Lecture 5: Data and Data

Description
 26

Data

• This is another key area we need to focus on in the proposal as the

data needed to apply a specific methodology may not exist!

• In the proposal we therefore need to give clear evidence that we can

get the data. Statements such as ‘it will come from Bloomberg’ is not
good enough.

• We need to identify: the specific data series, the sample size, the period
covered and the frequency (E.g. daily, monthly, yearly).

• In this class we will look at identifying the sources (for the proposal)
and also what goes into the data description section of the
dissertation.
Types of data

Is the study:
- Cross-sectional?
- Time-series?
- Case study?
- Survey?

- Most of your proposals will relate to the first 3 types and most
students will use sources from one of our major financial databases.
 26

Data Sources

• Good data sources are:

• Bloomberg (see instructions on moodle under Lecture 5)

• Thomson-Reuters Eikon
• ONS government database (https://www.ons.gov.uk)
• Fame Accounting database (see library Locate for details)

• For financial market databases the two key ones are Bloomberg and
Reuters Eikon. They have contain similar data.

• Bloomberg you have to use the Trading Room Eikon however is web-
based and should be available on all business school computers.
 26

Data Sources

• Reuters Eikon:

• We have 10 logins.
• Data is identified through an RIC code.
• Data can be cross section or time series.
• Data can be downloaded in Excel xls format.
• It can be imported into our statistical packages such as gretl, Spss
and Oxmetrics.

• The database is huge. We just show you how to download share

price data and also financial accounts data in the next workshop
and
• then how to use this data in next weeks lecture.
 26

Data Sources

• Requirements for your proposals:

• From the methodology the data requirements should be clear. You

need to provide evidence that the data you propose to use is
available.

• For econometric models we would recommend:

• 1. Source e.g. Eikon

• 2. any identifying Code for variables Eg. BP.L
• 3. Frequency – e.g. daily, weekly, monthly
• 4. sample size i.e. number of observations
• 5. You could be a small sample in a data appendix.

• Note. If you follow a case study approach this may differ.

 26

Using Reuters Eikon and Gretl

• See Instructions under Lecture 5 moodle

• We will now show you how to extract share price data for BP.

• We will get you to do the same in workshops and then create some
descriptive statistics using a econometrics programme called Gretl.

• Gretl is free software and can be downloaded onto your own

machines. It will be useful for any stats you need to do for your
dissertation.
 26

Data Description for Dissertations

Data Description
• This is to help you in respect to your dissertation – it is not needed for
the proposal.

• The reason we have this section in a dissertation is to identify any

issues or features of the data which may have an impact on the way
we apply the methodology and/or interpret our results. We can refer
back to this section when discussing statistical methods and results.
 26

Data Description for Dissertations

• The approach we take depends on the nature of the data but it will
usually include:

• Data Sources

• Discussion of the sample and any related issues E.g. missing data

• Charts

• Descriptive Statistics
 26

Data Description for Dissertations

For an example see the paper: forecasting the Jordanian stock index:
modelling asymmetric volatility and distribution effects within a garch
framework

(Moodle Lecture 5 example paper).

• Description of Data Sources and Sample

This identifies the paper uses: Daily closing prices for the Jordanian
Amman Stock Exchange Index (ASE) covering the period 2nd January 2000
to 27th November 2014.

The data source is the Thomson-Reuters Eikon database and the dataset
comprises of a total of 3655 trading days.

Daily returns computed as the log-difference of the daily closing prices.

 Data Description for Dissertations

Charts
(i) Daily price index 2000- 2014 (ii) daily returns (ii) distribution of
returns

(i) These enable us to see evidence of the impact of the financial crisis on
the market and then we can use this information latter in the paper.
• Figure 1. Daily Jordanian Price Index January 2000-November 2014
The market peaks in late
2008 before falling as the
world financial crisis
takes hold
 Data Description for Dissertations
market volatility peaks in
late 2008 as the world
• Charts financial crisis takes hold

• This enables us to identify peaks in volatility

• Figure 2. Jordanian Daily Percentage Returns January 2000-November 2014

 Data Description for Dissertations

Charts
 
Figure 3. Histogram of Jordanian Daily Returns January 2000-November
2014

Returns are non-normal

which has implications for
modelling procedures
 26

Data Description for Dissertations

Descriptive Statistics
• Mean, min, max, standard deviation are the standard descriptive
shown in most papers. In addition further tests for statistical normality
and for statistical stationary are undertaken as these will have a impact
on the validity of subsequent tests. Notice there is a commentary on
the statistics – they are not just presented.

Table 1. Descriptive Statistics of Daily Returns January 2000-

November 2014
**Significant at 1%. 1Both the Ljung-Box and the ARCH tests use 10
lags.
Mean Std. Min Max Skewn J-B ARCH L-B ADF
Dev ess Test Test1
Test1
Test
0.025 0.946 -6.428 6.198 -0.363 6.167 5872.2 107.9* 2571** -32.8
** * **

Excess
Kurtosis