UROP Proceedings 2010-11

Trading Volume and News HeadlinesAdvisor : SO Mike K P / ISOMStudent : WONG Chun Ko / RMBI(UROP1100, Fall 2010)The aim of this study is to explore the relationship between trading volume and newsheadlines in content and quantity. In particular, we investigate how emergence of news affectsthe trading volume. Stock data from HSBC trading volume from a particular period of timeand news headlines from major publications are obtained to analyze whether the quantity andquality of news are closely related to trading volume.Comparison on Copulas and Conditional Depending usingCopula-GARCHAdvisor : SO Mike K P / ISOMStudent : YEUNG Yuk Ting / RMBI(UROP1100, Fall 2010)Multivariate GARCH (MGARCH) models are popularly discussed in academic studiesbecause of its satisfactory estimation of conditional dependence. In this project,copula-GARCH, another type of MGARCH, is studied for its ability in giving more preciseestimation on conditional dependence with non-normal multivariate distributions. Importantfunctions and properties of copula and MGARCH are highlighted and studied. Through theseunderstanding, we identify a new research direction on financial time series.Corporate Campaign Contributions and Political FavoritismAdvisor : ZHANG Michael X / ISOMStudent : ZHANG Tong / IS(UROP1000, Summer 2011)This project examines the causal link between corporate campaign contributions and politicalfavoritism. We analyze the impact of unexpected news coverage of some Congressmen’sscandals on their contributing companies’ stock market performance. The study shows thatcompanies donated to those politicians have suffered negative cumulative abnormal returnsaround the days the scandals were made public, and companies with more donations alsosuffered more seriously. To the extent that politicians’ unexpected career crises should nothave any impact on donating firms’ financial prospects if no political favoritism existed, ourresults suggest the existence of firm-specific political favoritism.67