Market integration, return and volatility dynamics; empirical evidence from African stock markets

Frontier and Emerging economies have implemented policies with the objective of liberalizing their equity markets. Equity market liberalization opens the domestic equity market to foreign investors and as well paves the way for domestic investors to invest in foreign equity securities. Among other things, equity market liberalization results in diversification benefits. Moreover, equity market liberalization leads to low cost of equity capital resulting from the lower rate of return by investors. Additionally, foreign and local investors share any potential risks. Liberalized equity markets also become liquid considering that there are more investors to trade. Equity market liberalization results in financial integration which explains the movement of two markets. In crisis period, increased volatility and co-movement between two markets may result in what is termed contagion effects. In Africa, major moves toward financial liberalization generally started in the late 1980s with South Africa as the pioneer. Over the years, researchers have studied the impact of financial liberalization on Africa’s economic development with diverse results; some being positive, others negative and still others being mixed. The objective of this study is to establish whether African stock-markets are integrated into the United States (US) and World market. Furthermore, the study helps to see if there are international linkages between the Africa, US and the world markets. A Bivariate- VAR- GARCH- BEKK model is employed in the study. In the study, the effect of thin trading is removed through series of econometric data purification. This is because thin trading, also known as non-trading or inconsistency of trading, is a main feature of African markets and may trigger inconsistency and biased results. The study confirmed the widely established results that the South Africa and Egypt stock markets are highly integrated with the US and World market. Interestingly, the study adds to knowledge in this research area by establishing the fact that Kenya is very integrated with the US and World markets and that it receives and exports past innovations as well as shocks to and from the US and World market.

Wastewater Treatment and Deinking Sludge Utilization Possibilities for Energy and Material Recovery in the Leningrad Region

Operation of pulp and paper mills generates waste including wastewater treatment sludge and deinking sludge. Both sludge types are generated in large amounts and are mainly disposed of in landfills in the Leningrad Region resulting in environmental degradation. The thesis was aimed at seeking new sustainable ways of sludge utilization. Two paper mills operating in the Leningrad Region and landfilling their sludge were identified: “SCA Hygiene Products Russia” and “Knauf”. The former generates 150 t/day of deinking sludge, the latter – 145 t/day of secondary sludge. Chemical analyses of deinking sludge were performed to assess applicability of sludge in construction materials production processes. Higher heating value on dry basis of both sludge types was determined to evaluate energy potential of sludge generated in the Leningrad Region. Total energy output from sludge incineration was calculated. Deinking sludge could be utilized in the production process of “LSR-Cement” or “Slantsy Cement Plant Cesla” factories, and “Pobeda” and “Nikolsky” brick mills without exceeding current sludge management costs.

Unidirectional fiber-reinforced composite as an oral implant abutment material: Experimental studies of E-glass fiber/BisGMA-TEGDMA polymer in vitro

Fiber-reinforced composites (FRCs) are a new group of non-metallic biomaterials showing a growing popularity in many dental and medical applications. As an oral implant material, FRC is biocompatible in bone tissue environment. Soft tissue integration to FRC polymer material is unclear. This series of in vitro studies aimed at evaluating unidirectional E-glass FRC polymer in terms of mechanical, chemical, and biological properties in an attempt to develop a new non-metallic oral implant abutment alternative. Two different types of substrates were investigated: (a) Plain polymer (BisGMA 50%–TEGDMA 50%) and (b) Unidirectional FRC. The mechanical behavior of high fiber-density FRCs was assessed using a three-point bending test. Surface characterization was performed using scanning electron and spinning disk confocal microscopes. The surface wettability/energy was determined using sessile drop method. The blood response, including blood-clotting ability and platelet morphology was evaluated. Human gingival fibroblast cell responses - adhesion kinetics, adhesion strength, and proliferation activity - were studied in cell culture environment using routine test conditions. A novel tissue culture method was developed and used to evaluate porcine gingival tissue graft attachment and growth on the experimental composite implants. The analysis of the mechanical properties showed that there is a direct proportionality in the relationship between E-glass fiber volume fraction and toughness, modulus of elasticity, and load bearing capacity; however, flexural strength did not show significant improvement when high fiber-density FRC is used. FRCs showed moderate hydrophilic properties owing to the presence of exposed glass fibers on the polymer surface. Blood-clotting time was shorter on FRC substrates than on plain polymer. The FRC substrates also showed higher platelet activation state than plain polymer substrates. Fibroblast cell adhesion strength and proliferation rate were highly pronounced on FRCs. A tissue culture study revealed that gingival epithelium and connective tissue established an immediate close contact with both plain polymer and FRC implants. However, FRC seemed to guide epithelial migration outwards from the tissue/implant interface. Due to the anisotropic and hydrophilic nature of FRC, it can be concluded that this material enhances biological events related with soft tissue integration on oral implant surface.

The Use of Data Envelopment Analysis as Equity Portfolio Selection Criterion in the Finnish Stock Market

This thesis examines the application of data envelopment analysis as an equity portfolio selection criterion in the Finnish stock market during period 2001-2011. A sample of publicly traded firms in the Helsinki Stock Exchange is examined in this thesis. The sample covers the majority of the publicly traded firms in the Helsinki Stock Exchange. Data envelopment analysis is used to determine the efficiency of firms using a set of input and output financial parameters. The set of financial parameters consist of asset utilization, liquidity, capital structure, growth, valuation and profitability measures. The firms are divided into artificial industry categories, because of the industry-specific nature of the input and output parameters. Comparable portfolios are formed inside the industry category according to the efficiency scores given by the DEA and the performance of the portfolios is evaluated with several measures. The empirical evidence of this thesis suggests that with certain limitations, data envelopment analysis can successfully be used as portfolio selection criterion in the Finnish stock market when the portfolios are rebalanced at annual frequency according to the efficiency scores given by the data envelopment analysis. However, when the portfolios were rebalanced every two or three years, the results are mixed and inconclusive.

Stock Price Reactions on M&A, Dividends and Game Releases. Evidence from Gaming Industry.

A rapidly growing gaming industry, which specializes on PC, console, online and other games, attracts attention of investors and analysts, who try to understand what drives changes of the gaming industry companies’ stock prices. This master thesis shows the evidence that, besides long-established types of events (M&A and dividend payments), the companies’ stock price changes depend on industry-specific events. I analyzed specific for gaming industry events - game releases with respect to its subdivisions: new games-sequels, games ratings and subdivision according to a developer of a game (self-developed by publisher or outsourced). The master thesis analyzes stock prices of 55 companies from gaming industry from all over the world. The research period covers 5 year, spreading from April 2008 to April 2013. Executed with an event study method, results of the research show that all the analyzed events types have significant influence on the stock prices of the gaming industry companies. The current master thesis suggests that acquisitions in the industry affect positively bidders’ and targets’ stock prices. Mergers events cause positive stock price reactions as well. But dividends payments and game releases events influence negatively on the stock prices. Game releases’ effect is up to -2.2% of cumulative average abnormal return (CAAR) drop during the first ten days after the game releases. Having researched different kinds of events and identified the direction of their impact, the current paper can be of high value for investors, seeking profits in the gaming industry, and other interested parties.

Defining of the material models for stainless steels to be used in FE modeling

The aim of this work is to study the results of tensile tests for austenitic stainless steel type 304 and make accurate FE-models according to the results of the tests. Tensile tests were made at Central Research Institute of Structural Material, Prometey at Saint Petersburg and Mariyenburg in Russia. The test specimens for the tensile tests were produced at Lappeenranta University of Technology in a Laboratory of Steel Structures. In total 4 different tests were made, two with base material specimens and two with transverse butt weld specimens. Each kind of a specimen was tested at room temperature and at low temperature. By comparing the results of room and low temperature tests of similar test specimen we get to study the results of work hardening that affect the austenitic steels at below room temperature. The produced specimens are to be modeled accurately and then imported for nonlinear FEM- analyzing. Using the data gained from the tensile tests the aim is to get the models work like the specimens did during the tests. By using the analyzed results of the FE-models the aim is to calculate and get the stress-strain curves that correspond to the results acquired from the tensile tests.

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.

Insiders´ views as a predictor of stock performance : can insider trading be used to predict stock performance on the United States stock market?

This thesis studies the possibility of using information on insiders’ transactions to forecast future stock returns after the implementation of Sarbanes Oxley Act in July 2003. Insider transactions between July 2003 and August 2009 are analysed with regression tests to identify the relationships between insiders’ transactions and future stock returns. This analysis is complemented with rudimentary bootstrapping procedures to verify the robustness of the findings. The underlying assumption of the thesis is that insiders constantly receive pieces of information that indicate future performance of the company. They may not be allowed to trade on large and tangible pieces of information but they can trade on accumulation of smaller, intangible pieces of information. Based on the analysis in the thesis insiders’ profits were found not to differ from the returns from broad stock index. However, their individual transactions were found to be linked to future stock returns. The initial model was found to be unstable but some of the predictive power could be sacrificed to achieve greater stability. Even after sacrificing some predictive power the relationship was significant enough to allow external investors to achieve abnormal profits after transaction costs and taxes. The thesis does not go into great detail about timing of transactions. Delay in publishing insiders’ transactions is not taken into account in the calculations and the closed windows are not studied in detail. The potential effects of these phenomena are looked into and they do not cause great changes in the findings. Additionally the remuneration policy of an insider or a company is not taken into account even though it most likely affects the trading patterns of insiders. Even with the limitations the findings offer promising opportunities for investors to improve their investment processes by incorporating additional information from insiders’ transaction into their decisions. The findings also raise questions on how insider trading should be regulated. Insiders achieve greater returns than other investors based on superior information. On the other hand, more efficient information transfer could warrant more lenient regulation. The fact that insiders’ returns are dominated by the large investment stake they maintain all the time in their own companies also speaks for more leniency. As Sarbanes Oxley Act considerably modified the insider trading landscape, this analysis provides information that has not been available before. The thesis also constitutes a thorough analysis of insider trading phenomenon which has previously been somewhat separated into several studies.

Prediction of market switching and delisting events from OMX First North Nordic multilateral stock exchange

This thesis studies the predictability of market switching and delisting events from OMX First North Nordic multilateral stock exchange by using financial statement information and market information from 2007 to 2012. This study was conducted by using a three stage process. In first stage relevant theoretical framework and initial variable pool were constructed. Then, explanatory analysis of the initial variable pool was done in order to further limit and identify relevant variables. The explanatory analysis was conducted by using self-organizing map methodology. In the third stage, the predictive modeling was carried out with random forests and support vector machine methodologies. It was found that the explanatory analysis was able to identify relevant variables. The results indicate that the market switching and delisting events can be predicted in some extent. The empirical results also support the usability of financial statement and market information in the prediction of market switching and delisting events.

Stock Market reaction to the CSR announcements of American fast food companies

The purpose of this study is to examine whether Corporate Social Responsibility (CSR) announcements of the three biggest American fast food companies (McDonald’s, YUM! Brands and Wendy’s) have any effect on their stock returns as well as on the returns of the industry index (Dow Jones Restaurants and Bars). The time period under consideration starts on 1st of May 2001 and ends on 17th of October 2013. The stock market reaction is tested with an event study utilizing CAPM. The research employs the daily stock returns of the companies, the index and the benchmarks (NASDAQ and NYSE). The test of combined announcements did not reveal any significant effect on the index and McDonald’s. However the stock returns of Wendy’s and YUM! Brands reacted negatively. Moreover, the company level analyses showed that to their own CSR releases McDonald’s stock returns respond positively, YUM! Brands reacts negatively and Wendy’s does not have any reaction. Plus, it was found that the competitors of the announcing company tend to react negatively to all the events. Furthermore, the division of the events into sustainability categories showed statistically significant negative reaction from the Index, McDonald’s and YUM! Brands towards social announcements. At the same time only the index was positively affected by to the economic and environmental CSR news releases.

Making the impact on research and society : nichesourcing of Uralic language material for the benefit of linguistic research and native-speakers

Presentation at the 12th Bibliotheca Baltica Symposium at Södertörn University Library

Liquidity and Asset Pricing in the French Stock Market

This thesis investigates pricing of liquidity in the French stock market. The study covers 835 ordinary shares traded in the period of 1996-2014 on Paris Euronext. The author utilizes the Liquidity-Adjusted Capital Asset Pricing Model (LCAPM) recently developed by Acharya and Pedersen (2005) to test whether liquidity level and risks significantly affect stock returns. Three different liquidity measures – Amihud, FHT, and PQS – are incorporated into the model to find any difference between the results they could provide. It appears that the findings largely depend on the liquidity measure used. In general the results exhibit more evidence for insignificant influence of liquidity level and risks as well as market risk on stock returns. The similar conclusion was reported earlier by Lee (2011) for several regions, including France. This finding of the thesis, however, is not consistent across all the liquidity measures. Nevertheless, the difference in the results between these measures provides new insight to the existing literature on this topic. The Amihud-based findings might indicate that market resiliency is not priced in the French stock market. At the same time the contradicting results from FHT and PQS provide some foundation for the hypothesis that one of two leftover liquidity dimensions – market depth or breadth – could significantly affect stock returns. Therefore, the thesis’ findings suggest a conjecture that different liquidity dimensions have different impacts on stock returns.

Schools as Oral Health Promoters – Evaluation of National Sweet Selling Recommendation and Oral Health Education Material

The aims were to find out 1) if schools’ oral health practices were associated with pupils’ oral health behaviour and whether 2) the national sweet-selling recommendation and 3) distributing oral health material (OHEM) affected schools as oral health promoters. Three independently collected datasets from Finnish upper comprehensive schools (N=988) were used: longitudinal oral health practices data (n=258) with three-year follow up (2007 n=480, 2008 n=508, 2009 n=593) from principals’ online questionnaires, oral health behaviour data from pupils participating in the national School Health Promotion Study (n=970 schools) and oral health education data from health education teachers’ online questionnaires (2008 n=563, 2009 n=477 teachers). Oral health practices data and oral health behaviour data were combined (n=414) to answer aim 1. For aims 2 and 3, oral health practices data and oral health education data were used independently. School sweet selling and an open campus policy were associated with pupils’ use of sweet products and tobacco products during school time. The National Recommendation was quite an effective way to reduce the number of sweet-selling schools, but there were large regional differences and a lack of a clear oral health policy in the schools. OHEM did not increase the proportion of teachers teaching oral health, but teachers started to cover oral health topics more frequently. Women started to use OHEM more often than men did. Schools’ oral health policy should include prohibiting the selling of sweet products in school by legislative actions, enabling healthy alternatives instead, and setting a closed campus policy to protect pupils from school-time sweet consuming and smoking.

The requirements of a feasible plastic packaging material for cultured dairy products

The objective of this Master´s Thesis was to conduct a wide scale preliminary survey regarding the package requirements of a cultured dairy package, and to compare the currently used material polystyrene to other suitable packaging materials. Polystyrene has a long history of use in dairy cups, but in recent years its price has increased significantly compared to other common packaging materials. The overall environmental effects of a package and a package material are today a part of designing a sustainable product life cycle. In addition, in certain contexts there has been discussion of the risks posed by styrene polymer for the environment and for humans. These risks are also discussed in this thesis. Polystyrene (PS) is still the most widely used material in dairy cups. In recent years, polypropylene (PP) cups have appeared in increasing numbers on market shelves. This study focuses on the differences of the suitable polymers and examines the suitability of alternative “suitable” polymers with regards to dairy packaging. Aside from focusing on the cup manufacturer, this thesis also examines its subject matter from the viewpoint of the dairy customer, as well as observing the concrete implications of material changes in the overall value chain. It was known in advance that material permeability would be one of the determining factors and that gas transmission testing would be a significant part of the thesis. Mechanical tests were the second part of the testing process, providing information regarding package strength and protectiveness during the package’s life cycle. Production efficiency, along with uninterrupted stable production, was another important factor that was taken into consideration. These two issues are sometimes neglected in similar contexts due to their self-evident nature. In addition, materials used in production may have a surprising significance to the production and efficiency. Consistent high quality is also partly based on material selection. All of the aforementioned factors have been documented and the results have been analyzed by the development team at Coveris Rigid Finland. Coveris is now calculating the total finance effects and capacities should the material changes be implemented in practice. There are many factors in favor of switching to polypropylene at the moment. The overall production costs, as well as the environmental effects of resin production are the primary influences for said switch from the converters’ perspective.

Effects of the partial removal of wood hemicelluloses on the properties of kraft pulp

The objective of this work was to study the effects of partial removal of wood hemicelluloses on the properties of kraft pulp.The work was conducted by extracting hemicelluloses (1) by a softwood chip pretreatment process prior to kraft pulping, (2) by alkaline extraction from bleached birch kraft pulp, and (3) by enzymatic treatment, xylanase treatment in particular, of bleached birch kraft pulp. The qualitative and quantitative changes in fibers and paper properties were evaluated. In addition, the applicability of the extraction concepts and hemicellulose-extracted birch kraft pulp as a raw material in papermaking was evaluated in a pilot-scale papermaking environment. The results showed that each examined hemicellulose extraction method has its characteristic effects on fiber properties, seen as differences in both the physical and chemical nature of the fibers. A prehydrolysis process prior to the kraft pulping process offered reductions in cooking time, bleaching chemical consumption and produced fibers with low hemicellulose content that are more susceptible to mechanically induced damages and dislocations. Softwood chip pretreatment for hemicellulose recovery prior to cooking, whether acidic or alkaline, had an impact on the physical properties of the non-refined and refined pulp. In addition, all the pretreated pulps exhibited slower beating response than the unhydrolyzed reference pulp. Both alkaline extraction and enzymatic (xylanase) treatment of bleached birch kraft pulp fibers indicated very selective hemicellulose removal, particularly xylan removal. Furthermore, these two hemicellulose-extracted birch kraft pulps were utilized in a pilot-scale papermaking environment in order to evaluate the upscalability of the extraction concepts. Investigations made using pilot paper machine trials revealed that some amount of alkalineextracted birch kraft pulp, with a 24.9% reduction in the total amount of xylan, could be used in the papermaking stock as a mixture with non-extracted pulp when producing 75 g/m2 paper. For xylanase-treated fibers there were no reductions in the mechanical properties of the 180 g/m2 paper produced compared to paper made from the control pulp, although there was a 14.2% reduction in the total amount of xylan in the xylanase-treated pulp compared to the control birch kraft pulp. This work emphasized the importance of the hemicellulose extraction method in providing new solutions to create functional fibers and in providing a valuable hemicellulose co-product stream. The hemicellulose removal concept therefore plays an important role in the integrated forest biorefinery scenario, where the target is to the co-production of hemicellulose-extracted pulp and hemicellulose-based chemicals or fuels.