1. Discuss the theoretical underpinnings for empirical findings of Yu and Yuan .
2. Suppose that you decide to extend the US evidence from Yu and Yuan to another market. Select a market and motivate your selection.
3. Critically review related literature, and summarize and evaluate approaches to construct proxies for investor sentiment.
4. Determine a proxy for investor sentiment in your selected market, and elaborate motivation for your selection.
5. Present descriptive statistics of (i) market returns of the selected market and (ii) investor sentiment.
6. Select one method to filter conditional volatility of market returns, and present descriptive statistics of conditional volatility.
7. Examine (i) the relation between market returns and investor sentiment, and (ii) the relation between market returns and conditional volatility.
