Faculty of Business and Economics

Monash University

Postgraduate - Unit

This unit entry is for students who completed this unit in 2012 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.

print version

6 points, SCA Band 3, 0.125 EFTSL

Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered, or view unit timetables.

FacultyFaculty of Business and Economics
OfferedNot offered in 2012
Coordinator(s)Associate Professor XibinZhang (Bill)


This unit covers fundamental concepts in statistics and their applications to study typical features of financial markets; econometric tools to assess time series properties and distributional properties of financial series and testing methods for efficient market hypothesis. It demonstrates how to estimate the capital asset pricing model, arbitrage pricing model and volatility models. Parametric, nonparametric and simulation methods are used to estimate the value at risk of assets and portfolios.


The learning goals associated with this unit are to:

  1. analyse financial data using techniques of descriptive statistics, graphs and tables
  2. evaluate efficient market hypothesis
  3. estimate the capital asset pricing model, the arbitrage pricing theory model and GARCH models
  4. compute value at risk of a portfolio
  5. examine market anomalies.


Within semester assessment: 60%
Examination (2 hours): 40%

Chief examiner(s)

Xibin Zhang


Students must be enrolled in course codes 3814, 3815, 3816 or 3822 or must have passed AFF9641 or AFF9250