An Empirical Study of the Mixture of Time and Movements in Prices

This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market.

Intraday Linkages across International Equity Markets

Utilizing concurrent 5-minute returns, the intraday dynamics and inter-market dependencies in international equity markets were investigated. A strong intraday cyclical autocorrelation structure in the volatility process was observed to be caused by the diurnal pattern. A major rise in contemporaneous cross correlation among European stock markets was also noticed to follow the opening of the New York Stock Exchange. Furthermore, the results indicated that the returns for UK and Germany responded to each other’s innovations, both in terms of the first and second moment dependencies. In contrast to earlier research, the US stock market did not cause significant volatility spillover to the European markets.

Panel Cointegration of Chinese A and B Shares

This paper uses panel unit root and cointegration methods to test the stationarity of the premium on domestic investors’ A shares over foreign investors’ B shares and cointegration between the A and B share prices on the Chinese stock exchanges. We find that the A share price premium is nonstationary until 2001, when the A and B share markets were partially merged, and that the A and B share prices are cointegrated in the panel.Cointegration is more likely to be found for firms in the service sector and for firms that issued B shares recently.

The Hybrid Consumer: Exploring the Drivers of a New Consumer Behaviour Type

A dramatically different consumption pattern seems to be emerging among a vast group of consumers. This may mean that conventional consumer stereotypes and segmentation theory are becoming outdated. The so called hybrid consumers seem to increasingly opt for both premium and budget alternatives in various product and service categories while mid-priced alternatives are losing share in their consumption basket. Although this type of polarisation, or dispersion, is already recognized as an important change, hybrid behaviour is still largely under-researched. The present study aims to analyze the possible drivers of hybrid consumption and by identifying typical categories and situations of trading up versus trading down derive tentative characteristics of hybrid consumption for further research on the topic. A tentative pattern of hybrid consumption was identified, which relates trading up to high-involvement, discretional spending and trading down to low-involvement necessities. However, it was also found that hybrid consumption transcends product category boundaries and may thus be less straightforward than previously perhaps assumed. In addition, a purchase pattern continuum was developed, accounting for various degrees of hybrid consumption.

What Determines Stock Option Contract Design?

This paper analyzes factors driving the design of stock option plans for Finnish firms. We examine determinants of the scope of plans, exercise price, target group, and dividend protection. The scope is found to be negatively related to Tobin’s Q and positively related to proxies for monitoring costs. The scope is also greater in broad-based plans, and in plans with dividend protection. Prior stock return is found to be negatively related to the size of the premium (out-of-the-moneyness), whereas dividend protection increases the premium. The results also suggest that investment intensity, cash flow, and monitoring costs are associated with the likelihood of granting premium (out-of-the-money) stock options. Furthermore, the likelihood of granting broad-based plans is increasing in institutional ownership and cash flow constraints, and decreasing in firm size. Broad-based plans are also more likely among firms in growth industries. We find support that the likelihood of dividend protection is decreasing in foreign ownership. In addition, firms paying zero-dividends are less likely to include dividend protection, whereas higher unsystematic risk is associated with a greater likelihood of including dividend protection.

Suomalaisen alkuperäiskarjan liha – kuluttajien osto- ja maksuhalukkuus

Tutkielman tavoitteena on selvittää suomalaisen alkuperäiskarjan lihan potentiaalista kysyntää. Alkuperäiskarjan lihan erikoistuotemarkkinat voivat auttaa pitämään uhanalaiset, kotimaiset karjarodut tuotantokäytössä. Näin ollen erikoistuotemarkkinat voivat auttaa arvokkaiden suomalaisten eläingeenivarojen säilyttämisessä. Koska alkuperäiskarjan lihan tuotannon kannattavuus riippuu lihasta saatavasta lisähinnasta, tutkimuksen tavoitteena on myös tutkia, millainen kuluttajien maksuhalukkuus alkuperäiskarjan lihasta on verrattuna tavanomaiseen lihaan. Tutkimusaineisto kerättiin Maa- ja elintarviketalouden tutkimuskeskuksen ja Kuluttajatutkimuskeskuksen suunnittelemalla kyselytutkimuksella keväällä 2010. Tutkimuksessa käytettiin ehdollisen käyttäytymisen ja ehdollisen arvottamisen menetelmiä ja sen otoskoko on 1623. Kuluttajien ostohalukkuutta ja siihen vaikuttavia tekijöitä tutkittiin sekä binäärisen että ordinaalisen regression malleilla. Kuluttajien maksuhalukkuutta alkuperäiskarjan lihasta ja siihen vaikuttavia tekijöitä tutkittiin grouped data -mallin avulla. Malleissa käytettiin selittävinä muuttujina sosioekonomisten muuttujien lisäksi kuluttajien asenteita ja käyttäytymistä kuvaavia muuttujia. Tutkielman tulosten mukaan jopa 86 % vastaajista ostaisi alkuperäiskarjan lihaa, jos sitä olisi tarjolla kaupoissa. Ostohalukkuutta lisää muun muassa, jos vastaajalla on alle 18-vuotiaita lapsia ja vastaaja arvostaa lähellä tuotettua, paikallista ruokaa sekä ympäristöystävällisyyttä. Miehet ostaisivat alkuperäiskarjan lihaa todennäköisemmin kuin naiset. Suurin osa vastaajista ostaisi alkuperäiskarjan lihaa, jos se olisi samanhintaista kuin tavanomainen liha, mutta noin neljäsosa (23,5 %) vastaajista olisi valmis maksamaan alkuperäiskarjan lihasta korkeampaa hintaa kuin tavanomaisesta lihasta. Maksuhalukkuuteen vaikuttivat positiivisesti muun muassa kuuluminen ympäristöjärjestöön ja korkea tulotaso. Negatiivisesti vaikutti puolestaan esimerkiksi se, että vastaaja on nainen. Keskimääräinen maksuhalukkuus alkuperäiskarjan lihasta oli 6,25 % korkeampi kuin tavanomaisesta lihasta. Maksuhalukkuus alkuperäiskarjan lihasta oli selvästi yhteydessä siihen, kuinka usein vastaaja olisi halukas ostamaan sitä. Maksuhalukkuus oli korkein niillä vastaajilla, jotka haluaisivat ostaa lihaa säännöllisesti.

Consumers' attitudes towards food prices

High food prices can be a barrier to healthy eating because some of the food products may be perceived as expensive. Understanding the role of price in food purchase situations is important, but only a few studies document attitudes towards expensiveness or cheapness in foods. In this thesis, the role of food price in food choice and consumers attitudes towards food prices were investigated and the aim was to measure the food price attitudes. Food price attitudes were hypothesized to have an impact on consumers willingness to pay judgements and their willingness to buy premium-priced food products. First, using qualitative data consisting of 40 thematic interviews the experiences of the expensiveness and cheapness in foods were explored by using functional food products as a target product category. Second, a Food Price Attitude Scale was developed using four quantitative surveys representing Finnish consumers (2001 N=1158; 2002 N=1156; 2004a N=1113; 2004b N=1027). Food price attitudes were confirmed to compose a multidimensional construct and consumers may perceive positive and negative attitudes towards both high and low food prices. Finnish consumers were clustered into four groups based on their food price attitudes. In the first group, 29% of respondents were negative towards high food prices and they were willing to seek low food prices, whereas respondents in another group (22%) were positive towards high food prices. Additionally, in the third group consumers (17%) were willing to pay for high quality but still looked for low food prices. In the fourth group, consumers (32%) were willing to look for low food prices, unwilling to pay for high quality, but high-priced food was appreciated if offered to others. It was found in qualitative data that consumers willingness to accept high prices in foods was connected to price fairness and to justifications. Feelings of fairness or unfairness might be a core element of food price attitudes. Using quantitative methods, it was confirmed that positive attitudes towards high food prices in terms of high quality enhanced consumers willingness to buy food products with certain benefits (e.g., a health claim). Additionally, the favourable attitude towards low food prices lowered the willingness to pay estimates. This type of tendency, however, can create a possible bias in small convenient samples. In the food price-related research, it is advisable to take into account food price attitudes as possible background variables. The Food Price Attitude Scale needs further development to increase construct validity even though, in the present study, it was shown to be a reliable measure with good predictive and discriminant validity. The theoretical and managerial implications of the results for a better understanding of the role of price in consumers food purchases are discussed.

Renewable Energy and Climate Policies: Studies in the Forest and Energy Sector

‪This dissertation examines the impacts of energy and climate policies on the energy and forest sectors, focusing on the case of Finland. The thesis consists of an introduction article and four separate studies. The dissertation was motivated by the climate concern and the increasing demand of renewable energy. In particular, the renewable energy consumption and greenhouse gas emission reduction targets of the European Union were driving this work. In Finland, both forest and energy sectors are in key roles in achieving these targets. In fact, the separation between forest and energy sector is diminishing as the energy sector is utilizing increasing amounts of wood in energy production and as the forest sector is becoming more and more important energy producer.‬ ‪The objective of this dissertation is to find out and measure the impacts of climate and energy policies on the forest and energy sectors. In climate policy, the focus is on emissions trading, and in energy policy the dissertation focuses on the promotion of renewable forest-based energy use. The dissertation relies on empirical numerical models that are based on microeconomic theory. Numerical partial equilibrium mixed complementarity problem models were constructed to study the markets under scrutiny. The separate studies focus on co-firing of wood biomass and fossil fuels, liquid biofuel production in the pulp and paper industry, and the impacts of climate policy on the pulp and paper sector.‬ ‪The dissertation shows that the policies promoting wood-based energy may have have unexpected negative impacts. When feed-in tariff is imposed together with emissions trading, in some plants the production of renewable electricity might decrease as the emissions price increases. The dissertation also shows that in liquid biofuel production, investment subsidy may cause high direct policy costs and other negative impacts when compared to other policy instruments. The results of the dissertation also indicate that from the climate mitigation perspective, perfect competition is the favored wood market competition structure, at least if the emissions trading system is not global.‬ ‪In conclusion, this dissertation suggests that when promoting the use of wood biomass in energy production, the favored policy instruments are subsidies that promote directly the renewable energy production (i.e. production subsidy, renewables subsidy or feed-in premium). Also, the policy instrument should be designed to be dependent on the emissions price or on the substitute price. In addition, this dissertation shows that when planning policies to promote wood-based renewable energy, the goals of the policy scheme should be clear before decisions are made on the choice of the policy instruments.‬

Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market

We address risk minimizing option pricing in a regime switching market where the floating interest rate depends on a finite state Markov process. The growth rate and the volatility of the stock also depend on the Markov process. Using the minimal martingale measure, we show that the locally risk minimizing prices for certain exotic options satisfy a system of Black-Scholes partial differential equations with appropriate boundary conditions. We find the corresponding hedging strategies and the residual risk. We develop suitable numerical methods to compute option prices.

MFIS and MFS structures using SrBi2Ta2O9 thin films for the FRAM applications

Recently there is an increasing demand and extensive research on high density memories, in particular to the ferroelectric random access memory composed of 1T/1C (1 transistor/1 capacitor) or 2T/2C. FRAM's exhibit fast random acess in read/write mode, non - volatility and low power for good performance. An integration of the ferroelectric on Si is the key importance and in this regard, there had been various models proposed like MFS, MFIS, MFMIS structure etc., Choosing the proper insulator is very essential for the better performance of the device and to exhibit excellent electrical characteristics. ZrTiO4 is a potential candidate because of its excellent thermal stability and lattice match on the Si substrate. SrBi2Ta2O9 and ZrTiO4 thin films were prepared on p - type Si substrate by pulsed excimer laser ablation technique. Optimization of both ZT and SBT thin films in MFS and MFIS structure had been done based on the annealing, oxygen partial pressures and substrate temperatures to have proper texture of the thin films. The dc leakage current, P - E hysteresis, capacitance - voltage and conductance - voltage measurement were carried out. The effect of the frequency dependence on MFIS structure was observed in the C – V curve. It displays a transition of C - V curve from high frequency to low frequency curve on subjection to varied frequencies. Density of interface states has been calculated using Terman and high - low frequency C - V curve. The effect of memory window in the C - V hysteresis were analysed in terms of film thickness and annealing temperatures. DC conduction mechanism were analysed in terms of poole - frenkel, Schottky and space charge limited conduction separately on MFS, MIS structure.

MFIS and MFS structures using SrBi2Ta2O9 thin films for the FRAM applications

Recently there is an increasing demand and extensive research on high density memories, in particular to the ferroelectric random access memory composed of 1T/1C (1 transistor/1 capacitor) or 2T/2C. FRAM's exhibit fast random acess in read/write mode, non - volatility and low power for good performance. An integration of the ferroelectric on Si is the key importance and in this regard, there had been various models proposed like MFS, MFIS, MFMIS structure etc., Choosing the proper insulator is very essential for the better performance of the device and to exhibit excellent electrical characteristics. ZrTiO4 is a potential candidate because of its excellent thermal stability and lattice match on the Si substrate. SrBi2Ta2O9 and ZrTiO4 thin films were prepared on p - type Si substrate by pulsed excimer laser ablation technique. Optimization of both ZT and SBT thin films in MFS and MFIS structure had been done based on the annealing, oxygen partial pressures and substrate temperatures to have proper texture of the thin films. The dc leakage current, P - E hysteresis, capacitance - voltage and conductance - voltage measurement were carried out. The effect of the frequency dependence on MFIS structure was observed in the C – V curve. It displays a transition of C - V curve from high frequency to low frequency curve on subjection to varied frequencies. Density of interface states has been calculated using Terman and high - low frequency C - V curve. The effect of memory window in the C - V hysteresis were analysed in terms of film thickness and annealing temperatures. DC conduction mechanism were analysed in terms of poole - frenkel, Schottky and space charge limited conduction separately on MFS, MIS structure.

Ultrasonic degradation of butadiene, styrene and their copolymers

Ultrasonic degradation of commercially important polymers, styrene-butadiene (SBR) rubber, acrylonitrile-butadiene (NBR) rubber, styrene-acrylonitrile (SAN), polybutadiene rubber and polystyrene were investigated. The molecular weight distributions were measured using gel permeation chromatography (GPC). A model based on continuous distribution kinetics approach was used to study the time evolution of molecular weight distribution for these polymers during degradation. The effect of solvent properties and ultrasound intensity on the degradation of SBR rubber was investigated using different pure solvents and mixed solvents of varying volatility and different ultrasonic intensities. (C) 2011 Elsevier B.V. All rights reserved.

Pricing Defaultable Bonds in a Markov Modulated Market

We address the problem of pricing defaultable bonds in a Markov modulated market. Using Merton's structural approach we show that various types of defaultable bonds are combination of European type contingent claims. Thus pricing a defaultable bond is tantamount to pricing a contingent claim in a Markov modulated market. Since the market is incomplete, we use the method of quadratic hedging and minimal martingale measure to derive locally risk minimizing derivative prices, hedging strategies and the corresponding residual risks. The price of defaultable bonds are obtained as solutions to a system of PDEs with weak coupling subject to appropriate terminal and boundary conditions. We solve the system of PDEs numerically and carry out a numerical investigation for the defaultable bond prices. We compare their credit spreads with some of the existing models. We observe higher spreads in the Markov modulated market. We show how business cycles can be easily incorporated in the proposed framework. We demonstrate the impact on spreads of the inclusion of rare states that attempt to capture a tight liquidity situation. These states are characterized by low risk-free interest rate, high payout rate and high volatility.

Diel variation in fig volatiles across syconium development: making sense of scents

Plants produce volatile organic compounds (VOCs) in a variety of contexts that include response to abiotic and biotic stresses, attraction of pollinators and parasitoids, and repulsion of herbivores. Some of these VOCs may also exhibit diel variation in emission. In Ficus racemosa, we examined variation in VOCs released by fig syconia throughout syconium development and between day and night. Syconia are globular enclosed inflorescences that serve as developing nurseries for pollinating and parasitic fig wasps. Syconia are attacked by gallers early in their development, serviced by pollinators in mid phase, and are attractive to parasitoids in response to the development of gallers at later stages. VOC bouquets of the different development phases of the syconium were distinctive, as were their day and night VOC profiles. VOCs such as alpha-muurolene were characteristic of the pollen-receptive diurnal phase, and may serve to attract the diurnally-active pollinating wasps. Diel patterns of release of volatiles could not be correlated with their predicted volatility as determined by Henry's law constants at ambient temperatures. Therefore, factors other than Henry's law constant such as stomatal conductance or VOC synthesis must explain diel variation in VOC emission. A novel use of weighted gene co-expression network analysis (WGCNA) on the volatilome resulted in seven distinct modules of co-emitted VOCs that could be interpreted on the basis of syconium ecology. Some modules were characterized by the response of fig syconia to early galling by parasitic wasps and consisted largely of green leaf volatiles (GLVs). Other modules, that could be characterized by a combination of syconia response to oviposition and tissue feeding by larvae of herbivorous galler pollinators as well as of parasitized wasps, consisted largely of putative herbivore-induced plant volatiles (HIPVs). We demonstrated the usefulness of WGCNA analysis of the volatilome in making sense of the scents produced by the syconia at different stages and diel phases of their development.

Moisture Aided Degradation of Oil Impregnated Paper Insulation in Power Transformers

The presence of moisture in oil impregnated paper insulation (OIP) is detrimental to its long time performance. Until recently, it was thought insulation ageing was only a function of temperature and electrical stress. It has now been realized that moisture in all its forms causes rapid degradation of the electrical and mechanical properties with time. In this study, insulation paper samples were conditioned for desired level of moisture and were impregnated with premium quality transformer oil. The oil impregnated samples with 1 to 3 % moisture content were aged at 90 to 130 C. The indices for determining the extent of ageing considered in this work are degree of polymerization (DP), furan, carbon monoxide and carbon dioxide content. These quantities were monitored throughout the ageing experimental run. End-of-life (EOL) criterion used here is the reduction in the value of DP. Phenomenological models for estimating the service life of insulation are proposed and are validated against actual experimental data.