Interdependence of Emerging Eastern European stock markets

One of the main developments in the global economy during the past decades has been the growth of emerging economies. Projections for their long-term growth, changes in the investment climate, corporate transparency and demography point to an increasing role for these emerging economies in the global economy. Today, emerging economies are usually considered as financial markets offering opportunities for high returns, good risk diversification and improved return-to-risk ratios. However, researchers have noted that these advantages may be in decline because of the increasing market integration. Nevertheless, it is likely that certain financial markets and specific sectors will remain partially segmented and somewhat insulated from the global economy for the year to come. This doctoral dissertation investigates several stock markets in Emerging Eastern Europe (EEE), including the ones in Russia, Poland, Hungary, the Czech Republic, Bulgaria and Slovenia. The objective is to analyze the returns and financial risks in these emerging markets from international investor’s point of view. This study also examines the segmentation/integration of these financial markets and the possibilities to diversify and hedge financial risk. The dissertation is divided into two parts. The first includes a review of the theoretical background for the articles and a review of the literature on EEE stock markets. It includes an overview of the methodology and research design applied in the analysis and a summary of articles from the second part of this dissertation and their main findings. The second part consists of four research publications. This work contributes to studies on emerging stock markets in four ways. First, it adds to the body of research on the pricing of risk, providing new empirical evidence about partial stock market segmentation in EEE. The results suggest that the aggregate emerging market risk is a relevant driver for stock market returns and that this market risk can be used to price financial instruments and forecast their performance. Second, it contributes to the empirical research on the integration of stock markets, asset prices and exchange rates by identifying the relationships between these markets through volatility and asset pricing. The results show that certain sectors of stock markets in EEE are not as integrated as others. For example, the Polish consumer goods sector, the Hungarian telecommunications sector, and the Czech financial sector are somewhat isolated from their counterparts elsewhere in Europe. Nevertheless, an analysis of the impact of EU accession in 2004 on stock markets suggests that most of the EEE markets are becoming increasingly integrated with the global markets. Third, this thesis complements the scientific literature in the field of shock and volatility spillovers by examining the mechanism of spillover distribution among the EU and EEE countries. The results illustrate that spillovers in emerging markets are mostly from a foreign exchange to the stock markets. Moreover, the results show that the effects of external shocks on stock markets have increased after the enlargement of the EU in 2004. Finally, this study is unique because it analyzes the effects of foreign macroeconomic news on geographically closely related countries. The results suggest that the effects of macroeconomic announcements on volatility are significant and have effect that varies across markets and their sectors. Moreover, the results show that the foreign macroeconomic news releases, somewhat surprisingly, have a greater effect on the EEE markets than the local macroeconomic news. This dissertation has a number of implications for the industry and for practitioners. It analyses financial risk associated with investing in Emerging Eastern Europe. Investors may use this information to construct and optimize investment portfolios. Moreover, this dissertation provides insights for investors and portfolio managers considering asset allocation to protect value or obtain higher returns. The results have also implications for asset pricing and portfolio selection in light of macroeconomic news releases.

From network pictures to network insight in solution business – the role of internal communication

Operating in business-to-business markets requires an in-depth understanding on business networks. Actions and reactions made to compete in markets are fundamentally based on managers‘ subjective perceptions of the network. However, an amalgamation of these individual perceptions, termed a network picture, to a common company level shared understanding on that network, known as network insight, is found to be a substantial challenge for companies. A company‘s capability to enhance common network insight is even argued to lead competitive advantage. Especially companies with value creating logics that require wide comprehension of and collaborating in networks, such as solution business, are necessitated to develop advanced network insight. According to the extant literature, dispersed pieces of atomized network pictures can be unified to a common network insight through a process of amalgamation that comprises barriers/drivers of multilateral exchange, manifold rationality, and recursive time. However, the extant body of literature appears to lack an understanding on the role of internal communication in the development of network insight. Nonetheless, the extant understanding on the amalgamation process indicates that internal communication plays a substantial role in the development of company level network insight. The purpose of the present thesis is to enhance understanding on internal communication in the amalgamation of network pictures to develop network insight in the solution business setting, which was chosen to represent business-to-business value creating logic that emphasizes the capability to understand and utilize networks. Thus, in solution business the role of succeeding in the amalgamation process is expected to emphasize. The study combines qualitative and quantitative research by means of various analytical methods including multiple case analysis, simulation, and social network analysis. Approaching the nascent research topic with differing perspectives and means provides a broader insight on the phenomenon. The study provides empirical evidence from Finnish business-to-business companies which operate globally. The empirical data comprise interviews (n=28) with managers of three case companies. In addition the data includes a questionnaire (n=23) collected mainly for the purpose of social network analysis. In addition, the thesis includes a simulation study more specifically achieved by means of agent based modeling. The findings of the thesis shed light on the role of internal communication in the amalgamation process, contributing to the emergent discussion of network insights and thus to the industrial marketing research. In addition, the thesis increases understanding on internal communication in the change process to solution business, a supplier‘s internal communication in its matrix organization structure during a project sales process, key barriers and drivers that influence internal communication in project sales networks, perceived power within industrial project sales, and the revisioning of network pictures. According to the findings, internal communication is found to play a substantial role in the amalgamation process. First, it is suggested that internal communication is a base of multilateral exchange. Second, it is suggested that internal communication intensifies and maintains manifold rationality. Third, internal communication is needed to explicate the usually differing time perspectives of others and thus it is suggested that internal communication has role as the explicator of recursive time. Furthermore, the role of an efficient amalgamation process is found to be emphasized in solutions business as it requires a more advanced network insight for cross-functional collaboration. Finally, the thesis offers several managerial implications for industrial suppliers to enhance the amalgamation process when operating in solution business.

Sovereign Credit Rating Announcements and Equity Market Response: Evidence from the European Markets

This thesis examines the equity market reactions on credit rating announcements. The study covers 12 European countries during the period of 2000-2012. By using an event study methodology and daily collected stock market returns, the impact of the sovereign credit rating announcements to national stock indices is examined. The thesis finds evidence for the rating downgrades having a statistically significant negative effect on the stock markets. This finding is in line with earlier literature (see Brooks, 2004). The paper also discusses whether the changes in the sovereign credit ratings are contagious, anticipated by the market, and persistent. There is some evidence found for the contagion effects in case of downgrades, but not for upgrades. Markets seem to anticipate rating upgrades, but not downgrades. In addition, market´s reaction towards rating announcements seems not to be persistent.

The Use of Systematic Value Strategies in Separating the Winners from the Losers: Evidence from the Finnish Markets

This study examines the Magic Formula and ERP5 value strategies in the Finnish stocks markets. Magic Formula ranks stocks based on EV/EBIT and ROA and ERP5 based on EV/EBIT, ROA, P/B and five-year trailing ROA. The purpose of the study is to examine whether the value strategies can be used to generate excess returns over the market index. The data has been collected from the Datastream database for the sample period from May 1997 to May 2010 and consists of the companies listed on the main list of Helsinki Stock Exchange. This study confirms the findings of previous research that value premium exists in the Finnish stock markets and that systematic value strategies can be used to form portfolios that outperform the market index with lower volatility.

The Impact of European Macroeconomic News Announcements on CIVETS Stock Markets

The purpose of this research is to investigate how CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa) stock markets are integrated with Europe as measured by the impact of euro area (EA) scheduled macroeconomic news announcements, which are related to macroeconomic indicators that are commonly used to indicate the direction of the economy. Macroeconomic announcements used in this study can be divided into four categories; (1) prices, (2) real economy, (3) money supply and (4) business climate and consumer confidence. The data set consists of daily market data from CIVETS and scheduled macroeconomic announcements from the EA for the years 2007-2012. The econometric model used in this research is Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH). Empirical results show diverse impacts of macroeconomic news releases and surprises for different categories of news supporting the perception of heterogeneity among CIVETS. The analyses revealed that in general EA macroeconomic news releases and surprises affect stock market volatility in CIVETS and only in some cases asset pricing. In conclusion, all CIVETS stock markets reacted to the incoming EA macroeconomic news suggesting market integration to some extent. Thus, EA should be considered as a possible risk factor when investing in CIVETS.

Customer Segmentation in Industrial Markets - CASE: Labelstock Company

The aim of this thesis is to study segmentation in industrial markets and develop a segmenting method proposal and criteria case study for a labelstock manufacturing company. An industrial company is facing many different customers with varying needs. Market segmentation is a process for dividing a market into smaller groups in which customers have the same or similar needs. Segmentation gives tools to the marketer to better match the product or service more closely to the needs of the target market. In this thesis a segmentation tool proposal and segmenting criteria is case studied for labelstock company’s Europe, Middle East and Africa business area customers and market. In the developed matrix tool different customers are planned to be evaluated based on customer characteristic variables. The criteria for the evaluating matrix are based on the customer’s buying organizations characteristics and buying behaviour. There are altogether 13 variables in the evaluating matrix. As an example of variables there are loyalty, size of the customer, estimated growth of the customer purchases and customer’s decision-making and buying behaviour. These characteristic variables will help to identify market segments to target and the customers belonging to those segments.

Automated Purchase to Pay Process Value Modeling and Comparative Process Speeds

The importance of efficient supply chain management has increased due to globalization and the blurring of organizational boundaries. Various supply chain management technologies have been identified to drive organizational profitability and financial performance. Organizations have historically been concentrating heavily on the flow of goods and services, while less attention has been dedicated to the flow of money. While supply chains are becoming more transparent and automated, new opportunities for financial supply chain management have emerged through information technology solutions and comprehensive financial supply chain management strategies. This research concentrates on the end part of the purchasing process which is the handling of invoices. Efficient invoice processing can have an impact on organizations working capital management and thus provide companies with better readiness to face the challenges related to cash management. Leveraging a process mining solution the aim of this research was to examine the automated invoice handling process of four different organizations. The invoice data was collected from each organizations invoice processing system. The sample included all the invoices organizations had processed during the year 2012. The main objective was to find out whether e-invoices are faster to process in an automated invoice processing solution than scanned invoices (post entry into invoice processing solution). Other objectives included looking into the longest lead times between process steps and the impact of manual process steps on cycle time. Processing of invoices from maverick purchases was also examined. Based on the results of the research and previous literature on the subject, suggestions for improving the process were proposed. The results of the research indicate that scanned invoices were processed faster than e-invoices. This is mostly due to the more complex processing of e-invoices. It should be noted however that the manual tasks related to turning a paper invoice into electronic format through scanning are ignored in this research. The transitions with the longest lead times in the invoice handling process included both pre-automated steps as well as manual steps performed by humans. When the most common manual steps were examined in more detail, it was clear that these steps had a prolonging impact on the process. Regarding invoices from maverick purchases the evidence shows that these invoices were slower to process than invoices from purchases conducted through e-procurement systems and from preferred suppliers. Suggestions on how to improve the process included: increasing invoice matching, reducing of manual steps and leveraging of different value added services such as invoice validation service, mobile solutions and supply chain financing services. For companies that have already reaped all the process efficiencies the next step is to engage in collaborative financial supply chain management strategies that can benefit the whole supply chain.

Modeling of residual stresses and distortion due to welding in fillet welds

Welding has a growing role in modern world manufacturing. Welding joints are extensively used from pipes to aerospace industries. Prediction of welding residual stresses and distortions is necessary for accurate evaluation of fillet welds in relation to design and safety conditions. Residual stresses may be beneficial or detrimental, depending whether they are tensile or compressive and the loading. They directly affect the fatigue life of the weld by impacting crack growth rate. Beside theoretical background of residual stresses this study calculates residual stresses and deformations due to localized heating by welding process and subsequent rapid cooling in fillet welds. Validated methods are required for this purpose due to complexity of process, localized heating, temperature dependence of material properties and heat source. In this research both empirical and simulation methods were used for the analysis of welded joints. Finite element simulation has become a popular tool of prediction of welding residual stresses and distortion. Three different cases with and without preload have been modeled during this study. Thermal heat load set is used by calculating heat flux from the given heat input energy. First the linear and then nonlinear material behavior model is modeled for calculation of residual stresses. Experimental work is done to calculate the stresses empirically. The results from both the methods are compared to check their reliability. Residual stresses can have a significant effect on fatigue performance of the welded joints made of high strength steel. Both initial residual stress state and subsequent residual stress relaxation need to be considered for accurate description of fatigue behavior. Tensile residual stresses are detrimental and will reduce the fatigue life and compressive residual stresses will increase it. The residual stresses follow the yield strength of base or filler material and the components made of high strength steel are typically thin, where the role of distortion is emphasizing.

Mathematical modeling of laboratory scale three-phase fixed bed reactors

Detta arbete fokuserar på modellering av katalytiska gas-vätskereaktioner som genomförs i kontinuerliga packade bäddar. Katalyserade gas-vätskereaktioner hör till de mest typiska reaktionerna i kemisk industri; därför behandlas här packade bäddreaktorer som ett av de populäraste alternativen, då kontinuerlig drift eftersträvas. Tack vare en stor katalysatormängd per volym har de en kompakt struktur, separering av katalysatorn behövs inte och genom en professionell design kan den mest fördelaktiga strömningsbilden upprätthållas i reaktorn. Packade bäddreaktorer är attraktiva p.g.a. lägre investerings- och driftskostnader. Även om packade bäddar används intensivt i industri, är det mycket utmanande att modellera. Detta beror på att tre faser samexisterar och systemets geometri är komplicerad. Existensen av flera reaktioner gör den matematiska modelleringen även mera krävande. Många förenklingar blir därmed nödvändiga. Modellerna involverar typiskt flera parametrar som skall justeras på basis av experimentella data. I detta arbete studerades fem olika reaktionssystem. Systemen hade studerats experimentellt i vårt laboratorium med målet att nå en hög produktivitet och selektivitet genom ett optimalt val av katalysatorer och driftsbetingelser. Hydrering av citral, dekarboxylering av fettsyror, direkt syntes av väteperoxid samt hydrering av sockermonomererna glukos och arabinos användes som exempelsystem. Även om dessa system hade mycket gemensamt, hade de också unika egenskaper och krävde därför en skräddarsydd matematisk behandling. Citralhydrering var ett system med en dominerande huvudreaktion som producerar citronellal och citronellol som huvudprodukter. Produkterna används som en citrondoftande komponent i parfymer, tvålar och tvättmedel samt som plattform-kemikalier. Dekarboxylering av stearinsyra var ett specialfall, för vilket en reaktionsväg för produktion av långkedjade kolväten utgående från fettsyror söktes. En synnerligen hög produktselektivitet var karakteristisk för detta system. Även processuppskalning modellerades för dekarboxylerings-reaktionen. Direkt syntes av väteperoxid hade som målsättning att framta en förenklad process att producera väteperoxid genom att låta upplöst väte och syre reagera direkt i ett lämpligt lösningsmedel på en aktiv fast katalysator. I detta system förekommer tre bireaktioner, vilka ger vatten som oönskad produkt. Alla dessa tre reaktioner modellerades matematiskt med hjälp av dynamiska massbalanser. Målet med hydrering av glukos och arabinos är att framställa produkter med en hög förädlingsgrad, nämligen sockeralkoholer, genom katalytisk hydrering. För dessa två system löstes ämnesmängd- och energibalanserna simultant för att evaluera effekter inne i porösa katalysatorpartiklar. Impulsbalanser som bestämmer strömningsbetingelser inne i en kemisk reaktor, ersattes i alla modelleringsstudier med semi-empiriska korrelationsuttryck för vätskans volymandel och tryckförlust och med axiell dispersionsmodell för beskrivning av omblandningseffekter. Genom att justera modellens parametrar kunde reaktorns beteende beskrivas väl. Alla experiment var genomförda i laboratorieskala. En stor mängd av kopplade effekter samexisterade: reaktionskinetik inklusive adsorption, katalysatordeaktivering, mass- och värmeöverföring samt strömningsrelaterade effekter. En del av dessa effekter kunde studeras separat (t.ex. dispersionseffekter och bireaktioner). Inverkan av vissa fenomen kunde ibland minimeras genom en noggrann planering av experimenten. På detta sätt kunde förenklingar i modellerna bättre motiveras. Alla system som studerades var industriellt relevanta. Utveckling av nya, förenklade produktionsteknologier för existerande kemiska komponenter eller nya komponenter är ett gigantiskt uppdrag. Studierna som presenterades här fokuserade på en av den teknisk-vetenskapliga utfärdens första etapper.

Mathematical modeling of level of anaesthesia from EEG measurements

Problem of modeling of anaesthesia depth level is studied in this Master Thesis. It applies analysis of EEG signals with nonlinear dynamics theory and further classification of obtained values. The main stages of this study are the following: data preprocessing; calculation of optimal embedding parameters for phase space reconstruction; obtaining reconstructed phase portraits of each EEG signal; formation of the feature set to characterise obtained phase portraits; classification of four different anaesthesia levels basing on previously estimated features. Classification was performed with: Linear and quadratic Discriminant Analysis, k Nearest Neighbours method and online clustering. In addition, this work provides overview of existing approaches to anaesthesia depth monitoring, description of basic concepts of nonlinear dynamics theory used in this Master Thesis and comparative analysis of several different classification methods.

Potential benefits of building information modeling for building material supplier

This thesis investigated building information modeling (BIM) from a material supplier’s point of view. The objective was to gain understanding about how a building material supplier could benefit from the growing use of BIM in the AEC (architectural, engineering and construction) industry. Increasing amount of inquiries related to BIM from customers and other interest groups had awoken target company’s interest towards BIM. This thesis acts as a pre-study for the target company related to potential of BIM. First of all BIM and its meaning from a material supplier’s point of view was defined based on a literature review. To reveal the potential benefits of BIM for a material supplier a questionnaire survey and in total of 11 interviews were conducted. Based on the literature review and analyzed results it came clear that BIM offers benefits also for material suppliers. Product libraries and material databases for BIM tools can act as an important marketing channel for material suppliers. Material suppliers could also utilize the information from the BIM models to schedule their deliveries more precisely and potentially even to schedule their own production. All this needs deeper cooperation between material suppliers, contractors and other stakeholders in the AEC industry. Based on the results also first steps for the target company to utilize the growing use of BIM were defined.