Interpretation of the main findings
•(B) Risks and spillover effects:analyse for three periods1)You need to select at least three sectors (industries) in the UK that might not be correlated each other. For each sector (industry), you need to choose three companies (sector average will be the average of three companies). Investigate the impact of US market return and Y.C market return and UK market return on returns of selected three sectorsof UK market. It requires to run the regression analysis.
2)Calculaterisks (volatility) for three countries: UK: FTSE100, US: S&P500, and index of your country). Also, the risk of three sectors in the UK. Investigate co–movement of risks between market indices and three sectors. What is the Impact of market risks on risk level of three sectors? The last question is requiredto run regression analysis.
3)Finally, spillover effects of that risk? (requires regression analysis).Any spillover effect from S&P500 to each sector in the UK? Any spillover effect from Y.C.index to each sector in the UK?
•(C) Conclusions and Suggestions for the Investors:It requires to summarise main findings. Based on the main findings, make suggestions. Also please make a link to the literature or theories(Please try to answer following questions).Are your findings in line with main findings in the literature? Can you explain the main findings with theoretical frameworks?
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