The expiration day effect of indexoptions and index futures on the underlying shares

This paper studies the effect of the expiration day of index options and futures on the trading volume, variance and price of the underlying shares. The data consists of all trades for the underlying shares in the FOX-index for expiration days during the period October 1995 to the mid of yer 1999. The main results seem to support the findings of Kan 2001, i.e. no manipulation on a larger scale. However, some indication of manipulation could be found if certain characteristics are favorable. These characteristics include: a) a large quantity of outstanding futures or at/in the money options contracts, b) there exists shares with high index weight but fairly low trading volume. Lastly, there is some indication that manipulation might be more popular towards the end of the examined time period.

Remote sensing of leaf area index: enhanced retrieval from close-range and remotely sensed optical observations

A wide range of models used in agriculture, ecology, carbon cycling, climate and other related studies require information on the amount of leaf material present in a given environment to correctly represent radiation, heat, momentum, water, and various gas exchanges with the overlying atmosphere or the underlying soil. Leaf area index (LAI) thus often features as a critical land surface variable in parameterisations of global and regional climate models, e.g., radiation uptake, precipitation interception, energy conversion, gas exchange and momentum, as all areas are substantially determined by the vegetation surface. Optical wavelengths of remote sensing are the common electromagnetic regions used for LAI estimations and generally for vegetation studies. The main purpose of this dissertation was to enhance the determination of LAI using close-range remote sensing (hemispherical photography), airborne remote sensing (high resolution colour and colour infrared imagery), and satellite remote sensing (high resolution SPOT 5 HRG imagery) optical observations. The commonly used light extinction models are applied at all levels of optical observations. For the sake of comparative analysis, LAI was further determined using statistical relationships between spectral vegetation index (SVI) and ground based LAI. The study areas of this dissertation focus on two regions, one located in Taita Hills, South-East Kenya characterised by tropical cloud forest and exotic plantations, and the other in Gatineau Park, Southern Quebec, Canada dominated by temperate hardwood forest. The sampling procedure of sky map of gap fraction and size from hemispherical photographs was proven to be one of the most crucial steps in the accurate determination of LAI. LAI and clumping index estimates were significantly affected by the variation of the size of sky segments for given zenith angle ranges. On sloping ground, gap fraction and size distributions present strong upslope/downslope asymmetry of foliage elements, and thus the correction and the sensitivity analysis for both LAI and clumping index computations were demonstrated. Several SVIs can be used for LAI mapping using empirical regression analysis provided that the sensitivities of SVIs at varying ranges of LAI are large enough. Large scale LAI inversion algorithms were demonstrated and were proven to be a considerably efficient alternative approach for LAI mapping. LAI can be estimated nonparametrically from the information contained solely in the remotely sensed dataset given that the upper-end (saturated SVI) value is accurately determined. However, further study is still required to devise a methodology as well as instrumentation to retrieve on-ground green leaf area index . Subsequently, the large scale LAI inversion algorithms presented in this work can be precisely validated. Finally, based on literature review and this dissertation, potential future research prospects and directions were recommended.

Acceleration of the Cosmological Expansion as an Effect of Inhomogeneities

The cosmological observations of light from type Ia supernovae, the cosmic microwave background and the galaxy distribution seem to indicate that the expansion of the universe has accelerated during the latter half of its age. Within standard cosmology, this is ascribed to dark energy, a uniform fluid with large negative pressure that gives rise to repulsive gravity but also entails serious theoretical problems. Understanding the physical origin of the perceived accelerated expansion has been described as one of the greatest challenges in theoretical physics today. In this thesis, we discuss the possibility that, instead of dark energy, the acceleration would be caused by an effect of the nonlinear structure formation on light, ignored in the standard cosmology. A physical interpretation of the effect goes as follows: due to the clustering of the initially smooth matter with time as filaments of opaque galaxies, the regions where the detectable light travels get emptier and emptier relative to the average. As the developing voids begin to expand the faster the lower their matter density becomes, the expansion can then accelerate along our line of sight without local acceleration, potentially obviating the need for the mysterious dark energy. In addition to offering a natural physical interpretation to the acceleration, we have further shown that an inhomogeneous model is able to match the main cosmological observations without dark energy, resulting in a concordant picture of the universe with 90% dark matter, 10% baryonic matter and 15 billion years as the age of the universe. The model also provides a smart solution to the coincidence problem: if induced by the voids, the onset of the perceived acceleration naturally coincides with the formation of the voids. Additional future tests include quantitative predictions for angular deviations and a theoretical derivation of the model to reduce the required phenomenology. A spin-off of the research is a physical classification of the cosmic inhomogeneities according to how they could induce accelerated expansion along our line of sight. We have identified three physically distinct mechanisms: global acceleration due to spatial variations in the expansion rate, faster local expansion rate due to a large local void and biased light propagation through voids that expand faster than the average. A general conclusion is that the physical properties crucial to account for the perceived acceleration are the growth of the inhomogeneities and the inhomogeneities in the expansion rate. The existence of these properties in the real universe is supported by both observational data and theoretical calculations. However, better data and more sophisticated theoretical models are required to vindicate or disprove the conjecture that the inhomogeneities are responsible for the acceleration.

Short-term Price Behavior and the Effect of Foreign Investors in Finnish Equity Markets (summary section only)

As globalization and capital free movement has increased, so has interest in the effects of that global money flow, especially during financial crises. The concern has been that large global money flows will affect the pricing of small local markets by causing, in particular, overreaction. The purpose of this thesis is to contribute to the body of work concerning short-term under- and overreaction and the short-term effects of foreign investment flow in the small Finnish equity markets. This thesis also compares foreign execution return to domestic execution return. This study’s results indicate that short-term under- and overreaction occurs in domestic-buy portfolios (domestic net buying) rather than in foreign-buy portfolios. This under- and overreaction, however, is not economically meaningful after controlling for the bid-ask bounce effect. Based on this finding, one can conclude that foreign investors do not have a destabilizing effect in the short-term in the Finnish markets. Foreign activity affects short-term returns. When foreign investors are net buyers (sellers) there are positive (negative) market adjusted returns. Literature related to nationality and institutional effect leads us to expect these kind of results. These foreign flows are persistent at a 5 % to 21 % level and the persistence of foreign buy flow is higher than the foreign sell flow. Foreign daily trading execution is worse than domestic execution. Literature which quantifies foreign investors as liquidity demanders and literature related to front-running leads us to expect poorer foreign execution than domestic execution.

The Effect of Obesity on Wages and Employment: The Difference Between Having a High BMI and Being Fat

In this paper, we re-examine the relationship between overweight and labour market success, using indicators of individual body composition along with BMI (Body Mass Index). We use the dataset from Finland in which weight, height, fat mass and waist circumference are not self-reported, but obtained as part of the overall health examination. We find that waist circumference, but not weight or fat mass, has a negative effect on wages for women, whereas all measures of obesity have negative effects on women’s employment probabilities. For men, the only obesity measure that is significant for men’s employment probabilities is fat mass. One interpretation of our findings is that the negative wage effects of overweight on wages run through the discrimination channel, but that the negative effects of overweight on employment have more to do with ill health. All in all, measures of body composition provide a more refined picture about the effects of obesity on wages and employment.

The Physical Strenuousness of Work is Slightly Associated with an Upward Trend in the Body Mass Index

This paper explores the relationship between the physical strenuousness of work and the body mass index in Finland, using individual microdata over the period 1972-2002. The data contain self-reported information about the physical strenuousness of a respondent’s current occupation. Our estimates show that the changes in the physical strenuousness of work can explain around 8% at most of the definite increase in BMI observed over the period. The main reason for this appears to be that the quantitative magnitude of the effect of the physical strenuousness of work on BMI is rather moderate. Hence, according to the point estimates, BMI is only around 1.5% lower when one’s current occupation is physically very demanding and involves lifting and carrying heavy objects compared with sedentary job (reference group of the estimations), other things being equal. Accordingly, the changes in eating habits and the amount of physical activity during leisure time must be the most important contributors to the upward trend in BMI in industrialised countries, but not the changes in the labour market structure.

Antarctic ice shelf melting and its impact on the global sea ice-ocean system

Earth s ice shelves are mainly located in Antarctica. They cover about 44% of the Antarctic coastline and are a salient feature of the continent. Antarctic ice shelf melting (AISM) removes heat from and inputs freshwater into the adjacent Southern Ocean. Although playing an important role in the global climate, AISM is one of the most important components currently absent in the IPCC climate model. In this study, AISM is introduced into a global sea ice-ocean climate model ORCA2-LIM, following the approach of Beckmann and Goosse (2003; BG03) for the thermodynamic interaction between the ice shelf and ocean. This forms the model ORCA2-LIM-ISP (ISP: ice shelf parameterization), in which not only all the major Antarctic ice shelves but also a number of minor ice shelves are included. Using these two models, ORCA2-LIM and ORCA2-LIM-ISP, the impact of addition of AISM and increasing AISM have been investigated. Using the ORCA2-LIM model, numerical experiments are performed to investigate the sensitivity of the polar sea ice cover and the Antarctic Circumpolar Current (ACC) transport through Drake Passage (DP) to the variations of three sea ice parameters, namely the thickness of newly formed ice in leads (h0), the compressive strength of ice (P*), and the turning angle in the oceanic boundary layer beneath sea ice (θ). It is found that the magnitudes of h0 and P* have little impact on the seasonal sea ice extent, but lead to large changes in the seasonal sea ice volume. The variation in turning angle has little impact on the sea ice extent and volume in the Arctic but tends to reduce them in the Antarctica when ignored. The magnitude of P* has the least impact on the DP transport, while the other two parameters have much larger influences. Numerical results from ORCA2-LIM and ORCA2-LIM-ISP are analyzed to investigate how the inclusion of AISM affects the representation of the Southern Ocean hydrography. Comparisons with data from the World Ocean Circulation Experiment (WOCE) show that the addition of AISM significantly improves the simulated hydrography. It not only warms and freshens the originally too cold and too saline bottom water (AABW), but also warms and enriches the salinity of the originally too cold and too fresh warm deep water (WDW). Addition of AISM also improves the simulated stratification. The close agreement between the simulation with AISM and the observations suggests that the applied parameterization is an adequate way to include the effect of AISM in a global sea ice-ocean climate model. We also investigate the models capability to represent the sea ice-ocean system in the North Atlantic Ocean and the Arctic regions. Our study shows both models (with and without AISM) can successfully reproduce the main features of the sea ice-ocean system. However, both tend to overestimate the ice flux through the Nares Strait, produce a lower temperature and salinity in the Hudson Bay, Baffin Bay and Davis Strait, and miss the deep convection in the Labrador Sea. These deficiencies are mainly attributed to the artificial enlargement of the Nares Strait in the model. In this study, the impact of increasing AISM on the global sea ice-ocean system is thoroughly investigated. This provides a first idea regarding changes induced by increasing AISM. It is shown that the impact of increasing AISM is global and most significant in the Southern Ocean. There, increasing AISM tends to freshen the surface water, to warm the intermediate and deep waters, and to freshen and warm the bottom water. In addition, increasing AISM also leads to changes in the mixed layer depths (MLD) in the deep convection sites in the Southern Ocean, deepening in the Antarctic continental shelf while shoaling in the ACC region. Furthermore, increasing AISM influences the current system in the Southern Ocean. It tends to weaken the ACC, and strengthen the Antarctic coastal current (ACoC) as well as the Weddell Gyre and the Ross Gyre. In addition to the ocean system, increasing AISM also has a notable impact on the Antarctic sea ice cover. Due to the cooling of seawater, sea ice concentration and thickness generally become higher. In austral winter, noticeable increases in sea ice concentration mainly take place near the ice edge. In regards with sea ice thickness, large increases are mainly found along the coast of the Weddell Sea, the Bellingshausen and Amundsen Seas, and the Ross Sea. The overall thickening of sea ice leads to a larger volume of sea ice in Antarctica. In the North Atlantic, increasing AISM leads to remarkable changes in temperature, salinity and density. The water generally becomes warmer, more saline and denser. The most significant warming occurs in the subsurface layer. In contrast, the maximum salinity increase is found at the surface. In addition, the MLD becomes larger along the Greenland-Scotland-Iceland ridge. Global teleconnections due to AISM are studied. The AISM signal is transported with the surface current: the additional freshwater from AISM tends to enhance the northward spreading of the surface water. As a result, more warm and saline water is transported from the tropical region to the North Atlantic Ocean, resulting in warming and salt enrichment there. It would take about 30 40 years to establish a systematic noticeable change in temperature, salinity and MLD in the North Atlantic Ocean according to this study. The changes in hydrography due to increasing AISM are compared with observations. Consistency suggests that increasing AISM is highly likely a major contributor to the recent observed changes in the Southern Ocean. In addition, the AISM might contribute to the salinity contrast between the North Atlantic and North Pacific, which is important for the global thermohaline circulation.