Rokas Kirlys, a senior international student majoring in finance and computer information systems, spent the summer examining Return Predictability and Risk Structure of Baltic Equity Markets with Kudret Topyan, Ph.D., professor of economics and finance.
Inspired by the wide use of financial models used to forecast market behavior in developed and large emerging markets, Kirlys spent the summer evaluating whether similar forecasting tools can be applied to frontier economies such as the Baltic capital cities of Tallinn, Riga and Vilnius.
“It’s a pretty hot topic in finance these days,” Kirlys says. “Financial modeling has been applied to developed and emerging markets, but it’s never really been done on frontier markets. It made sense to try something new.”
Developing Skills on the Path to Discovery
The project came in two parts. His first challenge was to test whether the modeling method would work on the region, and the second was to see how predictable the markets were in using these methods.
There are a lot of side skills that you develop along the way.
Using Morningstar Investment Research Center, a professional financial database, was a learning experience in itself. Each figure required significant customization before Kirlys could begin any calculation.
“There are a lot of side skills that you develop along the way,” Kirlys explains, noting his increased efficiency in computer programs, data collection, and problem-solving in general.
Kirlys, who is also a winning thrower on Manhattan College’s track and field team, hails from Kamajai, Lithuania. In the future, he hopes to become an investment banker and eventually apply his research to his home country of Lithuania.
He will submit his research to the New York State Economics Association (NYSEA) 2014 Undergraduate Research Paper Contest, in the hopes of presenting at NYSEA’s 67th annual meeting.
Even though the summer is over, Kirlys explains, both he and Topyan are moving forward using cross-sectional regression modeling.
When asked about reaching a final conclusion, Kirlys says, “we’ve noticed some very recent studies coming out that may change our hypothesis and scope of the second portion of our project.”
“That’s the really interesting thing about research,” he adds. “As soon as you feel that you have a handle on the data, and are confident about your conclusions, you can find something that could potentially change everything.”