ICMA Centre

BSc 2023-24

Research Project Guide (IC 305)

Copyright 2023 ICMA Centre. All rights reserved.

ICMA Centre · The Business School · University of Reading

Whiteknights · PO Box 242 · Reading RG6 6BA · UK
Tel: +44 (0)1183 788239
Web: www.icmacentre.rdg.ac.uk
The ICMA Centre is supported by the International Capital Market Association
 List of Contents

1 Introduction 1
2 How to Select a Topic 2
3 The Supervision Process 4
1 Preliminary Proposal 4
2 Draft Outline 6
3 Interim Report 6
4 Important Milestones 6
5 Structuring the Research Project 9
6 Submitting the Research Project 11
7 Assessment 12
8 Confidentiality 13
9 Plagiarism 13
1 What is Plagiarism 14
2 How We Deal with Plagiarism 14
3 How to Avoid Plagiarism 15
4 Some Long-Term Consequences of Plagiarism 16
10 Research Ethics 17
11 Frequently Asked Questions 18

Appendix 1 Some Past Topics 19

1 Stock Markets 19
2 Pension Schemes 23
3 Futures Markets 24
4 Options Markets 26
5 Foreign Exchange 27
6 Others 27
Appendix 2 A Sample of a Preliminary Proposal 28
Appendix 3 Example of a Draft Outline 29
Appendix 4 Submitting the Research Project Electronically 31
Appendix 5 Plagiarism Detection Software: Information for Students 32
I Introduction

The research project is an optional 20 credit unit, and instead of doing a research project, you can
choose taught courses totaling 20 credits.

The research project is a unique opportunity for you to develop some important skills. You will define
and execute a piece of research in finance on a topic of your choice, with direction from a supervisor.
In the process you’ll be required to:
• Use your own initiative for self-directed study
• Survey the literature in your chosen area
• Structure a research plan
• Obtain and analyze relevant data
• Write the research project

As with all your studies here at the ICMA Centre it is important to manage your time effectively.
There are severe penalties for not submitting your research project on time. It is also very unlikely
that you will be allowed any extension to the deadline of Tuesday 16 April 2023 (the second day of
the Summer term). To request an extension, you need to complete an extenuating circumstance form
(ECF). That is why we are going to start the process now. It is not that this should take up huge
chunks of your time. We start now because final exams start just a few weeks after the research
project is submitted, so there is simply no time for slippage.

Your research project will illustrate your capacity for independent work, your organizational qualities
and your ability to express yourself effectively. Not surprisingly, many students find this part of their
degree one of the most rewarding and fulfilling. Often the research project is used to showcase your
work and provide a platform for discussion at job interviews, or it can act as a springboard to further
research.

This research project guide is designed to help you master the skills needed to ensure a successful
completion of the research project. Use this as your guide to each step of the process, from choosing
a research topic to presenting the final research project.

II How to Select a Topic

A few students may have a precise topic in mind already, particularly those with relevant work
experience. Many students have only a very general idea about a broad subject area: this needs to be

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targeted towards a more specific issue during the Autumn term. A selection of previous research
project topics is listed in Appendix 1.

Make use of your comparative advantage. If you are confident of your quantitative abilities, but not
of your English language, you may do better to choose a quantitative topic. If you have great
linguistic ability but lack confidence on the quantitative side, then you can minimize the need for
quantitative analysis. Focus on a qualitative topic, perhaps one that requires only elementary statistics,
but where the rigour and value added comes from an elegant argument. Of course, most students fall
between these two extremes and will choose a research project that requires some exposition of
finance theory followed by some of your own empirical work.

Do not be over ambitious. Your research project only counts for 20 credits! Your aim is not to resolve
major issues. Anyway, your supervisor will not accept any proposal to develop a new financial theory,
or a whole new model for pricing options. It would take too much of your time. Think small, as small
problems always get bigger. The objective is to achieve a high standard on a small problem; not a low
standard on a large problem.

Do not be under ambitious. A purely descriptive research project is not acceptable – for instance it
is not acceptable to simply summarize a method for pricing exotic options. Critical literature reviews
are acceptable, but a high standard will be required – choose this path only if you have outstanding
critical and linguistic ability.

A good research project must have an element of originality. It should add a piece (albeit a very small
piece) to our overall knowledge of the subject. The originality almost always comes from the
empirical work – i.e. analyzing new data – not from developing new theory. That is why we strongly
encourage you – though we do not require you – to add a section on empirical analysis, however
simple. For example, a research project may employ standard techniques on data from a different
country or from a new market or asset; or a research project may develop a new technique or apply
an existing technique to a different area. A good research project will also contain an in-depth analysis
of the issues, rather than employing a superficial purely descriptive presentation, as well as making
an individual contribution.

When you have selected a broad area, you will need to familiarize yourself with the extant research.
Before you select your topic, we advise you to:
• Browse through recent issues of relevant journals. Do not read the papers and articles that
you find in detail (until your supervisor has approved your choice of topic). For choosing your

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 topic all you need do is read the paper’s abstracts (and maybe the introduction and
conclusions). This process will also help you gain a better idea of the general structure of an
academic paper. Many finance journals are available in the University Library both in hard
copy and electronically. To find these journals, search for the title of the journal on the
Unicorn online catalogue (the University Library website can be accessed at
www.library.rdg.ac.uk). You will then be able to find out whether the University has a hard
copy and/or electronic subscription to the journal. For off campus access you will need an
ATHENS password, which is available from the main Library website:-
http://www.reading.ac.uk/library/eresources/accessing/lib-eaccess.aspx

The Library catalogue (including journals) can also be searched using Enterprise at:-
http://rdg.ent.sirsidynix.net.uk/client/en_GB/main

The Library provides access to Summon, which is a search engine that searches most of the
articles and books to which Reading has online access and offers an immediate download.
http://reading.summon.serialssolutions.com.idpproxy.reading.ac.uk/#!/

• Use the Internet and in particular:-

" Use the International Bibliography of the Social Sciences database (IBSS). Access to
IBSS is available via the University Library website
http://www.reading.ac.uk/library/eresources/databases/lib-ibss.aspx IBSS has details
of articles published in a very large number of academic journals over the past 30
years, and can be easily searched.
See also the ISI Web of Knowledge via the University Library website:-
http://www.reading.ac.uk/library/eresources/databases/lib-web-of-knowledge.aspx
For access you will need an ATHENS password, which is available from the library
website.
" Search the financial economics network on www.ssrn.com . This has a very large
collection of discussion papers that can be searched and downloaded.
" Look at web sites of well-known academics – they often have papers to download on
their homepages.
" Search the Ideas website on http://ideas.repec.org
" Take a look at Cirano on http://www.cirano.qc.ca/en/bref_publications.php

• Use the Economic Literature Database in the ELDB2003 directory on IC Server 25

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• Data. As a top priority when initiating your research project ensure that the requisite data is
available. No data, no research project! Many interesting and sensible ideas for research
projects fall flat due to a lack of availability of the relevant data. For example, the data
required may be confidential, only available at great financial cost, too time consuming to
collect from paper sources, etc. Data may be available either in paper form (e.g. the IMF or
World Bank) or preferably electronically. Some students will have access to proprietary data,
and it is acceptable to use such data for research projects. Other students will be able to obtain
data from the ICMA Centre’s electronic data providers:-
• Thomson-Reuters
• Bloomberg
• Datastream
• Wharton Research Data Services (WRDS)
There will be a talk on the various databases to which the ICMA Centre has online access.
Finally, a lot of data can now be obtained free of charge on the internet, and a list of some
relevant URLs is given on the Research Project Blackboard site. It is your responsibility to
obtain the requisite data for your research project.

• Software. Research projects differ in both the size of the database used, and the complexity
of the statistics required. Students do not have the time to learn a completely new
programming language while conducting the research, and it is usually advisable to use a
standard software package, such as EViews. You may use any statistical package that is
available to you. The ICMA Centre will not purchase new software (or data) for you to use
on your research project. Marks will not be awarded to students who reinvent the wheel by
writing their own software to perform tasks that are available in standard software. The best
approach is to conduct the data analysis as quickly and accurately as possible to leave time
for other parts of the research project.

III The Supervision Process

III.1. Preliminary Proposal. The preliminary proposal should not exceed one A4 page and should
contain:
• Research project title
• One paragraph on related literature
• A very brief description of the theory/empirical work that you plan, including data
sources and description, including the period and frequency

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 • Reasons why this should be of interest to other people

Although your preliminary proposal will not be assessed, it is important that you think carefully about
its contents and that you hand it in on time. An example of a preliminary proposal is given in
Appendix 2.

You should submit your preliminary proposal by email to me, together with your name and module
number IC 305 at c.m.s.sutcliffe@rdg.ac.uk by 2:00 pm on Monday 6 November 2023. You will
then be allocated an academic supervisor. Do not expect this to be the final proposal – it could change
a lot or not at all, depending on your supervisor’s response.

Submission of a preliminary proposal by the due date signals your selection of the research project
as one of your optional choices. If you do not submit a preliminary proposal by the due date, it will
be assumed that you do not wish to undertake a research project. You are not allowed to switch IN
to the research project after 2 pm on Friday 8 December 2023. You can switch OUT of the research
project until the end of the second week of the Spring term.

A few preliminary proposals may need to be revised before we assign your supervisor. If this is the
case, you will be notified by e-mail.

The aim of the research project is to develop your skills for independent research. Hence the
supervisory process is designed to draw a fine line between giving you sufficient support and
impairing the scope for independent work.

It is your supervisor’s responsibility to offer advice on your:-

• Choice of research project
• Development of research project structure
• Choice of methodology

However, you are responsible for the choices made, and for carrying out all the above tasks. The
supervisor should only be consulted for advice on these issues. He/she should not be expected to solve
every problem you may have, and you should not expect correction of sloppy presentation,
grammatical or typographical errors in the document. The presentation of your research project
matters, and the responsibility to polish your presentation rests entirely with yourself.

Note that you should not expect your supervisor to collect data or to write computer programs for you.

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In some cases they can agree to provide data or programs if they already have these, but full
acknowledgment of this must be made in the research project. Also, responsibility for applying them
resides with you.

Your supervisor will give you feedback on the draft outline and the interim report (described below).
Supervisors will not normally comment on any draft of your research project after the interim
report. Please bear in mind that the purpose of the research project is to introduce you to independent
work. The research project is yours and the final product is your responsibility.

III.2. Draft Outline: This should detail only the basic structure of your research project, using no
more than 1,000 words in total. Refer to Table 1 in Section V below for an example of a typical
research project structure. The draft outline need only summarize the proposed content of the core
sections of the final research project. An example of a draft outline is given in Appendix 3.1 This
should be submitted by email to your supervisor by 2:00 pm on Friday 8 December 2023.

III.3. Interim Report: After discussing your draft outline during your 1st meeting with your
supervisor (and possibly revising this consequent to your discussion), you will have a period of seven
weeks to work on your research project and prepare the interim report. The interim report will be the
basis for the final research project and should be between 3,000 and 5,000 words. It should be based
on the agreed draft outline with each of the core sections of the report being further developed. The
interim report must be submitted by email to your supervisor by 2:00 pm on Monday 4 March 2024.

Note that during this period you are expected to manage your own time effectively. You should set
aside a certain number of hours each week for research project work – in tandem with your work on
other modules – so that the total number of hours worked on the research project is commensurate
with the time you spend on any other 20 credit modules. Thus, it should represent a notional 200
hours of your time. It is best to pace yourself and to work for a few hours each week at the same time
as you study for the taught modules. Do not aim to conduct and write up a reasonable research project
in a few weeks - this is totally unrealistic.

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This is based on a research project that was done a few years ago – but please note that Appendix 3 is a ‘model
answer’ – if you submitted a draft outline of this standard your supervisor would, most likely, give no additional
guidance except to advise on the empirical part as the student requests. The example in Appendix 3 is not indicative
of the level that any student is expected to achieve. Indeed, it is unlikely that you will be able to submit a draft
outline of this standard. Just be guided by this example and do your best.

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IV Important Milestones
This section sets out the time line for your research and explains how you should expect to progress.

Near the beginning of the Autumn Term – Introduction to the Research project
Charles Sutcliffe (convener) will introduce the research project and answer your questions. After this
you should consider some suitable research topics (see Section II).

Week beginning Monday 30 October 2023 ICMA Databases

There will be a talk outlining the databases to which ICMA Centre students have access.

Monday 6 November 2023 (2:00 pm) – Submit Preliminary Proposal

• Submit preliminary proposal for your research project
• Rejected proposals revised
• Supervisors assigned
You should submit written a one-page preliminary proposal on your research project, as a basis for
discussion with your supervisor. More details are given in Section II.2.

Week beginning Monday 13 November 2023 – Group Meetings with Supervisors

You will meet with other students being supervised by the same supervisor. Each student explains
his/her proposal to the group, and the supervisor comments. By the end of this meeting – or soon after
– you should have an agreed title and outline for your research project. Your supervisor may also set
you targets (e.g. read articles, collect data) ready for the 1st individual meeting in week beginning
Monday 27 November 2023. During the following individual meetings your supervisor will guide
you through the research process. You should expect each meeting to last about 15-20 minutes. At
the end of each scheduled meeting with your supervisor you should agree the time of your next
meeting. It is your responsibility to attend these meetings. Do not expect your supervisor to re-
schedule any meeting you have missed.

Autumn Term Week (TBA) Workshops on Sources of Information Available Via the Library
From mid-November, the Library will run database workshops to help you find information for your
research project. Sign-up sheets will be posted on the notice boards (when you sign up, please note
the date and time). These workshops will cover a general introduction to different sources of
information, how to search efficiently, hands-on practice, and using Endnote to compile your
bibliography. The majority of the time will be spent trying out different databases which might be
useful for the research project you have chosen.

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Week beginning Monday 27 November 2023 – 1st Individual Meeting with Your Supervisor
You will discuss the outline of your research project and agree on its preliminary structure. By the
end of the meeting you should have planned the main sources of literature to be used, proposed a
methodology and, if you plan some empirical work, know where the data will be obtained. After the
meeting you will prepare a short draft outline of the research project – see section III for further
details. This should be submitted by email to your supervisor by 2:00 pm on Friday 8 December
2023.

Friday 8 December 2023, (2:00 pm). Submit your Draft Outline to your supervisor by email.

Spring Term Statistical Advisory Service.

The Statistical Advisory Service runs as an appointment service only. Appointments are scheduled
according to the availability of an appropriate advisor. http://www.rdg.ac.uk/Stats-Advisory

Spring Term Individual Assistance

Particular PhD students will be available throughout the Spring term during specified office hours to
offer advice on accessing data via Bloomberg, Datastream and WRDS, as well as using EViews.

Week beginning Monday 22 January 2024 – 2nd Individual Meeting with Supervisor
Your supervisor will comment on your draft outline and discuss the next steps. You may (or may not)
need to revise your draft outline following this meeting. You may be set targets for the interim report,
to be submitted by email to your supervisor by 2:00 pm on Monday 4 March 2024. Again, see
section III for more details.

Monday 4 March 2024 (2:00 pm). Submit your Interim Report to your supervisor by email.

Week beginning Monday 18 March 2024 – Last Individual Meeting with Supervisor
By now your research project should be taking a definite shape. It is possible that your interim report
identified some difficulties (e.g. methodology and/or empirical work) and you should use this last
meeting to plan how these may be overcome.

From this point on you should not expect any further assistance from your supervisor.

Tuesday 16 April 2024 (2:00 pm) – Submit the Research Project electronically to Blackboard (and
Turn-It-In) by 2:00 pm. (see Section VI).

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V Structuring the Research Project
Projects are usually 6,000 – 8,000 words, excluding tables, charts, references and appendices, but
including the title, list of contents (including any lists of tables and figures), abstract, equations and
footnotes. There is no minimum length and no merit in making the report longer than it need be. There
is a maximum of 8,000 words. The font size used for the main text should be 11 or 12 points. The Turn-
It-In system cannot handle files larger than 9.5 MB, so no submission should exceed this limit.

It is advisable to follow the format and structure of a normal academic article. For instance, you may
choose the following broad structure:
Table 1: Suggested Structure for a Typical Research Project
Title Page
Abstract or Executive Summary
Acknowledgments
Table of Contents
1: Introduction
2: Literature Review
3: Methodology/Models
4: Data
5: Empirical Results
6: Conclusions
References
Appendices

The Title Page is usually not numbered, and will contain only the title of the research project, the name
of the author, and the name of the Department, School, Faculty or Centre in which the research is being
undertaken.

The Abstract should explain the problem and state the results and conclusions. As a general guide, it
should be 100 – 200 words. The abstract should not have references or quotations.

The Acknowledgments page is a list of people that helped you on this research project and you would
like to thank. For example, it is courteous to thank your supervisor and any agency that gave you the data.
At the bottom of the acknowledgment page, include a clear statement that the research project is your
own work (see Section IX) and that the responsibility for errors is yours.

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The Table of Contents should list the sections and sub-sections contained in the report, with page
numbers. Main sections should be numbered, for instance as above, as should any sub-sections within
these (e.g. Section 2.1, etc.). The pages of the abstract, acknowledgments, and table of contents are
usually numbered with lower case Roman numerals (e.g. i, ii, iii, iv, etc.), and the introduction then starts
on page 1 (reverting back to Arabic numbers), with page numbering being consecutive thereafter for the
whole document, including references and any appendices.

The Introduction is designed to ‘entice the reader’. Begin by explaining the general background to the
area and defining the terms used if their meaning is not self-evident. Then explain why this research is
important, why it is relevant and to whom. Give a description of what is original in the study – in other
words, how does this study help to advance the literature on this topic or how does it address a new
problem, or an old problem in a new way? What are the aims and objectives of the research? If these can
be clearly and concisely expressed, it usually demonstrates that the research project is well defined. The
introduction should be sufficiently non-technical that the intelligent non-specialist should be able to
understand what the study is about, and it should finish with an outline of the remainder of the report. End
the introduction by giving a brief outline of the structure of the following parts of the research project.

Before commencing any empirical work, it is essential to review the existing literature, and the relevant
articles are summarized in a separate Literature Review section. This will put the proposed research in
context, highlight potential problem areas, ensure that up-to-date techniques are used and ensure that the
research project is not a direct (even if unintentional) copy of an already existing work (see Section IX).
You can adopt the style of an extended literature review in an academic journal and be critical! Comment
on the relevance, value, advantages and limitations of the cited articles.

The Theory/Methodology/Model(s) section should describe the finance theory, methods or model(s) that
form the core of the research project. Use equations where appropriate and if necessary number them for
future reference. Note any potential weakness of the approach and, if relevant, give good reasons why
more robust or up-to-date techniques were not employed. Explain the details fully but concisely. Do not
skip over any important parts, otherwise the assessors may not be able to follow – on the other hand,
do not be verbose.

The Empirical Results should begin by describing the data (how the data were obtained, the time
period covered, its salient features, any manipulations done, data limitations and so forth). It can be
helpful to display the data graphically, noting any interesting features; and to discuss the summary
statistics. Explain any estimation technique(s) used to compute estimates of the parameters of the
model or models. It is worth spending time on the presentation of your results. Try to present your

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results in an interesting way, including figures as well as just tables. Imagine you are preparing this
for publication in a textbook. How should your figures and tables be laid out? Each table or figure
must be described in the text, even if only briefly. It is good practice to include an explanatory note
below each table or figure. Discuss your results by noting any interesting features of each table/figure.
At the end, relate this discussion to the original aims and objectives of the research that you outlined
in the Introduction. Comparisons may be drawn with the results of other similar studies.

The Summary and Conclusions should restate the original aim of the research project, outline the
most important results and state the conclusions you have drawn. Any weaknesses of the study as a
whole should be highlighted and some suggestions for further research in the area might be presented.

A list of References should be provided, in alphabetical order by author. This is not a bibliography
(a list of items that you read, irrespective of whether you referred to them in the study). In the main
text cite references by name (e.g. Alexander and Nogueira, 2004). We suggest the following style for
the list of references at the end:

Books:
Alexander, C. (2001) Market Models, John Wiley & Sons, Chichester, England.
Published articles:
Alexander, C. and A. Dimitriu (2004) Sources of out-performance in equity markets: common trends,
mean reversion and herding, Journal of Portfolio Management, vol. 30, no 4, pp. 170-185
Unpublished articles, working papers, reports:
Alexander, C. and E. Lazar (2004) The Continuous Limit of Normal Mixture GARCH Processes,
ICMA Centre Discussion Papers in Finance, DP2004-10 available from
www.icmacentre.rdg.ac.uk/dp

Finally, you might consider an Appendix or Appendices to improve the structure of the research
project if placing a specific item (e.g. a glossary of terms) in the text would interrupt the flow of the
document. For instance, you may want to outline how a particular variable was constructed, or you
had to write some computer code that could be interesting to readers; such things could be placed in
an appendix. The appendices should not be used as a dumping ground for irrelevant material, or for
padding, and should not be filled with printouts of raw output from computer packages!

VI Submitting the Research Project

Your research project must be submitted by 2:00 pm on Tuesday 16 April 2024. You must submit

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an electronic version to Blackboard (and the Turn-It-In plagiarism service, see appendix 4).
Where the piece of work is submitted after the original deadline (or any formally agreed extension
to the deadline), 10% of the total marks available for that piece of work will be deducted from the
mark for each working day (or part thereof) following the deadline up to a total of five working days.
Where the piece of work is submitted more than five working days after the original deadline (or any
formally agreed extension to the deadline), a mark of zero will be recorded. Any student who wishes
to request an extension to the deadline must complete and submit an Extenuating Circumstances Form
(ECF) which can be found by logging in to your RISIS student portal.

You must submit one electronic copy of your research project to the Turn-It-In plagiarism service in
any one of the following formats: MS Word or PDF. Details of how to submit your work to the
Turn-It-In system via the Internet are contained in appendix 4.

Resubmission of a Failed Research Project

If you have failed your degree and your research project has been awarded a fail mark; you can
choose to resubmit your research project to try to achieve a capped mark of a maximum of 40%. For
the resubmission you will normally retain your initial supervisor. You can either revise your initial
research project or submit a research project on a new topic that has been approved by your
supervisor. Resubmissions must be submitted electronically to Turn-It-In via Blackboard by 2:00 pm
on Friday 30 August 2024.

VII Assessment
The examiners will base their final assessment for the research project on the following criteria:
• Topic/Objective: Is the topic adequately introduced and motivated? What is its practical
relevance?
• Organization/Structure: Is the research project well structured in an orderly and logical
fashion? Are the empirical results sufficiently interpreted?
• Flow: Is the research project well written? Are the various sections well connected?
• Understanding/Independence: Does the student have a good understanding of the topic? Is
there evidence of independent research?
• Novelty: How original is the research project?
• Sophistication/Technical Level: What is the level of the methodology used in the research
project? Is it understood and clearly expressed?
• Effort: What level of effort was demonstrated by the student?
• Presentation: Does the research project use clear English with no spelling, grammatical or

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 typographical mistakes, and are the graphs and tables easily comprehensible.

They will also provide an overall assessment of the research project, summarizing its strengths and
weaknesses. Superfluous material will generate no additional credit and may be penalized. It is
definitely worth reserving at least one week at the end to ‘polish’ the final presentation of your
research project!

VIII Confidentiality
You are reminded that copyright on your research project belongs to the University of Reading, and
that research projects are not normally given confidential status. They are intended to be public
documents. You must not assume or indicate to any organization with which you are working on the
research project, that confidential status will be granted. Any request for restricting access to your
document must be made in writing to the Director of the ICMA Centre, setting out in full the
justification, and a consideration of the academic issues involved in confidentiality. In the case where
confidentiality is requested because a firm proposed the research project idea, this issue is normally
best dealt with by a clear separation between any report to a sponsoring client and the research project
itself. In any case, these documents are written for different audiences and it is unlikely that the same
document would satisfy the needs of the sponsor and the academic requirements. The client report
would normally deal with specific organizations, people, products etc., whereas the research project
is concerned with theories, principles and concepts, and can often be written in a way that avoids
identifying the particular client organization.

IX Plagiarism
It is not acceptable to take the work of others and to pass it off as one’s own. Any ideas taken from
other papers should be adequately referenced as such, and any sentences lifted directly from other
sources should be placed in quotations and attributed to their original author(s). It is not sufficient just
to include a reference to the source of a quotation in the list of references. Any quotations must be
placed in quotation marks and be accompanied by the name and year of the source. The full reference
should appear in the list of references at the end of the research project. For example:-

“Plagiarism devalues the efforts of students who work hard to achieve their degrees. It also damages
the student who commits plagiarism, as they will not benefit from the research and learning
experience.” (Bone, 2007)

and then in the list of references:-

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Professor Drummond Bone, President of Universities UK, UUK Press Release, 22nd May 2007.
http://www.universitiesuk.ac.uk/mediareleases/showpressnotice.asp?PR=41

This requirement to put direct quotations in quotation marks and supply the reference applies to
everything that appears in your research project, including definitions, descriptions, figures and tables.
It also applies to work previously published by yourself (to prevent self-plagiarism).

Self-plagiarism also covers any work by yourself that has previously been submitted for
accreditation. Unless otherwise stated, it is not permissible for a piece of work submitted for
assessment to include substantial sections which are drawn from another piece of work submitted for
a qualification, whether of this University or another awarding body.
Year No. of Students Penalized for Plagiarism
2008 19
2007 16
2006 10

In each case the student was penalized by a mark reduction, and in some cases this resulted in a zero
mark for the research project. One student was referred to the Standing Committee on Academic
Misconduct, who removed him from membership of the University.

IX.1 What is Plagiarism?

Plagiarism is defined as the misrepresentation of the work of others as one’s own (including ideas,
arguments, words, diagrams, images or data).2 It includes the explicit claim that another’s work is
one’s own and, no less seriously, the failure to acknowledge adequately the sources used. This applies
whatever the source of the material (for example, a published source, the World-Wide Web, a verbal
communication, or the work of another student). It is unacceptable and may, in the most extreme
cases, result in the student being asked to leave the University.

In order to ensure that your work is free from plagiarism you should ensure both that all quotations
are acknowledged and placed within quotation marks, and that all ideas are acknowledged. Where you
have drawn a series of ideas from a particular author, each idea should be separately acknowledged,
using a phrase such as ‘Another point which Jones (1991, p.25) makes is that...’. One way to avoid
becoming too dependent on sources is to make your own written notes on articles or book chapters,

2
The following material is adapted from the University of Reading (Department of Psychology) web site.

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which summarize the content briefly in your own words. Do not rely just on copying out parts of it,
or highlighting bits. Making your own notes will help you become more independent, and you will
find it makes things easier to remember.

IX.2 How We Deal with Plagiarism

It is the ICMA Centre’s policy to submit all research projects to one or more plagiarism testing
services. Note that submission of your research project gives your assent to the submission of your
work to the plagiarism testing services. The ICMA Centre uses the plagiarism detection software
hosted at www.jiscpas.ac.uk. All of the research projects will be uploaded for an originality report
that is intended to discover any cases of plagiarism. Appendix 5 gives more information about the
scheme and you can also go to the above website for more information.

If a marker considers that a piece of your work is too heavily dependent on sources and/or poorly or
incorrectly referenced, even if not strictly plagiarized, he or she will point this out and mark it down
accordingly.

If a marker believes that your work shows clear indications of plagiarism, he or she will report it to
the Director of Studies, giving the evidence. The Director will decide on the appropriate action,
usually after interviewing you and taking into account any relevant circumstances, including your
previous record. If he or she decides that you have committed plagiarism you will normally receive
a mark of zero for that piece of work, and the fact will be recorded in your file and your Academic
Tutor informed.

In particularly serious cases, e.g. where a student is believed to have committed plagiarism more than
once, or very extensively, the Head of School will consult the Dean of the Faculty, who may decide
to recommend that the case be referred for investigation to the University’s Standing Committee on
Academic Misconduct (SCAM).

We will inform you if the results of one or more of these tests indicate that the work has a significant
likelihood of having been plagiarized and, if appropriate, give you the opportunity to respond. Work
that we conclude to have been plagiarized will be treated as Academic Misconduct and the relevant
University regulations will apply. If a student is suspected of plagiarism, the ICMA Centre reserves
the right to call in the student for a viva voce (that is, an oral exam) on the subject of his or her
research project. At this viva, the student will be asked to provide copies of all of the references cited
in the research project and also copies of earlier drafts of the research project. You are therefore
advised to keep intermediate versions of your research project electronically and not to continually

15
over-save using one file. For instance, you may wish to make a new document every time you make
major revisions to the research project and to name these, Version 1, Version 2 etc. Failure to
produce your references and drafts will not strengthen your case.

IX.3 How to Avoid Plagiarism

When preparing your research project, it is best to read a book or article page by page or section by
section and then to write notes on it in your own words, unless you come across a particularly
important passage or a phrase where the author seems to put a point in a very effective way, in which
case you may want to copy out the exact wording into your notes using quotation marks. You might
also want to copy out sections of a primary source in case you wish to refer to it in the research
project. But make sure that you indicate to yourself, by a foolproof method that you will always
remember, such as by using inverted commas or a different coloured pen, where you have copied
passages or expressions. Always note the page number where the material you have copied occurs
in case you wish to cite it as a quotation in your essay or research project. Never employ anyone to
write an essay or research project for you. Never download essays or research projects from any web
site which are then presented as your own work. If you use material from the web you should
acknowledge it as in the case of materials drawn from books. If you have found source material from
the web and you copy it, we can also find that material on the web just as easily!

Do not allow other students to have access to your research project as they may copy it. There have
been several such cases at the ICMA Centre. If there is a match between your research project and
that of another current student, unless there is clear evidence to the contrary, the matching text will
be treated as plagiarism by you.

IX.4 Some Long-Term Consequences of Plagiarism

Here are some recent examples of prominent politicians, most of whom were forced to resign due to
plagiarism when they were students.
1 Annette Schavan, Minister for Education, Germany in 2013. 1980 PhD, Heinrich Heine
University, Dusseldorf.
2 Karl-Theodor zu Guttenberg, Minister for Defense, Germany in 2011. 2006 PhD, University
of Bayreuth.
3 Ursula von der Leyen, Minister for Defense, Germany in 2015. (Subsequently President of
the European Commission from 2019), Accusation. 1991 Dr Med., Hannover Medical
School.
4 Silvana Koch-Mehrin, Vice-President of the European Parliament in 2011. 2001 PhD,
University of Heidelberg.

16
5 Frank Steffel, CDU member of the Bundestag, 1999 PhD, Free University of Berlin.
6 Franziska Giffey, Minister for Family Affairs, Germany 2021. 2010 PhD Free University of
Berlin.
7 Jorgo Chatzimarkakis, Member of the European Parliament 2004-2014, 2000, PhD,
University of Bonn.
8 Christine Aschbacher, Minister of Labour, Austria in 2021. 2020 PhD Technical University
of Bratislava.
9 Igor Matovic, Prime Minister, Slovakia in 2021. 1998 MSc Cornelius University, Bratislava.
10 Boris Kollar, Speaker of the Slovak Parliament 2020, 2015 MSc University of Central Europe
in Skalica.
11 Branislav Grohling, Education minister, Slovakia 2021. 2009 MSc Bratislava University of
Law.
12 Pal Schmitt, President of Hungary in 2012. 1992 PhD, Semmelweis University, Budapest.
13 Zsolt Semjen, Deputy Prime Minister, Hungary in 2012. 1992 PhD, Eotvos University,
Budapest.
14 Victor Ponta, Prime Minister, Romania in 2012. 2003 PhD, University of Bucharest.
15 Gabriel Oprea, Deputy Prime Minister, Romania in 2015. 2000 PhD, University of Bucharest.
16 Arseniy Yatsenyuk, Prime Minister of Ukraine in 2014-6. Accusation, 2004 PhD Ukranian
Academy of Banking, Sumy
17 Carmen Montón, Health Minister, Spain in 2018. 2011 MSc, King Juan Carlos University,
Madrid.
18 Enrique Peña Nieto, President of Mexico in 2016. 1991 BA in Law, Panamerican University,
Mexico City.
19 Quanguo Chen, Chinese politburo member 2017, Governor of Xinjiang region 2016. 2004
PhD, Wuhan University of Technology.

You can consult the Academic Integrity Toolkit at https://libguides.reading.ac.uk/academicintegrity

This covers a wide range of topics such as correct referencing
(https://libguides.reading.ac.uk/citing-references), good academic writing, independent thinking and
active, reading practices, the ability to find and evaluate sources, efficient note making and
record-keeping.

X Research Ethics
All work by members of the university, whether a student or staff, is required to conform to the
university’s ethics policy. The following is an extract from the rules, and the full text may be found

17
at:
http://www.reading.ac.uk/internal/academic-and-governance-services/research-ethics/RECwhatdo
Ineedtodo.aspx

If your research involves human subjects, human samples or human personal data that is not in the
public domain, and the human subjects are still alive, it may raise ethical issues and you will need
approval from the Head of School.

If your research project does raise ethical issues you may be required to comply with the following
conditions:-
(i) The subject and/or parent receives an Information Sheet explaining the purposes of the project,
how they have been selected as potential participants and a full and clear account of what will
be asked of them;
(ii) The subject and/or parent is invited to sign a Consent Form;
(iii) Copies of the Information Sheet and Consent Form are provided for retention by the
subject/parent;
(iv) The Information Sheet and Consent Form include the name and designation of a member of staff
with responsibility for the project together with a contact address or telephone number. If any
of the project investigators are students, this information must be included and their name
provided;
(v) A standard statement be included on the Information Sheet/Consent Form, indicating the process
of ethical review at the University undergone by the project, as follows: ‘This application has
been reviewed by the University Research Ethics Committee and has been given a favourable
ethical opinion for conduct’.

XI Frequently Asked Questions

I have just lost the only electronic copy of my research project because my computer has been
stolen/has broken. The last back-up I made was some time ago and it will take me ages to re-do all
the work I have done since then. So, I need an extension of my deadline. Is this possible?
No. It is your responsibility to back up your work at regular intervals. This applies to all spreadsheets,
all data and, of course, the research project report. Important work should be backed up in a number
of places to ensure it is not lost. As well as your own computer, store it on another computer, email
to a friend, and make sensible use of portable media (e.g. pen drives and discs). Also, be particularly
careful to save any document before printing, messing about with equations or engaging in any other
activity that may induce the application to fail.

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 Can I change my research topic after agreeing it with my supervisor?
This is not advisable, but possible. You can change your topic, but not your supervisor. If you wish
to alter the subject of your research project you must obtain permission from your supervisor. Minor
changes following further reading or preliminary results are perfectly acceptable without permission.

I have done a research project at another educational establishment – can I just print that off and give
it in to the ICMA Centre?
No. It is not permissible to hand in to the ICMA Centre a piece of work that has been assessed as part
of another course at this or any other educational establishment. If you plan to develop work that you
have done previously and you are unsure whether this is permissible, please consult with your
supervisor.

Can I work with other students?

You cannot submit a joint research project. Of course, discussions with fellow students may help you
to formulate ideas and solve problems, but the work on the research project and the writing of the
research project must be your own work. All assistance obtained with any part of the research project
must be acknowledged explicitly in the document, and failure to do so may constitute plagiarism. Do
not allow other students to copy your research project as this will be treated as plagiarism.

I know that an article exists in a journal that is not available electronically, but which is on the
shelves of the University of Reading Library. Can somebody copy it and send it to me?
No. We have discussed this issue with the Library, and they have said that it would breech the
copyright agreement for a third party (even a University employee or student) to copy an article for
you. If you cannot find an article that you want electronically, try a local library near you. Sometimes
the authors have electronic copies of their papers on their own websites.

Appendix 1: Research Project: Some Past Topics

Stock Markets
1 Multiple Factor Return Models for the UK Stock Market
2 The Relation Among National Stock Markets: A Comparative Study of Information Flows
Through Share Price and Return Co-movements from the United States and Japan to
Greece.
3 An Analysis of the Share Price Reaction to the Death of a Senior Corporate Executive
4 A Time Series Analysis of the Performance of Stock Broker Recommendations
5 Mean Reversion: Empirical Research and Explanations
6 An Investigation on the Size Effect in the Hong Kong Stock Market
7 An Investigation of the Size Effect in the Istanbul Stock Exchange

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8 An Investigation into the Efficiency of the Hong Kong Stock Exchange
9 How Does the Publication of Intervention into Public Companies by Legal Bodies Affect that
Companies Share Price
10 Stock Market Volatility and an Evaluation of Volatility Forecasting Techniques for the FTSE
100 Index
11 Day of the Week Effect and Holiday Effect: Evidence from an Emerging Stock Market, Istanbul
Stock Exchange
12 How Can the Day of the Week Effect be Identified in the Korean Stock Market?
13 Seasonality in the Athens Stock Exchange: An Investigation of the Weekend Effect and the
Interaction between the Holiday and the Day of the Week Effect
14 Equity Style: An Empirical Study on the Greek Stock Market
15 Mutual Funds and the Stock Market Environment: A Case Study of Risk, Return and Evaluation
of the Greek Mutual Funds
16 Index Funds
17 An Empirical Analysis of Index Tracking Strategies
18 Index Tracking Funds: Theory and Practice
19 Index Tracking and the Comparison of Active Versus Passive Fund Management
20 The Performance of Index Tracking Funds
21 Index Tracking in Emerging Economies and Comparison of Active Versus Passive Fund
Management
22 Active Versus Passive Fund Management and the Role of Index Tracking Funds: A Case on the
Spanish Market
23 Comparing Alternative Index Tracking Strategies on the Cyprus Stock Exchange
24 A Single Equity Risk Premium for Europe?
25 An Empirical Study of Fractional Versus Decimal Pricing in Securities Markets
26 Contrarian Investment Strategies: Theoretical Foundations and Empirical Evidence
27 The Performance Measurement of UK Unit Trusts: Theory and Practice
28 Multi-Factor Equity Pricing Models: Theory and Evidence
29 An Investigation into the Effectiveness of Technical Analysis on the Istanbul Stock Market
30 A Study on the Risk-Return Relationship in the UK: Macroeconomic and Fundamental Factors
31 Financial Bubbles: Theory and Evidence
32 Initial Public Offerings (IPOs) in the Athens Stock exchange (ASE)
33 The Underpricing and Performance of the A Share IPOs in China
34 The Underpricing Phenomenon and the Average Initial Returns of Initial Public Offerings:
Evidence from the Athens Stock Exchange
35 Elections and the Stock Market: The Case of the Greek General Elections of April 2000
36 Myopic Loss Aversion - A Solution to the Equity Premium Puzzle in China and Hong Kong
37 Can Mutual Funds Outguess the Market? An Empirical Study of the Performance of Chinese
Mutual Funds
38 Why There Exists a Discount Trading in Chinese Closed-End Fund Market? A Paper Examines
the Reasons
39 Do Open-end Funds Outperform Closed-end Funds and the Benchmark? An Investigation into
the Performance of Chinese Mutual Funds
40 Asymmetries Information in the Mutual Fund - Risks, Return and Investor Behaviour
41 The Performance of Greek Mutual Funds in the Period 1990-2000: An Empirical Investigation
of Market Timing and Security Selection Ability

20
42 An Empirical Investigation of Greek Mutual Fund Managers Using the Morning Star Approach
43 An Investigation of Contrarian Investment Strategy in the UK Stock Market
44 An Investigation into the Effectiveness of Technical Analysis on the Athens Stock Exchange
45 UK Unit Trust Net Acquisitions and Aggregate Market Returns
46 Evidence of the Weekend Effect in the Stock Returns of Small and Large Firms from the
Construction Sector of the Athens Stock Exchange (ASE)
47 The Impact of Decimalization on NASDAQ: A Study of the Price Clustering Phenomenon
48 Decimalization on the New York Stock Exchange: Bid-Ask Spreads, Stock Price Volatility and
Price Clustering
49 Can Actively Managed Funds Beat the Benchmark in Emerging Stock Markets? An
Investigation into the Performance of the Chinese Closed-End Funds
50 Are Fund Managers Doing a Good Job? An Empirical Study of the Chinese Equity Fund Market
51 Can Investment Trusts Outperform the UK Stock Market?
52 The Capability of the FTSE 100 as a Proxy for the Market Portfolio
53 Is the FTSE 100 a Good Proxy for the UK Market Portfolio and How is its Quality Changing
Over Time?
54 The Effects of 11th September 2001 on the Volatility of World Markets
55 Forecasting Volatility in the Greek Stock Market
56 An investigation of the holiday effect in the stock returns of the Hong Kong stock market
57 Capital Market Efficiency and Share Price Reaction to the Announcement of Stock Splits in the
Chinese Stock Market
58 An Examination into the Effect of Forced CEO Turnover on Company Stock Returns
59 Security Price Anomalies in an Emerging Market: The Case of the Taiwan Stock Exchange
60 Price Discovery in the Hong Kong Market
61 The Size Effect in the Chinese Stock Market
62 Stock Price and Trading Volume Reactions to Earnings Announcements: Evidence for the
Chinese A-Shares Market
63 An Investigation of the Size Effect in China’s Stock Market
64 Factors That Affect Stock Returns: Evidence from China’s Stock Market
65 An Investigation of the Size Effect in the Hong Kong Stock Market
66 Does Changing a Company’s Name Affect its Share Price? An Empirical Study of Listed Firms
in the Chinese Stock Market
67 Evaluating the Performance of Chinese Mutual Funds and Testing the Persistence of
Performance
68 Empirical comparison of alternative ways of index tracking.
69 Are there psychological barriers in stock markets?
[For example, is there resistance to the index breaching (say) 6,000 points or dropping
below 6,000 points?]
70 An empirical test of the application of Benford’s law to financial data. [This law states that the
probability of the first digit of a number being the digit “d” is log10(1+(1/d)). Thus, the
chance of a number starting with the digit “1" is 30.103%, “2" is 17.6091%, 3 is
12.4939% etc, and not 10% in each case. A web search will produce further
information.]
71 What are the effects, if any, of the inclusion or exclusion of a company from a stock market
index e.g. FTSE 100?
72 Can the gains from international diversification be achieved without trading abroad? (See

21
 Journal of Finance, 1999, pp. 2075-2107.)
73 Has the switch of the leading stock indices from market capitalization weights to free float
weights affected the returns of shares whose weights change?
74 Is there a negative relationship between the number of trades each day and the temperature or
level of sunshine?
75 Macro and micro efficiency. [While the markets in individual stocks are known to efficient,
there is much less evidence on the long term efficiency of the stock market as a whole.
For example, does the FTSE 100 tend to revert to some long run trend?]
76 Time diversification - is long term investment over many years less risky than short term
investment?
77 Dollar cost averaging - is it less risky to invest a sum of money evenly over a period of time, or
to invest the whole amount at a single moment?
78 How profitable are mutual funds? An investigation into the performance of Nigerian mutual
funds
79 Inflation hedging characteristics of South African investments: A multi-factor approach
80 Non-parametric testing of market efficiency in Asian stock markets in the presence of
seasonality
81 The impact of macro-economic factors on stock trading in Ghana
82 A study of the size effect in the Hong Kong stock market
83 Stock market sensitivity to macro-economic factors: An empirical study of the stock exchange
in Thailand
84 Momentum trading strategies in the UK stock market
85 Factors that affect stock returns: Evidence from China’s stock market
86 Are the risks of commodity-based companies (e.g. oil companies) correlated with the price of
the relevant commodity future, or with the stock market?
87 The impact of inflation on sector characteristic-sorted stock market returns
88 Reference-day risk measurement: application to monthly stock returns of emerging markets
89 Efficient market hypothesis; share price behaviour in the Indian Stock Market
90 Day of the week and January effects on stock market returns: evidence from Nigeria
91 Performance evaluation of the Taiwan ETF market.
92 Day of the week effects on the Italian Stock Exchange
93 An investigation into the rewards of technical analysis on the Taiwan Stock Exchange
94 The portfolio diversification effect associated with convergence towards the Euro
95 The performance of Chinese open-end funds: an empirical investigation of sensitivity of market
timing and security selection ability
96 Evaluating the performance of Chinese open-end equity funds
97 Performance measurement of mutual funds in Taiwan
98 An Empirical study of the short term persistence of mutual funds in China
99 A test of the CAPM: Exploring the relationship between return and portfolio size in the Chinese
stock market
100 Technical trading strategy
101 CAPM testing in the stock exchange of Thailand
102 Informational influences on financial markets during the US subprime mortgage crisis: The case
of US and UK stock markets
103 The Robustness of the UK Momentum Phenomenon
104 Using the CAPM to test the Chinese stock market

22
105 The Cointegration and Granger Causality Between Hong Kong and Shanghai Stock Markets.
106 The Effectiveness of Filter Exponential Moving Average Crossover Trading Rules in the Tunis
Stock Market
107 Analysing the Day of the Week Effect at the German Stock Exchange: Possible Trading
Opportunities
108 The VPIN Metric as a Risk Management and Speculation Tool by Market Makers in the
Revolutionary High Frequency Trading World
109 The Effect of Liquidity on Momentum Returns in Emerging Markets
110 An investigation of the size effect on the Chinese stock market
111 Is the Shanghai Stock Exchange Weak Form Efficient? - In View of Policy Reform
112 Day of the Week Effects in the Chinese Stock Market
113 The Day-of-the-Week Effect: Evidence from the Chinese Stock Market
114 The Day-of-the-Week Effect on the Chinese Stock Market: the Case of Shanghai and Shenzhen
115 Oil Price Movements and Stock Price Fluctuations in China
116 An Investigation on the Size Effect and Calendar Effect in China’s Stock Market
117 An Investigation into the Market Efficiency and Calendar Effects in the Chinese Stock market
118 Empirical Research on Month-of-the-Year Effect in Chinese Stock Market
119 An Investigation into the Effect of a Top Management Departure Announcement on the Stock
Prices of Competitor Firms
120 Is the Art Market Influenced by Financial Markets?
121 The Month of the Year Effect in the Nigerian Stock Market
122 The Attention and Emotions of Reddit Users and their Relationship with Cryptocurrency Price
Movements
123 Is there a ‘Day-of-the-Week Effect?’: Evidence from the US Stock Market in the 5-year period
between 1 January 2014 and 31 December 2018
124 An Empirical Analysis on Pairs Trading in China's A-Share Market
125 To what extent does underwriter reputation affect the initial and long-term returns of UK IPOs
126 The Impact of Macroeconomic Factors on the Stock Prices of Firms Listed on the London Stock
Exchange
127 Seasonal Effects in the Chinese A-Share Market: A Sector-Based Study
128 Analysis of Seasonal Effects in the Chinese Stock Market
129 Capital Asset Pricing Model (CAPM) Testing in the London Stock Exchange
130 Analysis of International Oil Price Effects in the Chinese Stock Market
131 The Impact of International Oil Price Fluctuations on the Chinese Stock Market
132 A Study on Quantitative Investment Strategies Based on Neural Network Forecasting
133 The Efficiency of the UK Stock Market Before and During the COVID-19 Pandemic Using
Machine Learning
134 The Impact of the COVID-19 Pandemic on the London Stock Exchange (LSE) and the FTSE
Index

Pension Schemes
1 Do pension funds in Bolivia invest assets efficiently? An analysis using the efficient frontier
framework .
2 The cult of the equity - is it sensible for pension funds to invest a large proportion of their funds
in equities?
3 Scale efficiency in pension funds: An empirical study of Iceland.

23
4 An empirical examination of the effects of hedging forex exposure by UK-based pension funds.
5 The benefits of Career Average Revalued Earnings (CARE) pension schemes, relative to final
salary pension schemes.
6 Why do we have company pension schemes?
7 The relationship between pension scheme maturity and the fund asset allocation.
8 The relationship between pension scheme deficit and the fund asset allocation.
9 Inter-generational transfers and pension schemes.
10 A quantitative analysis of the costs of investment limits for Costa Rican pension funds
11 Can pension funds hedge salary risk?
12 Should 401(k) plans invest in hedge funds?
13 The impact of longevity risk on the National Pension Scheme in Korea
14 The Effect of Pension Fund Deficits on Corporate Market Value
15 Pension Fund Hedging and its Effectiveness
16 What Post-Retirement Strategy is Most Suitable to Ensure Maintaining Wealth
17 Why and how do retirement funds in SACU incorporate ESG factors into their investment
decisions
18 Will a Later Retirement Age Affect the Allocation of UK Pension Fund Assets
19 The ESG Preferences of European Pension Fund Managers

Futures Markets
1 An Event Study of the Effect of Base Rate Changes on FTSE 100 Index Futures
2 An Event Study of the Effect of the Money Supply on FTSE 100 Index Futures
3 An Event Study of the Effect of Prime Rate Changes on S&P500 Index Futures
4 Managed Futures Investments for Portfolio Diversification
5 The Effect of Index Futures on Share Price Volatility: An Empirical Analysis
6 An Empirical Study of the Relationship Between the Basis and Maturity for FTSE 100 Index
Futures
7 A Test of the Weak Form of the Efficient Market Hypothesis Using FTSE 100 Stock Index
Futures
8 The Weekend Effect in the FTSE 100 Futures and Spot Markets
9 Intraday Patterns of Exchange Traded Derivatives: Evidence from LIFFE
10 Intraday Behaviour of Financial Derivatives: Evidence from the Spanish Financial Futures and
Options Exchange (MEFF)
11 Intraday Patterns of Exchange Traded Derivatives
12 An Empirical Study of the Effects of Changes in FTSE 100 Initial Margins on Open Interest and
Volume
13 Does Arbitrage Between Index Futures and Index Options Hold
14 Futures-Options Arbitrage on the FTSE 100 Stock Market Index
15 Options-Futures Arbitrage on TAIFEX
16 The Selection of an Index for Stock Index Futures Contracts. An Analysis of the Taiwanese
Market
17 Selection of Underlying Index for Stock Index Futures in Shanghai Stock Exchange
18 Hedging Using Stock Index Futures: Evidence in Taiwan Market
19 The Hedging Effectiveness Between the TAIEX Cash Index and TAIEX Futures
20 Estimating Time Varying Hedging Performance for Stock Index Futures
21 Effectiveness of Hedging UK Share Portfolios with FTSE 100 Index Futures

24
22 An Empirical Study of Hedging Portfolios of UK Shares Using FTSE 100 Futures
23 The Hedging Performance of the DAX Stock Index Futures
24 Hedging Performance of Stock Index Futures: Evidence for the Hang Seng Index Futures
25 Composite Hedging of UK Shares with Financial Futures
26 Composite Hedging of an Equity Portfolio with Financial Futures
27 Composite Hedging of Equity Portfolios Using Financial and Commodity Futures
28 The Hedging Performance of Long-Term Interest Rate Futures Contracts
29 Competition Between European Derivatives Exchanges
30 Weather, Trading Volume and Price Volatility of FTSE 100 Stock Index Futures
31 The Impact of Index Futures on Stock Market Volatility
32 The Lead-Lag Relationship Between Spot and Futures Returns: Evidence from the UK, America
and Japan
33 Price Discovery in the S&P 500 Cash Index and Index Futures Markets
34 The Lead-Lag Relationship Between TAIEX and TAIEX Futures
35 The Future of Index Funds
36 An Empirical Study of the Basis and Maturity for FTSE 100 Index Futures
37 An Empirical Study of the Risk Premium for FTSE 100 Futures and its Comparison to
Commodity Futures
38 Market Microstructure and Empirical Analysis of Three Month Euribor Futures
39 Floor Versus Electronic Trading: Empirical Evidence from Short Sterling Futures
40 Floor Versus Computerised Trading in Securities Markets
41 The Relationship Between the Nearby and Farthest Futures Contracts for Red Beans on the
Tokyo Grain Exchange
42 An Empirical Study of Arbitrage Opportunities in Three Month Copper Futures Between the
London Metal Exchange and the Shanghai Futures Exchange
43 Arbitrage Opportunities Between FTSE Eurofirst 80 Index Futures and Options Markets
44 Composite Hedging: Research on its Effectiveness to Hedge the Dow Jones Transportation
Index
45 Composite hedging of oil companies equity portfolios using a combination of stock index
futures and crude oil futures
46 Composite hedging equity portfolios with financial futures. [This project will follow the same
lines as a previous project, that is currently being finished, but use a country other than the UK
as the home country.]
47 Composite hedging of oil companies using crude oil futures and the FTSE 100, or banks and
interest rate futures and FTSE 100 futures.
48 A comparison of the hedging performance of Eurotop 100 and Stoxx 50 index futures.
49 An empirical study of hedging portfolios of UK shares using FTSE 100 futures.
50 An empirical study of the time series behaviour of the prices of FTSE 100 futures (mean
reverting process, GARCH, etc.)
51 An empirical study of the effectiveness of constant proportion portfolio insurance of portfolios
of UK shares using FTSE 100 futures.
52 An empirical study of the effect of `events' (i.e. the public release of information that is expected
to shift the price) on the price of FTSE 100 futures.
53 An empirical study of the risk premium for FTSE 100 futures.
54 An empirical study of the relationship between the basis and maturity for FTSE 100 index
futures.

25
55 An empirical study of the link between daily volume and volatility for FTSE 100 futures.
56 An empirical study of the factors influencing the level of open interest in FTSE 100 futures.
57 An empirical study of the possibilities for butterfly spreads in FTSE 100 futures.
58 An empirical study of the effects of changes in FTSE 100 initial margins on open interest.
59 An empirical study of the effects of changes in FTSE 100 futures initial margins on spot price
volatility.
60 Is the FTSE 100 basis seasonal?
61 “It will not be long before a major derivative exchange launches a concerted initiative to trade
individual stock futures”, P. Young with T. Theys, Capital Market Revolution, Pearson
Education, 1999, page 54.
62 The effects of the listing of an index future with a multiplier in a different currency from the
underlying index basket e.g. Nikkei in Chicago, MSCI Taiwan in Singapore.
63 Return-volume dynamics of the S&P500 index and index futures.
64 The expiration effect of TAIFEX Taiwan index futures and SGX MSCI Taiwan index futures
65 Index futures-options arbitrage: An empirical study of Taiwan stock index futures and options.
66 An analysis of the OLS and EWMA methods for estimating hedge ratios and evaluating hedging
strategies for commodities with futures.
67 The impact of KOSPI 200 index futures on the volume of the Korean stock market.
68 Using non-linear dynamics to test for market efficiency in UK futures markets.
69 Investment in GSCI Futures: Too Good to be True?
70 What are the determinants of backwardation and contango in commodity futures markets?
71 The relationship between fluctuations in oil futures and the US dollar
72 The hedge ratio of Hang Seng index futures
73 Composite hedging of oil prices using financial and commodity futures
74 The effect of property derivatives in investment portfolio management
75 Arbitrage between Taiwan stock index futures and stock index options
76 An empirical study of the relationship between index futures and ETFs
77 A study of the relationship between Taiwan stock index and Taiwan stock index futures
78 The expiration effect of Taiwan stock index futures for March, June, September and December
contracts each year
79 How good is the performance of China’s inland ETFs? An empirical study of the pricing
efficiency and trading rules of the China 50 ETF
80 An empirical study of the effectiveness of composite hedging in the natural gas industry
81 Cross hedging different grades of rubber to derive an optimal hedge
82 The Lead-lag Relationship Between Hang Seng Stock Indices and Stock Index Futures
83 Lead-Lag Relationship Between the Spot and the Futures FTSE/ATHEX20 Greek Stock Market.
84 Empirical study on hedged ratio and hedge effectiveness in Chinese stock index futures market
85 The choice of an underlying index on which to base a new derivative contract.
[This involves comparing alternative choices of the underlying index for an index futures
contract. This study can be done for countries where individual stock prices are
available, and does not require any futures or options prices.]
86 Correlation Forecasting in Volatility Targeted Time-Series Momentum Futures Strategies
87 How does the use of derivatives as a hedging instrument affect European banking?

Options Markets
1 The Impact of Option Listings on the Volatility of the Underlying Stock Returns: A UK

26
 Investigation
2 Day of the Week Effect and Holiday Effect: Evidence from an Emerging Stock Market, Istanbul
Stock Exchange
3 An Empirical Examination of Implied Volatility Smile Patterns
4 An Examination of the Smile Effect in the UK
5 The Performance of Covered Calls on LIFFE
6 The Performance of Protective Puts in LIFFE
7 Portfolio Insurance: An Examination of the Performance of CPPI with Futures in the UK
8 Portfolio Insurance: An Empirical Test of the Performances of Rollover Protective Put and
Fiduciary Call Options in the UK Market
9 Hedging Using Equity Options
10 The Performance of Protective Put Strategy Utilizing Out of the Money At the Money and In
the Money Contracts
11 An Empirical Study of Hedging Portfolios of UK Shares Using FTSE 100 Futures
12 The Application of Neural Network Models to the Task of Pricing FTSE 100 Index Call Options
13 Implied Volatility Behaviour Surrounding Major Scheduled Macro-Economic News
Announcements: Evidence from the UK Option Market
14 Scheduled Announcements and Ex Ante Volatility of Asset Prices: Evidence from the UK
Interest Rate Option Market
15 Implied Volatility Reaction to Scheduled Announcements: Evidence From UK Options Markets
16 The Informational Content of Implied Volatility: An Empirical Study in FTSE 100 Index Option
17 The Accuracy of Stock Index Option Pricing with Historical Volatility Forecasting: UK
Evidence
18 Evaluation of the Usefulness of Real Options in Investment Appraisal - Real Options Versus
Discounted Cash Flow Techniques
19 An Empirical Study of Put-Call Option Volume Ratios as Predictors of the Underlying Market
20 Efficiency Tests of the FTSE 100 Index Options Market
21 A Study of Arbitrage Efficiency with the Box Spread Strategy During the “September 11"
Period
22 Can the Equity Option Market be Used to Predict Stock Market Movements?
23 Does Implied Volatility Contain Any Information and How Does it React Around Profit and
Announcement Dates?
24 An Event Study of Implied Probabilities
25 Can Equity Options be Used to Predict Stock Market Crashes?
26 An event study of implied volatilities - does the scheduled announcement of price sensitive
information affect the implied volatility for options on the underlying asset? [For
example, profit announcements, stock splits, money supply announcements, balance of
trade announcements, merger and acquisition announcements, dividend increases etc.]
27 The use of options prices to examine the implied probability of the Tories winning a general
election, e.g. October 1987, or of a takeover bid succeeding.
28 Is the term structure of implied volatilities flat?
29 Can neural networks be used to price options, beating models like Black-Scholes?
30 Hedging using equity options.
31 Volatility forecasts and their application to the Black-Scholes model: Evidence from the Hong
Kong market
32 An empirical study of the contrary sentiment indicators on TAIFEX

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33 Comparing the performance of Black-Scholes in the Taiwan option market using alternative
volatility models
34 Dividend spread arbitrage for American style call options (Pool, V.K., Stoll, H.R. and Whaley,
R.E. (2008) Failure to Exercise Call Options: An Anomaly and a Trading Game, Journal
of Financial Markets, vol 11, no, 1, February, pp. 1-35.
35 Hedging using TAIFEX options
36 Are Binary Options Gambling or More Profitable than Traditional Stock Investment in the UK?
37 Application and Validation of Pricing Models in Free Markets and Controlled Markets

Foreign Exchange
1 Testing the foreign exchange market efficiency for the UK pound. (Forward exchange rate
unbiasedness: co-integration based test for the Greek drachma.)
2 Derivatives for exchange rate exposures management
3 Hedging foreign exchange rate exposures with currency futures
4 An empirical study of whether a position in bonds hedged against foreign exchange risk can
generate higher returns than the unhedged position
5 Can foreign currency managers outperform?
6 Establishing a currency union in the ASEAN region
7 An investigation into the day of the week effect on the foreign exchange markets
8 Basis Swaps: Development and Viability
9 The Day of the Week Effect in Foreign Exchange Markets: Evidence from Armenia

Others
1 The effect of bond characteristics on the liquidity of high yield bonds in the US market
2 An empirical study of Dow Jones CDX North American Investment Grade index and the Dow
Jones CDX North American High Yield index
3 An analysis of interest rate arbitrage - the impact of the unwinding of the yen carry trade on its
profitability
4 An empirical study of what determines the choice of securitization for micro finance institutions
5 Why has the DAX Only Got 30 Members, and How Faster Entry and Exit Rules and More
Members Could Change the Performance of the DAX, Usage as a Benchmark, and the
Observation of the Index Effect
6 An Econometric Modelling Research Project Regarding Bunker Price Volatility and Bunker
Price Options
7 Effectiveness of Hedging Ship Prices with Forward Freight Agreements
8 A Financial Perspective on the Divestment of Coal: A Dying Commodity or Investable Alpha?
Evidence from European, North American, Russian, Australian and Hong Kong Markets
9 Assessing the profitability determinants of commercial banks: Empirical Study of UK banks
following the 2007-09 crisis
10 Economic Conditions with Private Equity and Venture Capital in Emerging and Pre-Emerging
Economies: The Impact of Key Economic Indicators on the Prevalence and Growth of
Private Equity and Venture Capital Funds in Emerging and Pre-Emerging Economies
11 The moderating link between conformity and risk tolerance
12 An Empirical Study of the Systemic Risk Measurement Based on CoVaR method: Evidence
from Chinese Listed Banks
13 Specialization vs Diversification in REITs

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14 Bank Mergers in Taiwan - An Event Study of Bank Mergers Between Banks and Credit Co-
operatives
15 Determinants of government bond yield volatility in emerging economies – The case study of
government bond yields in Ghana
16 The Forecasting Power of Risk Neutral Moments for Risk and Return
17 Does Opening up to the Outside World Increase the Risks of China’s Banking Industry?
18 The Impact of Liquidity Management on Bank Performance
19 Potential Risks for the Banking Sector and How to Avoid Them
20 A Study of Green Premiums in China's Bond Market
21 The CAT Bond Spread: The Empirical Effect of COVID-19 Related Risks on Pandemic Bonds
22 An Empirical Analysis of the Value of ESG Incorporation in Risk-Adjusted Performance and
Diversification
24 Is There a Negative Relationship Between Interest Rates and the Number of Trades per Day

Appendix 2: A Sample Preliminary Proposal

Title: The Determinants of Credit Spreads in Emerging Markets by A. Student

Much research has been done of the determinants of credits spread in developed economies, and in the
US in particular. Blume, Keim, and Patel (1991) and Cornell and Green (1991) find that low-grade bond
returns are more sensitive to equity returns than high-grade bond returns. A negative correlation between
credit spreads on low-grade bonds and short term interest rates has been found by many authors,
including Longstaff and Schwartz (1995), Duffee (1998) and Collin-Dufresne, Goldstein and Martin
(2001). However outside the US, little empirical research has been done.

The question I want to address is whether credit spreads in emerging markets show a similar relationship
with equities and domestic interest rates, or whether they are more influenced by external factors (e.g.
US treasury rates or USD exchange rates) or the sovereign credit rating. An answer to this question
would be important for investors seeking diversification potential through emerging markets.

I will estimate a multi-factor model for credit spreads of different ratings in various emerging markets,
depending on the data available. The data on US interest rates and exchange rates are easy to obtain (e.g.
from www.federalreserve.gov/releases/h15/data.htm) but I will need some help to find the emerging
markets data. JP Morgan seems to be a good place to start.

References
Blume, M. E., D. B. Keim and S. A. Patel (1991) Returns and Volatility of Low-Grade Bonds:
1977–1989, Journal of Finance, vol. 46, pp. 49–74.
Collin-Dufresne, P., R. S. Goldstein, and J. S. Martin (2001) The Determinants of Credit Spread

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 Changes Journal of Finance, vol. 56, pp. 2177-2207.
Cornell, B., and K. Green (1991) The Investment Performance of Low-Grade Bond Funds, Journal of
Finance, vol. 46, pp. 29–48.
Duffee, G. R. (1998) Treasury Yields and Corporate Bond Yield Spreads: An Empirical Analysis
,Journal of Finance, vol. 53, pp. 2225-2242.
Longstaff, F., and E. Schwartz (1995) A Simple Approach to Valuing Risky Fixed and Floating Rate
Debt, Journal of Finance. vol. 50, pp. 789-820.

Please note that every reference in your text must be accompanied by a full reference in the list of
references at the end. This reference list should be in alphabetical order.

Appendix 3 – Example of Draft Outline

Pricing Spread Options Using Normal Mixture Distributions by A. Student

1. Introduction. The introduction will explain what a spread option is and motivate the research project
by giving details about the markets where they are actively traded (e.g. commodities, equity indices).
American spread options seem popular, e.g. in oil markets, but my research project will only examine
European options. I will explain why using Black-Scholes type assumptions can lead to large pricing
and hedging errors because these models ignore both the implied volatility smile and the implied
correlation ‘frown’. I will have to explain what the implied correlation ‘frown’ is in the methodology
section.

2. Literature Review. I have found relevant papers by Boyle (1988), Ravindran (1993), Shimko
(1994), Kirk (1995) Liu & Wang (1999), Dempster and Hong (2000) and Durrleman (2003). They get
increasingly difficult, especially the last three, which use stochastic interest rates and stochastic
volatility and require very complicated simulation methods for pricing. But even these cannot fit an
implied correlation frown, although they are consistent with the implied volatility smile. There is a very
long survey article by Carmona and Durrleman (2003) and the book by James (2002) has plenty of
motivation.

3. Methodology. I will begin by explaining what the implied correlation frown is, why it occurs and
why it is important for pricing (and hedging) spread options. I will then introduce a model that, unlike
the ones I reviewed in the literature review, might be consistent with an implied correlation frown. And,
it should have an analytic solution!

The idea is to use a joint price distribution that is a bivariate normal mixture, instead of the usual

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assumption for spread option pricing, where the price density is a bivariate normal. Because the joint
price distribution has heavier tails than the bivariate normal, I might be able to extend the univariate
results (where leptokurtic price densities are consistent with volatility smiles) so that this model has an
implied correlation frown.

The model will be a generalization of the Brigo and Mercurio (2001) normal mixture diffusion model,
where European option prices are just averages of Black Scholes prices (see Ritchey (1990) and others).
I will have to go through the univariate model first and then see how it can be extended to two-
dimensions. I hope that in the two-dimensional case we will also get an analytic solution, where the
option price is an average of prices based on the bivariate normal joint price density assumption and for
these we can use Kirk’s (1995) approximation. The end result could be a pricing model for European
spread options that has an analytic formula that is consistent with the two implied volatility smiles and
the implied correlation frown.

4. Empirical Results. I asked the traders at ABC bank (I used to work there), and they have
transactions data for 1995-2005 European spreads which I could use. This is a very large database of
hundreds of thousands of observations, and I may have to select a sub-set for use in my research project.

References
Boyle, P. (1988) A Lattice Framework for Option Pricing with Two State Variables, Journal Of
Financial And Quantitative Analysis, vol. 23, pp. 1-12.
Brigo, D and F. Mercurio (2001) Displaced and Mixture Diffusions for Analytically-Tractable Smile
Models, in: Geman, H., Madan, D.B., Pliska, S.R., Vorst, A.C.F. (Editors), Mathematical
Finance Bachelier Congress 2000, Springer, Berlin
Carmona, R. and Durrleman, V. (2003) Pricing and Hedging Spread Options SIAM Review, vol. 45,
no.4, pp. 627 - 687
Dempster, M. and Hong, G. (2000) Spread Option Valuation And The Fast Fourier Transform, Research
Papers In Management Studies Working Paper 26/2000.
Durrleman, V. (2001) Implied Correlation and Spread Options Technical Report, Department of
Operations Research and Financial Engineering, Princeton University.
James, P (2002) Option Theory John Wiley, Chichester.
Kirk, E. (1995) Correlation in the Energy Markets. In Managing Energy Price Risk. (1st Edition) Risk
Publications, pp. 71-78.
Liu, C. and D. Wang (1999) Exchange Options and Spread Options with Stochastic Interest Rates,
University of Waterloo (Canada) Discussion Paper.
Ravindran, K. (1993) Low-Fat Spreads Risk Magazine, vol. 6, no.10, pp. 66-7.
Ritchey, R.J. (1990) Call Option Valuation for Discrete Normal Mixtures Journal of Financial
Research, vol. 13, pp. 285-296.
Shimko, D. (1994) Options on Futures Spreads: Hedging, Speculation and Valuation, The Journal Of
Futures Markets vol. 14, no. 2, pp. 182-213.

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Please note that every reference in your text must be accompanied by a full reference in the list of
references at the end. This reference list should be in alphabetical order.

Appendix 4 – Submitting the Research Project Electronically

As part of the submission process for the research project, you are required to submit an electronic
version of your research project to the Turn-It-In plagiarism service. Research projects must be
submitted in one of the following formats: Word or PDF files. Follow the procedure below to submit
your research project, which must be submitted as one file.
1 Log into Blackboard
2 Click on “Research Project” (IC305)
3 Click on “Assignments”
4 Click on “IC305 Submission Point”

5 Upload your research project.

Appendix 5 – Plagiarism Detection Software: Information for Students

The Turnitin® UK service helps academic staff address a number of common but difficult to identify
issues related to citation and collaboration in coursework assessments. It enables tutors to identify the
original source of material included within student work by searching a database of several billion pages
of reference material gathered from the entire World Wide Web, professional publications, student essay
websites and other student works. It is used by academics as a tool to help them provide better
information and feedback to students about the work they have submitted. The tool does not make
decisions about the intention of unoriginal work, nor does it determine if unoriginal content is
incorrectly cited or indeed plagiarized. It simply highlights sections of text that have been found in other
sources to help academic staff members make these decisions. In many cases this will lead the academic
member of staff to provide feedback to students on how to improve their coursework submissions and
citations. All assessment decisions will continue to be made by the course tutor who will review the
entire work.

What is the benefit of using the service?

The University wishes to encourage students to behave with honesty and integrity at all times. The
correct citation of work and the authenticity of submitted work is a cornerstone, not just of our education
system, but of the trust and value held in each of our education institutions by employers and the public
at large. The use of this service along with other methods of maintaining the integrity of the academic
process will help your institution maintain academic standards and assessment fairness.

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How will my data be used?
In order for this service to work your research project will be submitted to the service where they will
be stored together with your name, course details and institution. Once your material has been uploaded
it will be stored electronically in a database and compared against work submitted from this or any other
department(s) within this institution or from other UK institutions using the service.

Your tutor will receive an Originality Report from the service. In most cases this feedback will be used
by the tutor to instruct you about the process of citation and the importance of maintaining academic
standards. In some cases, dependent on extent, level and context, the institution may decide to undertake
further investigation which could ultimately lead to disciplinary actions, should instances of plagiarism
be detected. Such decisions are entirely at the discretion of your institution and in no way involve
HEFCE (the Higher Education Funding Council for England) nor the service. In this circumstance it
is possible that your personal data may need to be disclosed to academic staff within the other
institution(s) from where matching content has been submitted. HEFCE has overall responsibility for
the processing of personal data carried out by Turnitin® UK (A JISC Service). HEFCE and each
institution signing up to use the service will together act as Joint Data Controllers for the personal data
submitted with students’ work. In order for your institution to make use of the service it will be
necessary for personal data relating to you to be transferred to countries not governed by EU Data
Protection legislation. However, it should be noted that iParadigms, the company processing your data
are bound by terms of contract to at all times abide by the Data Protection Act 1998.

How long will the service keep my work?

The service will seek to retain content submitted to it and associated personal data until the termination
of this service or its successor, thus helping to accumulate as large a corpus of knowledge as possible
against which to compare submitted content.

Who owns the copyright to the work I have submitted?

HEFCE has no interest in acquiring the intellectual property rights for the content submitted by you. The
copyright for such content will continue to reside with either yourself or your institution; whichever is
currently the case. The service will help to protect your work from future plagiarism and thereby help
maintain the integrity of any qualification you receive.

What are my rights under the Data Protection Act?

As the data subject you do have the right to see what personal information is held about you in relation
to this or any other service that stores your personal information and have limited rights to object to your
data being used. Please refer to the Plagiarism Advisory Service web site (www.jiscpas.ac.uk) for

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further information regarding these rights. If your personal data has been integrated into the service via
your institution’s student information system your request may require the institution to withdraw your
personal information from student information system as well. Your institution will be able to inform
you of the implications of exercising this right under these conditions. Please note: your tutor can submit
your work to the service without the use of personal data should you decide to exercise this right. The
right to objection relates to the storage of your personal data and does not extend as a right to object to
your tutor making use of technology aimed at improving academic standards when assessing your work.
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