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.

Estimating the value of the metal-ligand bond dissociation enthalpy<D> (M-L) for adducts using empirical equations supported by TG data

In this work is presented and tested (for 106 adducts, mainly of the zinc group halides) two empirical equations supported in TG data to estimate the value of the metal-ligand bond dissociation enthalpy for adducts: <D> (M-O) = t i / g if t i < 420 K and <D> (M-O) = (t i / g ) - 7,75 . 10-2 . t i if t i > 420 K. In this empirical equations, t i is the thermodynamic temperature of the beginning of the thermal decomposition of the adduct, as determined by thermogravimetry, andg is a constant factor that is function of the metal halide considered and of the number of ligands, but is not dependant of the ligand itself. To half of the tested adducts the difference between experimental and calculated values was less than 5%. To about 80% of the tested adducts, the difference between the experimental (calorimetric) and the calculated (using the proposed equations) values are less than 15%.

A synthetic approach to palmerolides via Negishi cross coupling. The challenge of the C15-C16 bond formation

The esterification of fragment C1-C8 (2) with fragment C16-C23 (3) to give iodo derivative 4, followed by a Pd-catalysed coupling with a C9-C15 fragment (7 or 8), may provide a common precursor of most palmerolides. Ligands and reaction conditions were exhaustively examined to perform the C15-C16 bond formation via Negishi reaction. With simple models, pre-activated Pd-Xantphos and Pd-DPEphos complexes were the most efficient catalysts at RT. Zincation of the C9-C15 fragment (8) and cross coupling with 4 required 3 equiv of t-BuLi, 10 mol % of Pd-Xantphos and 60 °C.

Financial stress transmission in EMU sovereign bond market volatility: a connectedness analysis

This paper measures the connectedness in EMU sovereign market volatility between April 1999 and January 2014, in order to monitor stress transmission and to identify episodes of intensive spillovers from one country to the others. To this end, we first perform a static and dynamic analysis to measure the total volatility connectedness in the entire period (the system-wide approach) using a framework recently proposed by Diebold and Yılmaz (2014). Second, we make use of a dynamic analysis to evaluate the net directional connectedness for each country and apply panel model techniques to investigate its determinants. Finally, to gain further insights, we examine the timevarying behaviour of net pair-wise directional connectedness at different stages of the recent sovereign debt crisis.

Volatility spillovers in EMU sovereign bond markets

We analyse volatility spillovers in EMU sovereign bond markets. First, we examine the unconditional patterns during the full sample (April 1999-January 2014) using a measure recently proposed by Diebold and Yılmaz (2012). Second, we make use of a dynamic analysis to evaluate net directional volatility spillovers for each of the eleven countries under study, and to determine whether core and peripheral markets present differences. Finally, we apply a panel analysis to empirically investigate the determinants of net directional spillovers of this kind.

Quantification of the bond-angle dispersion by Raman spectroscopy and the strain energy of amorphous silicon

A thorough critical analysis of the theoretical relationships between the bond-angle dispersion in a-Si, Δθ, and the width of the transverse optical Raman peak, Γ, is presented. It is shown that the discrepancies between them are drastically reduced when unified definitions for Δθ and Γ are used. This reduced dispersion in the predicted values of Δθ together with the broad agreement with the scarce direct determinations of Δθ is then used to analyze the strain energy in partially relaxed pure a-Si. It is concluded that defect annihilation does not contribute appreciably to the reduction of the a-Si energy during structural relaxation. In contrast, it can account for half of the crystallization energy, which can be as low as 7 kJ/mol in defect-free a-Si

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.

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.

Nonconventional amide bond formation catalysis: programming enzyme specificity with substrate mimetics

This article reports on the design and characteristics of substrate mimetics in protease-catalyzed reactions. Firstly, the basis of protease-catalyzed peptide synthesis and the general advantages of substrate mimetics over common acyl donor components are described. The binding behavior of these artificial substrates and the mechanism of catalysis are further discussed on the basis of hydrolysis, acyl transfer, protein-ligand docking, and molecular dynamics studies on the trypsin model. The general validity of the substrate mimetic concept is illustrated by the expansion of this strategy to trypsin-like, glutamic acid-specific, and hydrophobic amino acid-specific proteases. Finally, opportunities for the combination of the substrate mimetic strategy with the chemical solid-phase peptide synthesis and the use of substrate mimetics for non-peptide organic amide synthesis are presented.

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.