Analysis of outliers in electricity spot prices with exampleof New England and New Zealand markets

Electricity spot prices have always been a demanding data set for time series analysis, mostly because of the non-storability of electricity. This feature, making electric power unlike the other commodities, causes outstanding price spikes. Moreover, the last several years in financial world seem to show that ’spiky’ behaviour of time series is no longer an exception, but rather a regular phenomenon. The purpose of this paper is to seek patterns and relations within electricity price outliers and verify how they affect the overall statistics of the data. For the study techniques like classical Box-Jenkins approach, series DFT smoothing and GARCH models are used. The results obtained for two geographically different price series show that patterns in outliers’ occurrence are not straightforward. Additionally, there seems to be no rule that would predict the appearance of a spike from volatility, while the reverse effect is quite prominent. It is concluded that spikes cannot be predicted based only on the price series; probably some geographical and meteorological variables need to be included in modeling.

Time-varying Risk Premiums and Conditional Market Risk: Empirical Evidence from European Stock Markets

This study investigates the relationship between the time-varying risk premiums and conditional market risk in the stock markets of the ten member countries of Economy and Monetary Union. Second, it examines whether the conditional second moments change over time and are there asymmetric effects in the conditional covariance matrix. Third, it analyzes the possible effects of the chosen testing framework. Empirical analysis is conducted using asymmetric univariate and multivariate GARCH-in-mean models and assuming three different degrees of market integration. For a daily sample period from 1999 to 2007, the study shows that the time-varying market risk alone is not enough to explain the dynamics of risk premiums and indications are found that the market risk is detected only when its price is allowed to change over time. Also asymmetric effects in the conditional covariance matrix, which is found to be time-varying, are clearly present and should be recognized in empirical asset pricing analyses.

Tests of International Asset Pricing Models in Scandinavian Stock Markets

This thesis examines whether global, local and exchange risks are priced in Scandinavian countries’ equity markets by using conditional international asset pricing models. The employed international asset pricing models are the world capital asset pricing model, the international asset pricing model augmented with the currency risk, and the partially segmented model augmented with the currency risk. Moreover, this research traces estimated equity risk premiums for the Scandinavian countries. The empirical part of the study is performed using generalized method of moments approach. Monthly observations from February 1994 to June 2007 are used. Investors’ conditional expectations are modeled using several instrumental variables. In order to keep system parsimonious the prices of risk are assumed to be constant whereas expected returns and conditional covariances vary over time. The empirical findings of this thesis suggest that the prices of global and local market risk are priced in the Scandinavian countries. This indicates that the Scandinavian countries are mildly segmented from the global markets. Furthermore, the results show that the exchange risk is priced in the Danish and Swedish stock markets when the partially segmented model is augmented with the currency risk factor.

On performance persistence in emerging markets: Empirical evidence from Asia-Pacific

The purpose of this study is to investigate the performance persistence of international mutual funds, employing a data sample which includes 2,168 European mutual funds investing in Asia-Pacific region; Japan excluded. Also, a number of performance measures is tested and compared, and especially, this study tries to find out whether iterative Bayesian procedure can be used to provide more accurate predictions on future performance. Finally, this study examines whether the cross-section of mutual fund returns can be explained with simple accounting variables and market risk. To exclude the effect of the Asian currency crisis in 1997, the studied time period includes years from 1999 to 2007. The overall results showed significant performance persistence for repeating winners when performance was tested with contingency tables. Also the annualized alpha spreads between the top and bottom portfolios were more than ten percent at their highest. Nevertheless, the results do not confirm the improved prediction accuracy of the Bayesian alphas.

Wood pellet markets in Russia

Bioenergy came to Russia through wood pellets. On account of prevalence of oil and gas in the Russian economy «bioenergy» has come with a great delay. Certainly, there were many woodworking enterprises and even municipal boiler-houses using wood waste and fire wood for energy reception, but this activity was not purposeful. More likely it was connected with necessity of waste recycling and with the organization of heat supply in the remote areas of the country. However, in 2001 was founded the first pellet plant in Russia. The purpose of this work was to analyze wood pellets market in Russia, investigate current situation on the home and export market, evaluates supply and demand development, opportunities for wood pellets manufactures in Russia, the main manufactures in Russian market; cost and prices for wood pellets in Russia. Also the work was intended to give better understanding of the main problems of wood pellets industry in Russia. Besides, this work had updated information about Russian customs and logistic systems.

The Market Behavior of Emerging Stock Markets in Europe

This study investigates the over and underreaction effects in nine emerging stock markets of Europe. Especially, the possible behavioral aspects behind them are an area of interest. These aspects would link them strongly to behavioral finance. Second, our aim is to provide more evidence of the similar or dissimilar behavior in general among these countries. Third, the possibility to gain abnormal returns from these markets is also under investigation. Data from nine emerging stock market indexes in Europe is gathered from January 1, 1998 to January 1, 2008 to find answers to the stated questions. Studies for the over and underreaction effects are done using a variant of the event study methodology which in this case includes two different calculation methods for the expected returns. Studies are performed using 60 day time intervals. The results between the two different methods used are relatively similar concerning the over and underreaction effects. Another of the methods, however, suggests there to be behavioral aspects behind the effects interpreted. On the other hand, the another method does not support this suggestion. However, a conclusion can be made that the factors driving these countries' behavior are related to their geographical location and to the fact that they are emerging countries.

Testing the Random Walk Hypothesis on the Baltic Stock Markets

The purpose of the thesis is to analyze whether the returns of general stock market indices of Estonia, Latvia and Lithuania follow the random walk hypothesis (RWH), and in addition, whether they are consistent with the weak-form efficiency criterion. Also the existence of the day-of-the-week anomaly is examined in the same regional markets. The data consists of daily closing quotes of the OMX Tallinn, Riga and Vilnius total return indices for the sample period from January 3, 2000 to August 28, 2009. Moreover, the full sample period is also divided into two sub-periods. The RWH is tested by applying three quantitative methods (i.e. the Augmented Dickey-Fuller unit root test, serial correlation test and non-parametric runs test). Ordinary Least Squares (OLS) regression with dummy variables is employed to detect the day-of-the-week anomalies. The random walk hypothesis (RWH) is rejected in the Estonian and Lithuanian stock markets. The Latvian stock market exhibits more efficient behaviour, although some evidence of inefficiency is also found, mostly during the first sub-period from 2000 to 2004. Day-of-the-week anomalies are detected on every stock market examined, though no longer during the later sub-period.

Applications and Markets of Linear Motors

A steady increase in practical industrial applications has secured a place for linear motors. They provide high dynamics and high positioning accuracy of the motor, high reliability and durability of all components of the system. Machines with linear motors have very big perspectives in modern industry. This thesis enables to understand what a linear motor is, where they are used and what situation there is on their market nowadays. It can help to understand reasonability of applying linear motors on manufacture and benefits of its application.

Country Risk and Market Reactions to Earnings Announcements: Evidence from Finnish Stock Markets

The objective of this thesis is to examine the market reaction around earnings announcements in Finnish stock markets. The aim is to find out whether the extreme market conditions during the financial crisis are reflected in stock prices as a stronger reaction. In addition to this, the purpose is to investigate how extensively Finnish listed companies report the country segmentation of revenues in their interim reports and whether the country risk is having a significant impact on perceived market reaction. The sample covers all companies listed in Helsinki stock exchange at 1.1.2010 and these companies’ interim reports from the first quarter of 2008 to last quarter of 2009. Final sample consists of 81 companies and 630 firm-quarter observations. The data sample has been divided in two parts, of which country risk sample contains 17 companies and 127 observations and comparison sample covers 66 companies and 503 observations. Research methodologies applied in this thesis are event study and cross-sectional regression analysis. Empirical results indicate that the market reaction occurs mainly during the announcement day and is slightly stronger in case of positive earnings surprises than the reactions observed in previous studies. In case of negative earnings surprises no significant differences can be observed. In case of country risk sample and negative earnings surprise market reaction is negative already in advance of the disclosure contrary to comparison sample. In case of positive surprise no differences can be observed. Country risk variable developed during this study seems to explain only minor part of the market reaction.