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The University of Southampton

MANG6008 Quantitative Research in Finance

Module Overview

This module provides you with the opportunity to engage with econometrics theory focusing. In particular, we focus on analysing financial markets and firms’ investment and financing decisions.

Aims and Objectives

Learning Outcomes

Knowledge and Understanding

Having successfully completed this module, you will be able to demonstrate knowledge and understanding of:

  • demonstrate a critical understanding of the basic theory of financial econometrics;
  • demonstrate a critical understanding of some specific applications of such theory;
  • apply such understanding to a specific empirical project;
  • demonstrate competence in using a basic econometrics software package.
Subject Specific Intellectual and Research Skills

Having successfully completed this module you will be able to:

  • demonstrate quantitative skills in evaluating numerical data.
Transferable and Generic Skills

Having successfully completed this module you will be able to:

  • demonstrate skills in utilising analysis software.


Part 1: Introduction to the Theory of Econometrics • Introduction to simple and multiple regression • Hypothesis testing and the use of diagnostic statistics • ARCH and GARCH models • Introduction to Eviews Part 2: Applications • Non-Synchronous / Thin Trading • Prices, Dividends and Returns • Market Microstructure • Volatility Custering and Volatility Forecasting In addition, you will undertake an empirical project involving research design and the estimation and testing of hypotheses using the menu-driven software package EVIEWS or STATA.

Learning and Teaching

Teaching and learning methods

This module will involve 24 contact hours over a six-week period. Lectures are used to introduce and develop knowledge of individual topics. Lectures may involve formal lectures using data projection. The practical (“Lab”) session actively introduces students to the use of econometrics software in performing “Real World” analyses of financial data.

Independent Study126
Total study time150

Resources & Reading list

Brook, Chris (2008). Introductory Econometrics for Finance. 

Asterious, G. and S. Hall (2011). Applied Econometrics. 

Cuthbertson, K. (1996). Quantitative Financial Economics. 





MethodPercentage contribution
Examination  (2 hours) 70%
Group project  (4000 words) 30%


MethodPercentage contribution
Empirical Project  (1000 words) 30%
Examination  (2 hours) 70%


MethodPercentage contribution
Examination  (2 hours) 100%

Repeat Information

Repeat type: Internal & External


Costs associated with this module

Students are responsible for meeting the cost of essential textbooks, and of producing such essays, assignments, laboratory reports and dissertations as are required to fulfil the academic requirements for each programme of study.

In addition to this, students registered for this module typically also have to pay for:


Recommended texts for this module may be available in limited supply in the University Library and students may wish to purchase the mandatory/additional reading text as appropriate.

Please also ensure you read the section on additional costs in the University’s Fees, Charges and Expenses Regulations in the University Calendar available at

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