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.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Does Uncertainty Affect Investment and Labor Demand?

This paper analyzes the effect of uncertainty on investment and labor demand for Finnish firms during the time period 1987 – 2000. Utilizing a stock return based measure of uncertainty decomposed into systematic and idiosyncratic components, the results reveal that idiosyncratic uncertainty significantly reduces both investment and labor demand. Idiosyncratic uncertainty seems to influence investment in the current period, whereas the depressing effect on labor demand appears with a one-year lag. The results provide support that the depressing effect of idiosyncratic uncertainty on investment is stronger for small firms in comparison to large firms. Some evidence is reported regarding differential effects of uncertainty on labor demand conditional on firm characteristics. Most importantly, the depressing effect of lagged idiosyncratic uncertainty on labor demand tends to be stronger for diversified firms compared with focused firms.

Markov random fields and spatial smoothing in improving of forest inventory estimates

Markov random fields (MRF) are popular in image processing applications to describe spatial dependencies between image units. Here, we take a look at the theory and the models of MRFs with an application to improve forest inventory estimates. Typically, autocorrelation between study units is a nuisance in statistical inference, but we take an advantage of the dependencies to smooth noisy measurements by borrowing information from the neighbouring units. We build a stochastic spatial model, which we estimate with a Markov chain Monte Carlo simulation method. The smooth values are validated against another data set increasing our confidence that the estimates are more accurate than the originals.

Local systems, global impacts : Using life cycle assessment to analyse the potential and constraints of industrial symbioses

Human activities extract and displace different substances and materials from the earth s crust, thus causing various environmental problems, such as climate change, acidification and eutrophication. As problems have become more complicated, more holistic measures that consider the origins and sources of pollutants have been called for. Industrial ecology is a field of science that forms a comprehensive framework for studying the interactions between the modern technological society and the environment. Industrial ecology considers humans and their technologies to be part of the natural environment, not separate from it. Industrial operations form natural systems that must also function as such within the constraints set by the biosphere. Industrial symbiosis (IS) is a central concept of industrial ecology. Industrial symbiosis studies look at the physical flows of materials and energy in local industrial systems. In an ideal IS, waste material and energy are exchanged by the actors of the system, thereby reducing the consumption of virgin material and energy inputs and the generation of waste and emissions. Companies are seen as part of the chains of suppliers and consumers that resemble those of natural ecosystems. The aim of this study was to analyse the environmental performance of an industrial symbiosis based on pulp and paper production, taking into account life cycle impacts as well. Life Cycle Assessment (LCA) is a tool for quantitatively and systematically evaluating the environmental aspects of a product, technology or service throughout its whole life cycle. Moreover, the Natural Step Sustainability Principles formed a conceptual framework for assessing the environmental performance of the case study symbiosis (Paper I). The environmental performance of the case study symbiosis was compared to four counterfactual reference scenarios in which the actors of the symbiosis operated on their own. The research methods used were process-based life cycle assessment (LCA) (Papers II and III) and hybrid LCA, which combines both process and input-output LCA (Paper IV). The results showed that the environmental impacts caused by the extraction and processing of the materials and the energy used by the symbiosis were considerable. If only the direct emissions and resource use of the symbiosis had been considered, less than half of the total environmental impacts of the system would have been taken into account. When the results were compared with the counterfactual reference scenarios, the net environmental impacts of the symbiosis were smaller than those of the reference scenarios. The reduction in environmental impacts was mainly due to changes in the way energy was produced. However, the results are sensitive to the way the reference scenarios are defined. LCA is a useful tool for assessing the overall environmental performance of industrial symbioses. It is recommended that in addition to the direct effects, the upstream impacts should be taken into account as well when assessing the environmental performance of industrial symbioses. Industrial symbiosis should be seen as part of the process of improving the environmental performance of a system. In some cases, it may be more efficient, from an environmental point of view, to focus on supply chain management instead.  

GATA Factors Regulate Inner Ear Development and Midbrain Neurogenesis

The zinc-finger transcription factors GATA2 and GATA3 in vertebrates belong to the six-member family that are essential regulators in the development of various organs. The aim of this study was to gain new information of the roles of GATA2 and GATA3 in inner ear morphogenesis and of the function of GATA2 in neuronal fate specification in the midbrain using genetically modified mouse and chicken embryos as models. A century ago the stepwise process of inner ear epithelial morphogenesis was described, but the molecular players regulating the cellular differentiation of the otic epithelium are still not fully resolved. This study provided novel data on GATA factor roles in several developmental processes during otic development. The expression analysis in chicken suggested that GATA2 and GATA3 possess redundant roles during otic cup and vesicle formation, but complementary cell-type specific functions during vestibular and cochlear morphogenesis. The comparative analysis between mouse and chicken Gata2 and Gata3 expression revealed many conserved aspects, especially during later stages of inner ear development, while the expression was more divergent at early stages. Namely, expression of both Gata genes was initiated earlier in chicken than mouse otic epithelium relative to the morphogenetic stages. Likewise, important differences concerning Gata3 expression in the otic cup epithelium were detected between mouse and chicken, suggesting that distinct molecular mechanisms regulate otic vesicle closure in different vertebrate species. Temporally distinct Gata2 and Gata3 expression was also found during otic ganglion formation in mouse and chicken. Targeted inactivation of Gata3 in mouse embryos caused aberrant morphology of the otic vesicle that in severe cases was disrupted into two parts, a dorsal and a ventral vesicle. Detailed analyses of Gata3 mutant embryos unveiled a crucial role for GATA3 in the initial inner ear morphogenetic event, the invagination of the otic placode. A large-scale comparative expression analysis suggested that GATA3 could control cell adhesion and motility in otic epithelium, which could be important for early morphogenesis. GATA3 was also identified as the first factor to directly regulate Fgf10 expression in the otic epithelium and could thus influence the development of the semicircular ducts. Despite the serious problems in the early inner ear development, the otic sensory fate establishment and some vestibular hair cell differentiation was observable in pharmacologically rescued Gata3-/- embryos. Cochlear sensory differentiation was, however, completely blocked so that no auditory hair cells were detected. In contrast to the early morphogenetic phenotype in Gata3-/- mutants, conditional inactivation of Gata2 in mouse embryos resulted in a relatively late growth defect of the three semicircular ducts. GATA2 was required for the proliferation of the vestibular nonsensory epithelium to support growing of the three ducts. Concurrently, with the role in epithelial semicircular ducts, GATA2 was also required for the mesenchymal cell clearance from the vestibular perilymphatic region between the membranous labyrinth and bony capsule. The gamma-aminobutyric acid-secreting (GABAergic) neurons in the midbrain are clinically relevant since they contribute to fear, anxiety, and addiction regulation. The molecular mechanisms regulating the GABAergic neuronal development, however, are largely unknown. Using tissue-specific mutagenesis in mice, GATA2 was characterized as a critical determinant of the GABAergic neuronal fate in the midbrain. In Gata2-deficient mouse midbrain, GABAergic neurons were not produced, instead the Gata2-mutant cells acquired a glutamatergic neuronal phenotype. Gain-of-function experiments in chicken also revealed that GATA2 was sufficient to induce GABAergic differentiation in the midbrain.