Stock and Bond Market Integration: Evidence from Russian Financial Markets

Minimizing the risks of an investment portfolio but not in the favour of expected returns is one of the key interests of an investor. Typically, portfolio diversification is achieved using two main strategies: investing in different classes of assets thought to have little or negative correlations or investing in similar classes of assets in multiple markets through international diversification. This study investigates integration of the Russian financial markets in the time period of January 1, 2003 to December 28, 2007 using daily data. The aim is to test the intra-country and cross-country integration of the Russian stock and bond markets between seven countries. Our test methodology for the short-run dynamics testing is the vector autoregressive model (VAR) and for the long-run cointegration testing we use the Johansen cointegration test which is an extension to VAR. The empirical results of this study show that the Russian stock and bond markets are not integrated in the long-run either at intra-country or cross-country level which means that the markets are relatively segmented. The short-run dynamics are also relatively low. This implies a presence of potential gains from diversification.

Analysis of Earnings, Stock Prices and Bond Yields: The Fed Model Approach

Prediction of the stock market valuation is a common interest to all market participants. Theoretically sound market valuation can be achieved by discounting future earnings of equities to present. Competing valuation models seek to find variables that affect the equity market valuation in a way that the market valuation can be explained and also variables that could be used to predict market valuation. In this paper we test the contemporaneous relationship between stock prices, forward looking earnings and long-term government bond yields. We test this so-called Fed model in a long- and short-term time series analysis. In order to test the dynamics of the relationship, we use the cointegration framework. The data used in this study spans over four decades of various market conditions between 1964-2007, using data from United States. The empirical results of our analysis do not give support for the Fed model. We are able to show that the long-term government bonds do not play statistically significant role in this relationship. The effect of forward earnings yield on the stock market prices is significant and thus we suggest the use of standard valuation ratios when trying to predict the future paths of equity prices. Also, changes in the long-term government bond yields do not have significant short-term impact on stock prices.

Lämpötilamuutosten vaikutukset metallien liimaliitoksiin

Diplomityön tavoitteena oli tutkia lämpötilan ja sen muutosten vaikutusta kahden metallin tai metallin ja magneetin väliseen liimaliitokseen. Tutkimuksen päätavoitteena oli tutkia magneettien liimaukseen käytetyn akryyliliiman lujuutta lämpösyklitysten jälkeen ja eri käyttölämpötilojen seurauksena. Teoriaosassa on käsitelty erilaisia liimauksen toteutukseen ja liimaliitoksen lujuuteen vaikuttavia tekijöitä. Erilaiset metallien liimaukseen soveltuvat liimatyypit ja niiden tarttumiseen liittyvät tekijät, kuten esikäsittelyt on myös käyty läpi teoriaosassa. Myös liiman- ja liimatyypin valintaa koskevia periaatteita ja tekniikoita on käsitelty. Käytännön osassa on esitelty koejärjestelyt sekä tutkittavat materiaalit ja niille suoritetut esikäsittelyt. Käytännön kokeissa suoritettavissa liimaliitoksissa käytettiin akryyli- ja silikoniliimoja, joille suoritettiin erilaisia vetokokeita. Akryyliliimalla liimatuille liitoksille suoritettiin myös lämpösyklityksiä, joita vertailtiin käsittelemättömiin liitoksiin. Magneettien ja metallien välisten liitosten lujuuden lisäksi liimalta saavutettavia lujuuksia arvioitiin rakenneterästen välisen liimaliitoksen sisältävillä vetosauvoilla. Suoritettujen kokeiden perusteella havaittiin lämpötilan vaikuttavan radikaalisesti liimaliitosten lujuuteen. Magneettien liimaliitoksilla saavutettiin käytännön sovellukseen riittävän suuria leikkauslujuuden arvoja vain huoneenlämpötilassa vedettäessä. Lämpösyklitysten todettiin myös heikentävän liitosta selvästi. Silikoniliiman lujuus oli alle sovelluskohteessa vaikuttavien voimien optimaalisissakin olosuhteissa. Metallien välisten liimaliitosten lujuuden todettiin heikentyvän nopeasti kasvatettaessa vetokokeissa käytettyä lämpötilaa. Liitoksen heikkenemistä havaittiin myös lämpötilaa laskettaessa.

Molecular modeling of asymmetric induction in heterogeneously catalyzed hydrogenation of the C=O bond

Modifiering av metallytor med starkt adsorberade kirala organiska molekyler är eventuellt den mest relevanta teknik man vet i dag för att skapa kirala ytor. Den kan utnyttjas i katalytisk produktion av enantiomeriskt rena kirala föreningar som behövs t.ex. som läkemedel och aromkemikalier. Trots många fördelar av asymmetrisk heterogen katalys jämfört med andra sätt för att få kirala föreningar, har den ändå inte blivit ett allmänt verktyg för storskaliga tillämpningar. Detta beror t.ex. på brist på djupare kunskaper i katalytiska reaktionsmekanismer och ursprunget för asymmetrisk induktion. I denna studie användes molekylmodelleringstekniker för att studera asymmetriska, heterogena katalytiska system, speciellt hydrering av prokirala karbonylföreningar till motsvarande kirala alkoholer på cinchona-alkaloidmodifierade Pt-katalysatorer. 1-Fenyl-1,2-propandion (PPD) och några andra föreningar, som innehåller en prokiral C=O-grupp, användes som reaktanter. Konformationer av reaktanter och cinchona-alkaloider (som kallas modifierare) samt vätebundna 1:1-komplex mellan dem studerades i gas- och lösningsfas med metoder som baserar sig på vågfunktionsteori och täthetsfunktionalteori (DFT). För beräkningen av protonaffiniteter användes också högst noggranna kombinationsmetoder såsom G2(MP2). Den relativa populationen av modifierarnas konformationer varierade som funktion av modifieraren, dess protonering och lösningsmedlet. Flera reaktant–modifierareinteraktionsgeometrier beaktades. Slutsatserna på riktning av stereoselektivitet baserade sig på den relativa termodynamiska stabiliteten av de diastereomeriska reaktant–modifierare-komplexen samt energierna hos π- och π*-orbitalerna i den reaktiva karbonylgruppen. Adsorption och reaktioner på Pt(111)-ytan betraktades med DFT. Regioselektivitet i hydreringen av PPD och 2,3-hexandion kunde förklaras med molekyl–yta-interaktioner. Storleken och formen av klustret använt för att beskriva Pt-ytan inverkade inte bara på adsorptionsenergierna utan också på de relativa stabiliteterna av olika adsorptionsstrukturer av en molekyl. Populationerna av modifierarnas konformationer i gas- och lösningsfas korrelerade inte med populationerna på Pt-ytan eller med enantioselektiviteten i hydreringen av PPD på Pt–cinchona-katalysatorer. Vissa modifierares konformationer och reaktant–modifierare-interaktionsgeometrier var stabila bara på metallytan. Teoretiskt beräknade potentialenergiprofiler för hydrering av kirala α-hydroxiketoner på Pt implicerade preferens för parvis additionsmekanism för väte och selektiviteter i harmoni med experimenten. De uppnådda resultaten ökar uppfattningen om kirala heterogena katalytiska system och kunde därför utnyttjas i utvecklingen av nya, mera aktiva och selektiva kirala katalysatorer.

Bonding of Composite Resin to Alumina and Zirconia Ceramics with Special Emphasis on Surface Conditioning and Use of Coupling Agents

Dental oxide ceramics have been inspired by their biocompability and mechanical properties which have made durable all-ceramic structures possible. Clinical longevity of the prosthetic structures is dependent on effective bonding with luting cements. As the initial shear bond strength values can be comparable with several materials and procedures, long-term durability is affected by ageing. Aims of the current study were: to measure the shear bond strength of resin composite-to-ceramics and to evaluate the longevity of the bond; to analyze factors affecting the bond, with special emphasis on: the form of silicatization of the ceramic surface; form of silanization; type of resin primer and the effect of the type of the resin composite luting cement; the effect of ageing in water was studied regarding its effect to the endurance of the bond. Ceramic substrates were alumina and yttrium stabilized zirconia. Ceramic conditioning methods included tribochemical silicatization and use of two silane couplings agents. A commercial silane primer was used as a control silane. Various combinations of conditioning methods, primers and resin cements were tested. Bond strengths were measured by shear bond strength method. The longevity of the bond was generally studied by thermocycling the materials in water. Additionally, in one of the studies thermal cycling was compared with long-term water storaging. Results were analysed statistically with ANOVA and Weibull analysis. Tribochemical treatment utilizing air pressure of 150 kPa resulted shear bond strengths of 11.2 MPa to 18.4 MPa and air pressure of 450 kPa 18.2 MPa to 30.5 MPa, respectively. Thermocycling of 8000 cycles or four years water storaging both decreased shear bond strength values to a range of 3.8 MPa to 7.2 MPa whereas initial situation varied from 16.8. Mpa to 23.0 MPa. The silane used in studies had no statistical significance. The use of primers without 10-MDP resulted spontaneous debonding during thermocycling or shear bond strengths below 5 MPa. As conclusion, the results showed superior long-term bonding with primers containing 10-MDP. Silicatization with silanizing showed improved initial shear bond strength values which considerably decreased with ageing in water. Thermal cycling and water storing for up to four years played the major role in reduction of bond strength, which could be due to thermal fatigue of the bonding interface and hydrolytic degradation of the silane coupled interface.

"Excelsior" motor cycles

kuv., 22 x 16 cm

Interdependence of International Stock Markets, European Government Bond Market and Gold Market

This thesis examines the interdependence of international stock markets (the USA, Europe, Japan, emerging markets, and frontier markets), European government bond market, and gold market during the 21st century. Special focus is on the dynamics of the correlations between the markets, as well as on, spillovers in mean returns and volatility. The mean return spillovers are examined on the basis of the bivariate VAR(1) model, whereas the bivariate BEKK-GARCH(1, 1) model is employed for the analysis of the volatility spillovers. In order to analyze the spillover effects in different market conditions, the full sample period from 2000 to 2013 is divided into the pre-crisis period (2000–2006) and the crisis period (2007–2013). The results indicate an increasing interdependence especially within international stock markets during the periods of financial turbulence, and are thus consistent with the existing literature. Hence, bond and gold markets provide the best diversification benefits for equity investors, particularly during the periods of market turmoil.

Working fluid selection and design of small-scale waste heat recovery systems based on organic Rankine cycles

Demand for the use of energy systems, entailing high efficiency as well as availability to harness renewable energy sources, is a key issue in order to tackling the threat of global warming and saving natural resources. Organic Rankine cycle (ORC) technology has been identified as one of the most promising technologies in recovering low-grade heat sources and in harnessing renewable energy sources that cannot be efficiently utilized by means of more conventional power systems. The ORC is based on the working principle of Rankine process, but an organic working fluid is adopted in the cycle instead of steam. This thesis presents numerical and experimental results of the study on the design of small-scale ORCs. Two main applications were selected for the thesis: waste heat re- covery from small-scale diesel engines concentrating on the utilization of the exhaust gas heat and waste heat recovery in large industrial-scale engine power plants considering the utilization of both the high and low temperature heat sources. The main objective of this work was to identify suitable working fluid candidates and to study the process and turbine design methods that can be applied when power plants based on the use of non-conventional working fluids are considered. The computational work included the use of thermodynamic analysis methods and turbine design methods that were based on the use of highly accurate fluid properties. In addition, the design and loss mechanisms in supersonic ORC turbines were studied by means of computational fluid dynamics. The results indicated that the design of ORC is highly influenced by the selection of the working fluid and cycle operational conditions. The results for the turbine designs in- dicated that the working fluid selection should not be based only on the thermodynamic analysis, but requires also considerations on the turbine design. The turbines tend to be fast rotating, entailing small blade heights at the turbine rotor inlet and highly supersonic flow in the turbine flow passages, especially when power systems with low power outputs are designed. The results indicated that the ORC is a potential solution in utilizing waste heat streams both at high and low temperatures and both in micro and larger scale appli- cations.

Time Varying Conditional Correlation Between Stock And Bond Returns: Evidence From CIVETS Nations

This thesis estimates long-run time variant conditional correlation between stock and bond returns of CIVETS (Colombia, Indonesia, Vietnam, Egypt, Turkey, and South Africa) nations. Further, aims to analyse the presence of asymmetric volatility effect in both asset returns, as well as, obverses increment or decrement in conditional correlation during pre-crisis and crisis period, which lead to make a reliable diversification decision. The Constant Conditional Correlation (CCC) GARCH model of Bollerslev (1990), the Dynamic Conditional Correlation (DCC) GARCH model (Engle 2002), and the Asymmetric Dynamic Conditional Correlation (ADCC) GARCH model of Cappiello, Engle, and Sheppard (2006) were implemented in the study. The analyses present strong evidence of time-varying conditional correlation in CIVETS markets, excluding Vietnam, during 2005-2013. In addition, negative innovation effects were found in both conditional variance and correlation of the asset returns. The results of this study recommend investors to include financial assets from these markets in portfolios, in order to obtain better stock-bond diversification benefits, especially during high volatility periods.