Together Everyone Achieves More? Herding Behavior in the Finnish Stock Market

This thesis examines whether or not Finnish stock markets has herding behavior. Sample data is from 2004 to 2013. Including total of 2516 market days. Market wide herding, up and down market herding, extreme price movement herding and turnover volume herding are measured in this thesis. Methods used in this thesis are cross-sectional absolute dispersion and cross-sectional standard deviation. This thesis found no signs of herding in the Finnish stock market.

Portfolio Selection via Composite Measure Analysis: Evidence from the U.S. Stock Market

The aim of this research is to examine the pricing anomalies existing in the U.S. market during 1986 to 2011. The sample of stocks is divided into decile portfolios based on seven individual valuation ratios (E/P, B/P, S/P, EBIT/EV, EVITDA/EV, D/P, and CE/P) and price momentum to investigate the efficiency of individual valuation ratio and their combinations as portfolio formation criteria. This is the first time in financial literature when CE/P is employed as a constituent of composite value measure. The combinations are based on median scaled composite value measures and TOPSIS method. During the sample period value portfolios significantly outperform both the market portfolio and comparable glamour portfolios. The results show the highest return for the value portfolio that was based on the combination of S/P & CE/P ratios. The outcome of this research will increase the understanding on the suitability of different methodologies for portfolio selection. It will help managers to take advantage of the results of different methodologies in order to gain returns above the market.

Do retail investors use technical analysis? Evidence from Stuttgart stock exchange.

Tutkielma käyttää automaattista kuviontunnistusalgoritmia ja yleisiä kahden liukuvan keskiarvon leikkauspiste –sääntöjä selittääkseen Stuttgartin pörssissä toimivien yksityissijoittajien myynti-osto –epätasapainoa ja siten vastatakseen kysymykseen ”käyttävätkö yksityissijoittajat teknisen analyysin menetelmiä kaupankäyntipäätöstensä perustana?” Perusolettama sijoittajien käyttäytymisestä ja teknisen analyysin tuottavuudesta tehtyjen tutkimusten perusteella oli, että yksityissijoittajat käyttäisivät teknisen analyysin metodeja. Empiirinen tutkimus, jonka aineistona on DAX30 yhtiöiden data vuosilta 2009 – 2013, ei tuottanut riittävän selkeää vastausta tutkimuskysymykseen. Heikko todistusaineisto näyttää kuitenkin osoittavan, että yksityissijoittajat muuttavat kaupankäyntikäyttäytymistänsä eräiden kuvioiden ja leikkauspistesääntöjen ohjastamaan suuntaan.

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.

Forecasting financial weather - can we foresee market sentiment? Spectrum of stock price behavior - NYSE case study

The desire to create a statistical or mathematical model, which would allow predicting the future changes in stock prices, was born many years ago. Economists and mathematicians are trying to solve this task by applying statistical analysis and physical laws, but there are still no satisfactory results. The main reason for this is that a stock exchange is a non-stationary, unstable and complex system, which is influenced by many factors. In this thesis the New York Stock Exchange was considered as the system to be explored. A topological analysis, basic statistical tools and singular value decomposition were conducted for understanding the behavior of the market. Two methods for normalization of initial daily closure prices by Dow Jones and S&P500 were introduced and applied for further analysis. As a result, some unexpected features were identified, such as a shape of distribution of correlation matrix, a bulk of which is shifted to the right hand side with respect to zero. Also non-ergodicity of NYSE was confirmed graphically. It was shown, that singular vectors differ from each other by a constant factor. There are for certain results no clear conclusions from this work, but it creates a good basis for the further analysis of market topology.

Energy and raw material consumption analysis of powder bed fusion: case study: CNC machining and laser additive manufacturing

Laser additive manufacturing (LAM), known also as 3D printing, is a powder bed fusion (PBF) type of additive manufacturing (AM) technology used to manufacture metal parts layer by layer by assist of laser beam. The development of the technology from building just prototype parts to functional parts is due to design flexibility. And also possibility to manufacture tailored and optimised components in terms of performance and strength to weight ratio of final parts. The study of energy and raw material consumption in LAM is essential as it might facilitate the adoption and usage of the technique in manufacturing industries. The objective this thesis was find the impact of LAM on environmental and economic aspects and to conduct life cycle inventory of CNC machining and LAM in terms of energy and raw material consumption at production phases. Literature overview in this thesis include sustainability issues in manufacturing industries with focus on environmental and economic aspects. Also life cycle assessment and its applicability in manufacturing industry were studied. UPLCI-CO2PE! Initiative was identified as mostly applied exiting methodology to conduct LCI analysis in discrete manufacturing process like LAM. Many of the reviewed literature had focused to PBF of polymeric material and only few had considered metallic materials. The studies that had included metallic materials had only measured input and output energy or materials of the process and compared to different AM systems without comparing to any competitive process. Neither did any include effect of process variation when building metallic parts with LAM. Experimental testing were carried out to make dissimilar samples with CNC machining and LAM in this thesis. Test samples were designed to include part complexity and weight reductions. PUMA 2500Y lathe machine was used in the CNC machining whereas a modified research machine representing EOSINT M-series was used for the LAM. The raw material used for making the test pieces were stainless steel 316L bar (CNC machined parts) and stainless steel 316L powder (LAM built parts). An analysis of power, time, and the energy consumed in each of the manufacturing processes on production phase showed that LAM utilises more energy than CNC machining. The high energy consumption was as result of duration of production. Energy consumption profiles in CNC machining showed fluctuations with high and low power ranges. LAM energy usage within specific mode (standby, heating, process, sawing) remained relatively constant through the production. CNC machining was limited in terms of manufacturing freedom as it was not possible to manufacture all the designed sample by machining. And the one which was possible was aided with large amount of material removed as waste. Planning phase in LAM was shorter than in CNC machining as the latter required many preparation steps. Specific energy consumption (SEC) were estimated in LAM based on the practical results and assumed platform utilisation. The estimated platform utilisation showed SEC could reduce when more parts were placed in one build than it was in with the empirical results in this thesis (six parts).

Regime-Switching in the Impact of Oil Price Shocks on Stock Market Volatility: Evidence from Oil-Importing and Oil-Exporting Countries

Research has highlighted the adequacy of Markov regime-switching model to address dynamic behavior in long term stock market movements. Employing a purposed Extended regime-switching GARCH(1,1) model, this thesis further investigates the regime dependent nonlinear relationship between changes in oil price and stock market volatility in Saudi Arabia, Norway and Singapore for the period of 2001-2014. Market selection is prioritized to national dependency on oil export or import, which also rationalizes the fitness of implied bivariate volatility model. Among two regimes identified by the mean model, high stock market return-low volatility regime reflects the stable economic growth periods. The other regime characterized by low stock market return-high volatility coincides with episodes of recession and downturn. Moreover, results of volatility model provide the evidence that shocks in stock markets are less persistent during the high volatility regime. While accelerated oil price rises the stock market volatility during recessions, it reduces the stock market risk during normal growth periods in Singapore. In contrast, oil price showed no significant notable impact on stock market volatility of target oil-exporting countries in either of the volatility regime. In light to these results, international investors and policy makers could benefit the risk management in relation to oil price fluctuation.

Hygro-elasto-plastic behavior of planar orthotropic material

The mechanical and hygroscopic properties of paper and board are factors affecting the whole lifecycle of a product, including paper/board quality, production, converting, and material and energy savings. The progress of shrinkage profiles, loose edges of web, baggy web causing wrinkling and misregistration in printing are examples of factors affecting runnability and end product quality in the drying section and converting processes, where paper or board is treated as a moving web. The structural properties and internal stresses or plastic strain differences built up during production also cause the end-product defects related to distortion of the shape of the product such as sheet or box. The objective of this work was to construct a model capable of capturing the characteristic behavior of hygroscopic orthotropic material under moisture change, during different external in-plane stretch or stress conditions. Two independent experimental models were constructed: the elasto-plastic material model and the hygroexpansivity-shrinkage model. Both describe the structural properties of the sheet with a fiber orientation probability distribution, and both are functions of the dry solids content and fiber orientation anisotropy index. The anisotropy index, introduced in this work, simplifies the procedure of determining the constitutive parameters of the material model and the hygroexpansion coefficients in different in-plane directions of the orthotropic sheet. The mathematically consistent elasto-plastic material model and the dry solids content dependent hygroexpansivity have been constructed over the entire range from wet to dry. The presented elastoplastic and hygroexpansivity-shrinkage models can be used in an analytical approach to estimate the plastic strain and shrinkage in simple one-dimensional cases. For studies of the combined and more complicated effects of hygro-elasto-plastic behavior, both models were implemented in a finite element program for a numerical solution. The finite element approach also offered possibilities for studying different structural variations of orthotropic planar material, as well as local buckling behavior and internal stress situations of the sheet or web generated by local strain differences. A comparison of the simulation examples presented in this work to results published earlier confirms that the hygro-elasto-plastic model provides at least qualitatively reasonable estimates. The application potential of the hygro-elasto-plastic model is versatile, including several phenomena and defects appearing in the drying, converting and end-use conditions of the paper or board webs and products, or in other corresponding complex planar materials.

Low variation in ribosomal DNA and internal transcribed spacers of the symbiotic fungi of leaf-cutting ants (Attini: Formicidae)

Leaf-cutting ants of the genera Atta and Acromyrmex (tribe Attini) are symbiotic with basidiomycete fungi of the genus Leucoagaricus (tribe Leucocoprineae), which they cultivate on vegetable matter inside their nests. We determined the variation of the 28S, 18S, and 5.8S ribosomal DNA (rDNA) gene loci and the rapidly evolving internal transcribed spacers 1 and 2 (ITS1 and ITS2) of 15 sympatric and allopatric fungi associated with colonies of 11 species of leafcutter ants living up to 2,600 km apart in Brazil. We found that the fungal rDNA and ITS sequences from different species of ants were identical (or nearly identical) to each other, whereas 10 GenBank Leucoagaricus species showed higher ITS variation. Our findings suggest that Atta and Acromyrmex leafcutters living in geographic sites that are very distant from each other cultivate a single fungal species made up of closely related lineages of Leucoagaricus gongylophorus. We discuss the strikingly high similarity in the ITS1 and ITS2 regions of the Atta and Acromyrmex symbiotic L. gongylophorus studied by us, in contrast to the lower similarity displayed by their non-symbiotic counterparts. We suggest that the similarity of our L. gongylophorus isolates is an indication of the recent association of the fungus with these ants, and propose that both the intense lateral transmission of fungal material within leafcutter nests and the selection of more adapted fungal strains are involved in the homogenization of the symbiotic fungal stock.

Dynamic linkages of real estate and stock markets in Finland

Traditionally real estate has been seen as a good diversification tool for a stock portfolio due to the lower return and volatility characteristics of real estate investments. However, the diversification benefits of a multi-asset portfolio depend on how the different asset classes co-move in the short- and long-run. As the asset classes are affected by the same macroeconomic factors, interrelationships limiting the diversification benefits could exist. This master’s thesis aims to identify such dynamic linkages in the Finnish real estate and stock markets. The results are beneficial for portfolio optimization tasks as well as for policy-making. The real estate industry can be divided into direct and securitized markets. In this thesis the direct market is depicted by the Finnish housing market index. The securitized market is proxied by the Finnish all-sectors securitized real estate index and by a European residential Real Estate Investment Trust index. The stock market is depicted by OMX Helsinki Cap index. Several macroeconomic variables are incorporated as well. The methodology of this thesis is based on the Vector Autoregressive (VAR) models. The long-run dynamic linkages are studied with Johansen’s cointegration tests and the short-run interrelationships are examined with Granger-causality tests. In addition, impulse response functions and forecast error variance decomposition analyses are used for robustness checks. The results show that long-run co-movement, or cointegration, did not exist between the housing and stock markets during the sample period. This indicates diversification benefits in the long-run. However, cointegration between the stock and securitized real estate markets was identified. This indicates limited diversification benefits and shows that the listed real estate market in Finland is not matured enough to be considered a separate market from the general stock market. Moreover, while securitized real estate was shown to cointegrate with the housing market in the long-run, the two markets are still too different in their characteristics to be used as substitutes in a multi-asset portfolio. This implies that the capital intensiveness of housing investments cannot be circumvented by investing in securitized real estate.

Optical spectroscopy of organic material based on C60

The structure and optical properties of thin films based on C60 materials are studied. Reproducible vacuum method of thin fullerene films production with Cd impurity on Si, glass and mica surfaces is developed. Surface morphology of the films are investigated by AFM and SEM methods. The ab initio quantum - chemical calculations of the geometry, total energy and excited energy states of complex fullerene- cadmium telluride supramolecules are performed. Photoluminescence spectra of composite thin films based on C60 before and after X-ray irradiation were measured. The intensity of additional peaks is defined as the charge composition due to the type of substrate. These results are interpreted as an appearance of the dipole-allowed transitions in the fullerene excited singlet states spectrum cause of an interference with cadmium telluride. X-ray irradiated films were investigated, and additional peaks in photoluminescence spectra were detected. These peaks appear as a result of molecular complexes formation from C60CdTe mixture and dimerization of the films. Density functional B3LYP quantum-chemical calculations for C60CdTe, molecular complexes, (C60)2 and C120O dimers were performed to elucidate some experimental results.

Estudo das características de adsorção de água e da estabilidade das microcápsulas de óleo essencial de laranja na seleção de material de parede

Este trabalho consistiu no estudo e comparação das características de adsorção de água de três amostras de microcápsulas de óleo essencial de laranja, obtidas pela secagem por atomização de três diferentes emulsões preparadas pela adição de óleo essencial de laranja (oel), a uma solução aquosa de material de parede (mp) constituída de capsul (5,0, 0,0 e 10,0%), goma arábica (5,0, 10,0 e 0,0%) sendo constante para as três emulsões a maltodextrina (36,0%), água (44,0%) e óleo essencial (10,0%). A microencapsulação foi realizada a 220 e 110° C de ar de entrada e saída do secador usando um atomizador rotativo a 20.000rpm. Com base à determinação das isotermas de adsorção de água a 30, 40 e 50° C e usando o modelo de GAB para ajustar os pontos experimentais foram avaliadas as características das isotermas, a estabilidade e área superficial de adsorção de água das diferentes amostras de microcápsulas obtidas. Os resultados indicaram ser importante o estudo das características de adsorção de água para estimar a estabilidade das microcápsulas de oel e a comparação destas mostrou que as microcápsulas obtidas pela secagem por atomização da emulsão preparada com 5,0% de capsul e 5,0% de goma arábica apresentaram o melhor resultado.

Microencapsulação de óleo essencial de laranja: seleção de material de parede

No presente trabalho se procedeu à comparação de agentes microencapsulantes, material de parede (mp), na microencapsulação de óleo essencial de laranja (material ativo) através da secagem por atomização. Foram preparadas três amostras de emulsões pela adição de óleo essencial de laranja a uma solução aquosa do mp composta de capsul (5,0, 0,0 e 10,0%), goma arábica (5,0, 10,0 e 0,0%) sendo constante para as três amostras maltodextrina (36,0%), água (44,0%) e óleo essencial (10,0%). Foram avaliadas as curvas de secagem das emulsões frente à retenção do óleo essencial de laranja e a tendência de formação de dobras superficiais das partículas e verificou-se a hipótese "menor a tendência de formação de dobras na superfície das microcápsulas maior a retenção de material ativo". A microencapsulação foi obtida pela secagem por atomização, com temperaturas de 220ºC e 110ºC do ar de entrada e de saída da câmara de secagem, respectivamente, e com atomizador rotativo (20.000rpm). A comparação das microcápsulas obtidas a partir das três amostras de emulsões mostrou que aquela preparada com 10,0% de capsul e 0,0% de goma arábica apresentou o maior resultado. O período de taxa constante de secagem desta mistura é curto e com maior retenção de umidade após a secagem. As microcápsulas obtidas apresentaram maior retenção de óleo essencial e dobras superficiais menos pronunciadas decorrentes do menor entumescimento das gotículas durante a secagem.

Monolithic zirconium dioxide as a full contour restorative material: With special emphasis on the optical and mechanical properties

Full contour monolithic zirconia restorations have shown an increased popularity in the dental field over the recent years, owing to its mechanical and acceptable optical properties. However, many features of the restoration are yet to be researched and supported by clinical studies to confirm its place among the other indirect restorative materials This series of in vitro studies aimed at evaluating and comparing the optical and mechanical properties, light cure irradiance, and cement polymerization of multiple monolithic zirconia material at variable thicknesses, environments, treatments, and stabilization. Five different monolithic zirconia materials, four of which were partially stabilized and one fully stabilized were investigated. The optical properties in terms of surface gloss, translucency parameter, and contrast ratio were determined via a reflection spectrophotometer at variable thicknesses, coloring, sintering method, and after immersion in an acidic environment. Light cure irradiance and radiant exposure were quantified through the specimens at variable thicknesses and the degree of conversion of two dual-cure cements was determined via Fourier Transform Infrared spectroscopy. Bi-axial flexural strength was evaluated to compare between the partially and fully stabilized zirconia prepared using different coloring and sintering methods. Surface characterization was performed using a scanning electron microscope and a spinning disk confocal microscope. The surface gloss and translucency of the zirconia investigated were brand and thickness dependent with the translucency values decreasing as the thickness increased. Staining decreased the translucency of the zirconia and enhanced surface gloss as well as the flexural strength of the fully stabilized zirconia but had no effect on partially stabilized zirconia. Immersion in a corrosive acid increased surface gloss and decreased the translucency of some zirconia brands. Zirconia thickness was inversely related to the amount of light irradiance, radiant exposure, and degree of monomer conversion. Type of sintering furnace had no effect on the optical and mechanical properties of zirconia. Monolithic zirconia maybe classified as a semi-translucent material that is well influenced by the thickness, limiting its use in the esthetic zones. Conventional acid-base reaction, autopolymerizing and dual-cure cements are recommended for its cementation. Its desirable mechanical properties give it a high potential as a restoration for posterior teeth. However, close monitoring with controlled clinical studies must be determined before any definite clinical recommendations can be drawn.