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Empirical Research in Finance using R, Case Studies


Part 1: Stata/R, Data Managing and Descriptive Statistics (21h)


  • Comparison R, Python and Other Statistics softwares. Big Data handling, Very Fast calculation
  • Installation R, RStudio and Libraries


  • Basics, Variable types, and definitions
  • Operators
  • Basic and Useful functions
  • Personal functions creation and using
  • Personal libraries creation and using
  • Loops


  • Dataframe vs Data table
  • Importing and exporting data
  • Download data from IFRC Webservices
  • Download data from free sources: Yahoo, Quandl, …
  • Download data from international organizations: World Bank, OECE, IMF, World Exchange Federation, …
  • Data mining from website (simple cases)
  • Sort, Join, Transformation, Reshaping, Subletting, Aggregation, …

Statistics: Univariate/Multivariate, by group – Parametric/Non-parametric

  • Descriptive
  • Probability Distribution: Normality, …, Stable distribution
  • Independence
  • Comparison of mean/location, of variance/scale
  • Ordinary Least Squares (OLS)
  • Customize output presentation format

Using Vietnam Economics and Financial Research Database Implementation

  • Front end
  • Back End
  • Cloud computing

Error handling


  • Webservices, FTP
  • Extraction
  • Create batch files and Schedule execution


Part 2: Empirical Research in Finance using R (21h)

Return calculation and properties following periodicity

  • Discrete
  • Continuous
  • Compound
  • Cumulated returns​


  • Normality,
  • Stable,…
  • Extremes Values​


  • Autocorrelation,
  • Variance Ratios​

Stationarity in Time Series

  • Unit roots,
  • Cointegration (Oil prices impacts, ASEAN Monetary integration, …)​

Heteroscedasticity and Volatility Models​

Random Walk

Market Anomalies

  • Seasonality (Day of week, Month of Year),
  • Effect (Size, Book Value, Price Earning, Volatility, Beta, …),
  • Momentum/Overreaction


Part 3: Empirical Advanced Research in Finance using R (21h)

CAPM and different versions

  • Market Line,
  • Mean-Variance Portfolio,
  • Efficient Portfolio,
  • CAPM, 3 Factors, …​

Portfolio creation, strategies and Management​

Performance/Risk/Liquidity and Controlled Variables using Panel Regression with different types of Effects

  • Gender/Performance
  • Foreign Investors/Liquidity
  • State Owned Companies/Volatility

Event Studies

  • Benchmark
  • Models
  • Statistics (IPO, Splits, Dividend, Index Review, …)


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