ASB 3309 – BEHAVIOURAL FINANCE

2024-02-24 Admin 写评论

ASB 3309 – BEHAVIOURAL FINANCE
COURSEWORK ASSIGNMENT 2023/24

Module organiser:
Dr Danial Hemmings ([email protected])
This assignment accounts for 30% of the overall mark for the module.
Assignment brief

According to the Weak-form Efficient Market Hypothesis (EMH), it should not be possible to profit systematically by trading on information from past price movements. Many investors, however, claim that it is possible to systematically predict excess returns using technical analysis (see this NPR podcast episode on ‘Reading the stock market tea leaves’).

For this assignment, you are given £250,000 to trade stocks on Bangor Business School’s Global Trading Platform and you will need to incorporate technical analysis into your trading strategy. The trading period for the assignment will start on 6 th February 2024 and end on 18th March 2024. Further guidance on this aspect of the assignment is given below.

You are then required to produce a 1,000 word (+/- 10%) individual report on the following:
a) Overview the technical trading strategy you have chosen to implement, ensuring to: describe the indicators and rules you have followed; provide an example of a trade you have made; reflect briefly what led you to select this strategy. [300 words]
b) Critically evaluate, based on statistical evidence from your own trading and arguments gleaned from the academic literature, whether technical trading strategies can produce returns that consistently beat the market. [700 words]
Submission deadline for the individual report is Tuesday 16 th April 2024.
Your reportshould demonstrate evidence of reading and research beyond the material delivered in lectures. It is important that you draw on insights from relevant and appropriate academic papers and practitioner sources, and references to all sources used MUST be included. A selection of recommended readings to get you started is provided below. A minimum of five references to academic sources is expected. All references made to academic papers must adhere to the following style:

http://www.bangor.ac.uk/library/help/documents/harvardreferencingguide.pdf

Guidance on the trading component of the assignment

For the assignment, you are required to trade stocks on Bangor Business School’s Global Trading Platform and you will need to incorporate technical analysis into your trading strategy.

1. Conduct a search for popular technical stock trading strategies (e.g., based on moving averages, breakouts, Bollinger Bands, etc.), and identify a strategy which you believe to be promising in terms of its potential for yielding excess returns. While your overall strategy may include other considerations (e.g., screening based on fundamentals), use of technical analysis must be material in your trading decisions, and you should develop clear and consistent rules on how you employ it. This brief guide to technical trading strategies may be useful to start your search.

2. Employ your strategy to decide which stocks to buy or (short-)sell. The platform StockCharts.com is recommended for technical analysis, as it is free and incorporates a broad selection of technical indicators. You are advised to keep screenshots of relevant charts, which may be included in your report to illustrate examples.

3. Register for, and execute your trades on, the ASB-3309 session via the trading platform:
a. Navigate to https://bangor.stocktrak.com
b. Register for an ASB3309 Assignment account:
• If you do not already have log-in details, click “REGISTRATION” at the top-right corner of the screen. Select administrator “ProfessorDHemmings” then session “ASB3309-Behavioural-Finance- 2024”. Continue to populate the registration form, making sure to provide your Bangor University email address. Click register to complete the process.
• If you already have log-in details, sign-in to your account then click the “DASHBOARD” drop-down menu and select “View and Join Challenges”. Click “Find New Contest”, then next to “ASB3309- Behavioural-Finance-2024” click “Join”.

c. Navigate to “DASHBOARD” and ensure that “ASB3309-Behavioural-Finance-2024” is selected at the top right of the page each time you log-in.

d. Use the “Portfolio simulation > Make a trade” menu to look-up and trade the stocks chosen in step 2 above. For further guidance on making a trade, navigate through the “TUTORIAL VIDEOS” menu.

4. The trading period will end on Wednesday 18th March 2024. After this time, you will no longer be able to implement trades, and your portfolio value will be fixed. You do not need to liquidate your positions at the end of the trading period. We will look at reviewing performance in the second workshop on 19th March.
Further Information and Advice
• To have sufficient evidence to evaluate, you should register at least 20 trades on the platform. You are able to trade the same stock more than once. Short-selling is also permitted.

• Trades can be made at any time during the trading period, though you are advised to trade sooner rather than later, to allow sufficient time for your positions to develop.

• You are given a notional balance of £250,000 to trade with. There is no limit on the size of each trade. You may wish to vary your stake (trade size) according to your level of confidence, investing more when you have higher confidence that the investment will pay-off.

• Bear in mind that the trading period will last for approximately 6 weeks, and therefore you should seek to implement a short to medium-term trading strategy.

• You may include useful calculations or results as an appendix to your report, though relevant discussion should be included in the main body of the report. Appendices and references do not count towards the word limit.

• Your mark for the assignment will be based on the overall standard of your final report. While this will partly depend on how competently you incorporate technical analysis in your trading, and how well you evaluate its usefulness, your mark will NOT be directly affected by investment performance (return on your trades). The report will be judged on the criteria outlined within the undergraduate student handbook.

• You are reminded not to copy material from any sources without properly referencing it, as this constitutes plagiarism: cases of plagiarism will be referred to the Business School Academic Integrity Officer and will be subject to a deduction of marks, which can result in an overall mark of 0%.

The copying of material extends to the use of essay mills and AI technology such as ChatGPT. You are reminded that the use of such services to generate work in substitute of your own original contributions contravenes Bangor’s Academic Integrity policy.

Any detected attempt to use such tools will also result in referral to the Business School Academic Integrity Officer.
Recommended Reading (available on Blackboard)
Hoffmann, A. O., & Shefrin, H. (2014). Technical analysis and individual investors. Journal of Economic Behavior & Organization, 107, 487-511.
Menkhoff, L. (2010). The use of technical analysis by fund managers: International evidence. Journal of Banking & Finance, 34(11), 2573-2586.
Metfgalchi, M., Matcucci, J., & Chang, Y. (2012). Are moving average trading rules profitable? Evidence from the European stock markets. Applied Economics, 44(12), 1539-1559.
Urquhart, A., Gebka, B., & Hudson, R. (2015). How exactly do markets adapt? Evidence from the moving average rule in three developed markets. Journal of International Financial Markets, Institutions and Money, 38, 127-147.
Urquhart, A., & Zhang, H. (2019) The performance of technical trading rules in socially responsible investments. International Review of Economics and Finance, 63, 397-411.

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