Mu in vitro Transposition Technology in Functional Genetics and Genomics: Applications on Mouse and Bacteriophages

Transposons are mobile elements of genetic material that are able to move in the genomes of their host organisms using a special form of recombination called transposition. Bacteriophage Mu was the first transposon for which a cell-free in vitro transposition reaction was developed. Subsequently, the reaction has been refined and the minimal Mu in vitro reaction is useful in the generation of comprehensive libraries of mutant DNA molecules that can be used in a variety of applications. To date, the functional genetics applications of Mu in vitro technology have been subjected to either plasmids or genomic regions and entire genomes of viruses cloned on specific vectors. This study expands the use of Mu in vitro transposition in functional genetics and genomics by describing novel methods applicable to the targeted transgenesis of mouse and the whole-genome analysis of bacteriophages. The methods described here are rapid, efficient, and easily applicable to a wide variety of organisms, demonstrating the potential of the Mu transposition technology in the functional analysis of genes and genomes. First, an easy-to-use, rapid strategy to generate construct for the targeted mutagenesis of mouse genes was developed. To test the strategy, a gene encoding a neuronal K+/Cl- cotransporter was mutagenised. After a highly efficient transpositional mutagenesis, the gene fragments mutagenised were cloned into a vector backbone and transferred into bacterial cells. These constructs were screened with PCR using an effective 3D matrix system. In addition to traditional knock-out constructs, the method developed yields hypomorphic alleles that lead into reduced expression of the target gene in transgenic mice and have since been used in a follow-up study. Moreover, a scheme is devised to rapidly produce conditional alleles from the constructs produced. Next, an efficient strategy for the whole-genome analysis of bacteriophages was developed based on the transpositional mutagenesis of uncloned, infective virus genomes and their subsequent transfer into susceptible host cells. Mutant viruses able to produce viable progeny were collected and their transposon integration sites determined to map genomic regions nonessential to the viral life cycle. This method, applied here to three very different bacteriophages, PRD1, ΦYeO3 12, and PM2, does not require the target genome to be cloned and is directly applicable to all DNA and RNA viruses that have infective genomes. The method developed yielded valuable novel information on the three bacteriophages studied and whole-genome data can be complemented with concomitant studies on individual genes. Moreover, end-modified transposons constructed for this study can be used to manipulate genomes devoid of suitable restriction sites.

Functional Analysis of MrpL55, Vig and Mat1 Acting at the Crossroad of Cell Cycle, Transcription and Metabolism Regulation

Cell proliferation, transcription and metabolism are regulated by complex partly overlapping signaling networks involving proteins in various subcellular compartments. The objective of this study was to increase our knowledge on such regulatory networks and their interrelationships through analysis of MrpL55, Vig, and Mat1 representing three gene products implicated in regulation of cell cycle, transcription, and metabolism. Genome-wide and biochemical in vitro studies have previously revealed MrpL55 as a component of the large subunit of the mitochondrial ribosome and demonstrated a possible role for the protein in cell cycle regulation. Vig has been implicated in heterochromatin formation and identified as a constituent of the RNAi-induced silencing complex (RISC) involved in cell cycle regulation and RNAi-directed transcriptional gene silencing (TGS) coupled to RNA polymerase II (RNAPII) transcription. Mat1 has been characterized as a regulatory subunit of cyclin-dependent kinase 7 (Cdk7) complex phosphorylating and regulating critical targets involved in cell cycle progression, energy metabolism and transcription by RNAPII. The first part of the study explored whether mRpL55 is required for cell viability or involved in a regulation of energy metabolism and cell proliferation. The results revealed a dynamic requirement of the essential Drosophila mRpL55 gene during development and suggested a function of MrpL55 in cell cycle control either at the G1/S or G2/M transition prior to cell differentiation. This first in vivo characterization of a metazoan-specific constituent of the large subunit of mitochondrial ribosome also demonstrated forth compelling evidence of the interconnection of nuclear and mitochondrial genomes as well as complex functions of the evolutionarily young metazoan-specific mitochondrial ribosomal proteins. In studies on the Drosophila RISC complex regulation, it was noted that Vig, a protein involved in heterochromatin formation, unlike other analyzed RISC associated proteins Argonaute2 and R2D2, is dynamically phosphorylated in a dsRNA-independent manner. Vig displays similarity with a known in vivo substrate for protein kinase C (PKC), human chromatin remodeling factor Ki-1/57, and is efficiently phosphorylated by PKC on multiple sites in vitro. These results suggest that function of the RISC complex protein Vig in RNAi-directed TGS and chromatin modification may be regulated through dsRNA-independent phosphorylation by PKC. In the third part of this study the role of Mat1 in regulating RNAPII transcription was investigated using cultured murine immortal fibroblasts with a conditional allele of Mat1. The results demonstrated that phosphorylation of the carboxy-terminal domain (CTD) of the large subunit of RNAPII in the heptapeptide YSPTSPS repeat in Mat-/- cells was over 10-fold reduced on Serine-5 and subsequently on Serine-2. Occupancy of the hypophosphorylated RNAPII in gene bodies was detectably decreased, whereas capping, splicing, histone methylation and mRNA levels were generally not affected. However, a subset of transcripts in absence of Mat1 was repressed and associated with decreased occupancy of RNAPII at promoters as well as defective capping. The results identify the Cdk7-CycH-Mat1 kinase submodule of TFIIH as a stimulatory non-essential regulator of transcriptional elongation and a genespecific essential factor for stable binding of RNAPII at the promoter region and capping. The results of these studies suggest important roles for both MrpL55 and Mat1 in cell cycle progression and their possible interplay at the G2/M stage in undifferentiated cells. The identified function of Mat1 and of TFIIH kinase complex in gene-specific transcriptional repression is challenging for further studies in regard to a possible link to Vig and RISC-mediated transcriptional gene silencing.

Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models

This thesis studies quantile residuals and uses different methodologies to develop test statistics that are applicable in evaluating linear and nonlinear time series models based on continuous distributions. Models based on mixtures of distributions are of special interest because it turns out that for those models traditional residuals, often referred to as Pearson's residuals, are not appropriate. As such models have become more and more popular in practice, especially with financial time series data there is a need for reliable diagnostic tools that can be used to evaluate them. The aim of the thesis is to show how such diagnostic tools can be obtained and used in model evaluation. The quantile residuals considered here are defined in such a way that, when the model is correctly specified and its parameters are consistently estimated, they are approximately independent with standard normal distribution. All the tests derived in the thesis are pure significance type tests and are theoretically sound in that they properly take the uncertainty caused by parameter estimation into account. -- In Chapter 2 a general framework based on the likelihood function and smooth functions of univariate quantile residuals is derived that can be used to obtain misspecification tests for various purposes. Three easy-to-use tests aimed at detecting non-normality, autocorrelation, and conditional heteroscedasticity in quantile residuals are formulated. It also turns out that these tests can be interpreted as Lagrange Multiplier or score tests so that they are asymptotically optimal against local alternatives. Chapter 3 extends the concept of quantile residuals to multivariate models. The framework of Chapter 2 is generalized and tests aimed at detecting non-normality, serial correlation, and conditional heteroscedasticity in multivariate quantile residuals are derived based on it. Score test interpretations are obtained for the serial correlation and conditional heteroscedasticity tests and in a rather restricted special case for the normality test. In Chapter 4 the tests are constructed using the empirical distribution function of quantile residuals. So-called Khmaladze s martingale transformation is applied in order to eliminate the uncertainty caused by parameter estimation. Various test statistics are considered so that critical bounds for histogram type plots as well as Quantile-Quantile and Probability-Probability type plots of quantile residuals are obtained. Chapters 2, 3, and 4 contain simulations and empirical examples which illustrate the finite sample size and power properties of the derived tests and also how the tests and related graphical tools based on residuals are applied in practice.

Hard Custom, Hard Dance : Social Organisation, (Un)Differentiation and Notions of Power in a Tabiteuean Community, Southern Kiribati

Hard Custom, Hard Dance: Social Organisation, (Un)Differentiation and Notions of Power in a Tabiteuean Community, Southern Kiribati is an ethnographic study of a village community. This work analyses social organisation on the island of Tabiteuea in the Micronesian state of Kiribati, examining the intertwining of hierarchical and egalitarian traits, meanwhile bringing a new perspective to scholarly discussions of social differentiation by introducing the concept of undifferentiation to describe non-hierarchical social forms and practices. Particular attention is paid to local ideas concerning symbolic power, abstractly understood as the potency for social reproduction, but also examined in one of its forms; authority understood as the right to speak. The workings of social differentiation and undifferentiation in the village are specifically studied in two contexts connected by local notions of power: the meetinghouse institution (te maneaba) and traditional dancing (te mwaie). This dissertation is based on 11 months of anthropological fieldwork in 1999‒2000 in Kiribati and Fiji, with an emphasis on participant observation and the collection of oral tradition (narratives and songs). The questions are approached through three distinct but interrelated topics: (i) A key narrative of the community ‒ the story of an ancestor without descendants ‒ is presented and discussed, along with other narratives. (ii) The Kiribati meetinghouse institution, te maneaba, is considered in terms of oral tradition as well as present-day practices and customs. (iii) Kiribati dancing (te mwaie) is examined through a discussion of competing dance groups, followed by an extended case study of four dance events. In the course of this work the community of close to four hundred inhabitants is depicted as constructed primarily of clans and households, but also of churches, work co-operatives and dance groups, but also as a significant and valued social unit in itself, and a part of the wider island district. In these partly cross-cutting and overlapping social matrices, people are alternatingly organised by the distinct values and logic of differentiation and undifferentiation. At different levels of social integration and in different modes of social and discursive practice, there are heightened moments of differentiation, followed by active undifferentiation. The central notions concerning power and authority to emerge are, firstly, that in order to be valued and utilised, power needs to be controlled. Secondly, power is not allowed to centralize in the hands of one person or group for any long period of time. Thirdly, out of the permanent reach of people, power/authority is always, on the one hand, left outside the factual community and, on the other, vested in community, the social whole. Several forms of differentiation and undifferentiation emerge, but these appear to be systematically related. Social differentiation building on typically Austronesian complementary differences (such as male:female, elder:younger, autochtonous:allotochtonous) is valued, even if eventually restricted, whereas differentiation based on non-complementary differences (such as monetary wealth or level of education) is generally resisted, and/or is subsumed by the complementary distinctions. The concomitant forms of undifferentiation are likewise hierarchically organised. On the level of the society as a whole, undifferentiation means circumscribing and ultimately withholding social hierarchy. Potential hierarchy is both based on a combination of valued complementary differences between social groups and individuals, but also limited by virtue of the undoing of these differences; for example, in the dissolution of seniority (elder-younger) and gender (male-female) into sameness. Like the suspension of hierarchy, undifferentiation as transformation requires the recognition of pre-existing difference and does not mean devaluing the difference. This form of undifferentiation is ultimately encompassed by the first one, as the processes of the differentiation, whether transformed or not, are always halted. Finally, undifferentiation can mean the prevention of non-complementary differences between social groups or individuals. This form of undifferentiation, like the differentiation it works on, takes place on a lower level of societal ideology, as both the differences and their prevention are always encompassed by the complementary differences and their undoing. It is concluded that Southern Kiribati society be seen as a combination of a severely limited and decentralised hierarchy (differentiation) and of a tightly conditional and contextual (intra-category) equality (undifferentiation), and that it is distinctly characterised by an enduring tension between these contradicting social forms and cultural notions. With reference to the local notion of hardness used to characterise custom on this particular island as well as dance in general, it is argued in this work that in this Tabiteuean community some forms of differentiation are valued though strictly delimited or even undone, whereas other forms of differentiation are a perceived as a threat to community, necessitating pre-emptive imposition of undifferentiation. Power, though sought after and displayed - particularly in dancing - must always remain controlled.

Neighborhood Shopkeepers in Contemporary South Korea: Household, Work, and Locality

This is an ethnographic study of the lived worlds of the keepers of small shops in a residential neighborhood in Seoul, South Korea. It outlines, discusses, and analyses the categories and conceptualizations of South Korean capitalism at the level of households, neighborhoods, and Korean society. These cultural categories were investigated through the neighborhood shopkeepers practices of work and reciprocal interaction as well as through the shopkeepers articulations of their lived experience. In South Korea, the keepers of small businesses have continued to be a large occupational category despite of societal and economic changes, occupying approximately one fourth of the population in active work force. In spite of that, these people, their livelihoods and their cultural and social worlds have rarely been in the focus of social science inquiry. The ethnographic field research for this study was conducted during a 14-month period between November 1998 and December 1999 and in three subsequent short visits to Korea and to the research neighborhood. The fieldwork was conducted during the aftermath of the Asian currency crisis, colloquially termed at the time as the IMF crisis, which highlighted the social and cultural circumstances of small businesskeeper in a specific way. The livelihoods of small-scale entrepreneurs became even more precarious than before; self-employment became an involuntary choice for many middle-class salaried employees who were laid off; and the cultural categories and concepts of society and economy South Korean capitalism were articulated more sharply than before. This study begins with an overview of the contemporary setting, the Korean society under the socially and economically painful outcomes of the economic crisis, and continues with an overview of relevant literature. After introducing the research area and the informants, I discuss the Korean notion of neighborhood, which incorporates both the notions of culturally valued Koreanness and deficiency in the sense of modernity and development. This study further analyses the ways in which the businesskeepers appropriate and reproduce the Korean ideas of men s and women s gender roles and spheres of work. As the appropriation of children s labor is conditional to intergenerational family trajectories which aim not to reproduce parents occupational status but to gain entry to salaried occupations via educational credentials, the work of a married couple is the most common organization of work in small businesses, to which the Korean ideas of family and kin continuity are not applied. While the lack of generational businesskeeping succession suggests that the proprietors mainly subscribe to the notions of familial status that emanate from the practices of the white-collar middle class, the cases of certain women shopkeepers show that their proprietorship and the ensuing economic standing in the family prompts and invites inversed interpretations and uses of common cultural notions of gender. After discussing and analyzing the concept of money and the cultural categorization of leisure and work, topics that emerged as very significant in the lived world of the shopkeepers, this study charts and analyses the categories of identification which the shopkeepers employ for their cultural and social locations and identities. Particular attention is paid to the idea of ordinary people (seomin), which shopkeepers are commonly considered to be most representative of, and which also sums up the ambivalence of neighborhood shopkeepers as a social category: they are not committed to familial reproduction and continuity of the business but aspire non-entrepreneurial careers for their children, while they occupy a significant position in the elaborations of culturally valued notions and ideologies defining Koreanness such as warmheartedness and sociability.

Essays on the Modeling and Prediction of Volatility and Higher Moments of Stock Returns (summary section only)

One of the most fundamental and widely accepted ideas in finance is that investors are compensated through higher returns for taking on non-diversifiable risk. Hence the quantification, modeling and prediction of risk have been, and still are one of the most prolific research areas in financial economics. It was recognized early on that there are predictable patterns in the variance of speculative prices. Later research has shown that there may also be systematic variation in the skewness and kurtosis of financial returns. Lacking in the literature so far, is an out-of-sample forecast evaluation of the potential benefits of these new more complicated models with time-varying higher moments. Such an evaluation is the topic of this dissertation. Essay 1 investigates the forecast performance of the GARCH (1,1) model when estimated with 9 different error distributions on Standard and Poor’s 500 Index Future returns. By utilizing the theory of realized variance to construct an appropriate ex post measure of variance from intra-day data it is shown that allowing for a leptokurtic error distribution leads to significant improvements in variance forecasts compared to using the normal distribution. This result holds for daily, weekly as well as monthly forecast horizons. It is also found that allowing for skewness and time variation in the higher moments of the distribution does not further improve forecasts. In Essay 2, by using 20 years of daily Standard and Poor 500 index returns, it is found that density forecasts are much improved by allowing for constant excess kurtosis but not improved by allowing for skewness. By allowing the kurtosis and skewness to be time varying the density forecasts are not further improved but on the contrary made slightly worse. In Essay 3 a new model incorporating conditional variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously used NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor’s 500 returns. The results show that only the new model produces satisfactory VaR forecasts for both 1% and 5% VaR Taken together the results of the thesis show that kurtosis appears not to exhibit predictable time variation, whereas there is found some predictability in the skewness. However, the dynamic properties of the skewness are not completely captured by any of the models.

Intraday Dynamics of International Equity Markets

The increased availability of high frequency data sets have led to important new insights in understanding of financial markets. The use of high frequency data is interesting and persuasive, since it can reveal new information that cannot be seen in lower data aggregation. This dissertation explores some of the many important issues connected with the use, analysis and application of high frequency data. These include the effects of intraday seasonal, the behaviour of time varying volatility, the information content of various market data, and the issue of inter market linkages utilizing high frequency 5 minute observations from major European and the U.S stock indices, namely DAX30 of Germany, CAC40 of France, SMI of Switzerland, FTSE100 of the UK and SP500 of the U.S. The first essay in the dissertation shows that there are remarkable similarities in the intraday behaviour of conditional volatility across European equity markets. Moreover, the U.S macroeconomic news announcements have significant cross border effect on both, European equity returns and volatilities. The second essay reports substantial intraday return and volatility linkages across European stock indices of the UK and Germany. This relationship appears virtually unchanged by the presence or absence of the U.S stock market. However, the return correlation among the U.K and German markets rises significantly following the U.S stock market opening, which could largely be described as a contemporaneous effect. The third essay sheds light on market microstructure issues in which traders and market makers learn from watching market data, and it is this learning process that leads to price adjustments. This study concludes that trading volume plays an important role in explaining international return and volatility transmissions. The examination concerning asymmetry reveals that the impact of the positive volume changes is larger on foreign stock market volatility than the negative changes. The fourth and the final essay documents number of regularities in the pattern of intraday return volatility, trading volume and bid-ask spreads. This study also reports a contemporaneous and positive relationship between the intraday return volatility, bid ask spread and unexpected trading volume. These results verify the role of trading volume and bid ask quotes as proxies for information arrival in producing contemporaneous and subsequent intraday return volatility. Moreover, asymmetric effect of trading volume on conditional volatility is also confirmed. Overall, this dissertation explores the role of information in explaining the intraday return and volatility dynamics in international stock markets. The process through which the information is incorporated in stock prices is central to all information-based models. The intraday data facilitates the investigation that how information gets incorporated into security prices as a result of the trading behavior of informed and uninformed traders. Thus high frequency data appears critical in enhancing our understanding of intraday behavior of various stock markets’ variables as it has important implications for market participants, regulators and academic researchers.

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

Modeling Nonlinearities and Asymmetries in Asset Pricing

Financial time series tend to behave in a manner that is not directly drawn from a normal distribution. Asymmetries and nonlinearities are usually seen and these characteristics need to be taken into account. To make forecasts and predictions of future return and risk is rather complicated. The existing models for predicting risk are of help to a certain degree, but the complexity in financial time series data makes it difficult. The introduction of nonlinearities and asymmetries for the purpose of better models and forecasts regarding both mean and variance is supported by the essays in this dissertation. Linear and nonlinear models are consequently introduced in this dissertation. The advantages of nonlinear models are that they can take into account asymmetries. Asymmetric patterns usually mean that large negative returns appear more often than positive returns of the same magnitude. This goes hand in hand with the fact that negative returns are associated with higher risk than in the case where positive returns of the same magnitude are observed. The reason why these models are of high importance lies in the ability to make the best possible estimations and predictions of future returns and for predicting risk.

Perceived Value of Mobile Service Use and its Consequences

The thesis is positioned in the services marketing field. Previous mobile service research has identified perceived value or relative advantage as a stable predictor of use of services. However, a more detailed view of what customers value in mobile services is needed for marketing diverse types of mobile content and attracting committed customers. The direct relationships between multidimensional value and loyalty constructs have received limited attention in the previous literature, although a multidimensional view is needed for differentiating services. This thesis studies how perceived value of mobile service use affects customer commitment, repurchase intentions, word-of-mouth and willingness to pay. The doctoral thesis consists of three journal articles and one working paper. The four papers have different sub-aims and comprise individual empirical studies. Mixed methods including both personal interviews and survey data collected from end-users of different types of mobile content services are used. The conceptual mobile perceived value model that results from the first explorative empirical study supports a six- dimensional value view. The six dimensions are further categorized into two higher order constructs: content-related perceived value (emotional, social, convenience and monetary value) and context-related (epistemic and conditional value) perceived value. Structural equation modeling is used in the other three studies to validate this framework by analyzing the relationships between context- and content-related value, and how the individual perceived value dimensions affect commitment and behavioral outcomes. Analyzing the direct relationships revealed differences in the effect of perceived value dimensions between information and entertainment mobile service user groups, between effects on commitment, repurchase intentions and word-of-mouth intentions, as well as between effects on commitment to the provider and to the mobile channel as such. This thesis contributes to earlier perceived value literature by structuring the value dimensions into two groups. Most importantly, the thesis contributes to the value and loyalty literature by increasing understanding of how the different dimensions of perceived value directly affect commitment and post-purchase intentions. The results have implications for further theory development in the electronic services field using multidimensional latent constructs, and practical implications for enhancing commitment to content provider and for differentiated marketing strategies in the mobile field. The general conclusion of this thesis is that differentiated value-based marketing of mobile services is essential for attracting committed customers who will use the same providers’ content also in the future. Minna Pihlström is associated with the Centre for Relationship Marketing and Service Management (CERS) at Hanken.

An Empirical Comparison of Linear and Nonlinear Volatility Models for Nordic Stock Returns

This paper examines how volatility in financial markets can preferable be modeled. The examination investigates how good the models for the volatility, both linear and nonlinear, are in absorbing skewness and kurtosis. The examination is done on the Nordic stock markets, including Finland, Sweden, Norway and Denmark. Different linear and nonlinear models are applied, and the results indicates that a linear model can almost always be used for modeling the series under investigation, even though nonlinear models performs slightly better in some cases. These results indicate that the markets under study are exposed to asymmetric patterns only to a certain degree. Negative shocks generally have a more prominent effect on the markets, but these effects are not really strong. However, in terms of absorbing skewness and kurtosis, nonlinear models outperform linear ones.

The Influence of World Factors on Finnish Stock Market Volatility

This paper investigates to what extent the volatility of Finnish stock portfolios is transmitted through the "world volatility". We operationalize the volatility processes of Finnish leverage, industry, and size portfolio returns by asymmetric GARCH specifications according to Glosten et al. (1993). We use daily return data for January, 2, 1987 to December 30, 1998. We find that the world shock significantly enters the domestic models, and that the impact has increased over time. This applies also for the variance ratios, and the correlations to the world. The larger the firm, the larger is the world impact. The conditional variance is higher during recessions. The asymmetry parameter is surprisingly non-significant, and the leverage hypothesis cannot be verified. The return generating process of the domestic portfolio returns does usually not include the world information set, thus indicating that the returns are generated by a segmented conditional asset pricing model.

Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

Intraday Seasonalities and Macroeconomic News Announcements

Using a data set consisting of three years of 5-minute intraday stock index returns for major European stock indices and U.S. macroeconomic surprises, the conditional mean and volatility behaviors in European market were investigated. The findings suggested that the opening of the U.S market significantly raised the level of volatility in Europe, and that all markets respond in an identical fashion. Furthermore, the U.S. macroeconomic surprises exerted an immediate and major impact on both European stock markets’ returns and volatilities. Thus, high frequency data appear to be critical for the identification of news that impacted the markets.

An Empirical Study of the Mixture of Time and Movements in Prices

This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market.