The Relationship Between Liquidity, Trading Activity and Return - Studies of the Finnish and Swedish Stock Markets

Liquidity, or how easy an investment is to buy or sell, is becoming increasingly important for financial market participants. The objective of this dissertation is to contribute to the understanding of how liquidity affects financial markets. The first essays analyze the actions taken by underwriters immediately after listing to improve liquidity of IPO stock. To estimate the impact of underwriter activity on the pricing of the IPOs, the order book during the first weeks of trading in the IPO stock is studied. Evidence of stabilization and liquidity enhancing activities by underwriters is found. The second half of the dissertation is concerned with the daily trading of stocks where liquidity may be impacted by policy issues such as changes in taxes or exchange fees and by opening the access to the markets for foreign investors. The desirability of a transaction tax on securities trading is addressed. An increase in transaction tax is found to cause lower prices and higher volatility. In the last essay the objective is to determine if the liquidity of a security has an impact on the return investors require. The results support the notion that returns are negatively correlated to liquidity.

Short-term Price Behavior and the Effect of Foreign Investors in Finnish Equity Markets (summary section only)

As globalization and capital free movement has increased, so has interest in the effects of that global money flow, especially during financial crises. The concern has been that large global money flows will affect the pricing of small local markets by causing, in particular, overreaction. The purpose of this thesis is to contribute to the body of work concerning short-term under- and overreaction and the short-term effects of foreign investment flow in the small Finnish equity markets. This thesis also compares foreign execution return to domestic execution return. This study’s results indicate that short-term under- and overreaction occurs in domestic-buy portfolios (domestic net buying) rather than in foreign-buy portfolios. This under- and overreaction, however, is not economically meaningful after controlling for the bid-ask bounce effect. Based on this finding, one can conclude that foreign investors do not have a destabilizing effect in the short-term in the Finnish markets. Foreign activity affects short-term returns. When foreign investors are net buyers (sellers) there are positive (negative) market adjusted returns. Literature related to nationality and institutional effect leads us to expect these kind of results. These foreign flows are persistent at a 5 % to 21 % level and the persistence of foreign buy flow is higher than the foreign sell flow. Foreign daily trading execution is worse than domestic execution. Literature which quantifies foreign investors as liquidity demanders and literature related to front-running leads us to expect poorer foreign execution than domestic execution.

Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets

This paper examines the asymmetric behavior of conditional mean and variance. Short-horizon mean-reversion behavior in mean is modeled with an asymmetric nonlinear autoregressive model, and the variance is modeled with an Exponential GARCH in Mean model. The results of the empirical investigation of the Nordic stock markets indicates that negative returns revert faster to positive returns when positive returns generally persist longer. Asymmetry in both mean and variance can be seen on all included markets and are fairly similar. Volatility rises following negative returns more than following positive returns which is an indication of overreactions. Negative returns lead to increased variance and positive returns leads even to decreased variance.

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.

On the Importance of Mutual Fund Families in Emerging Markets

This study contributes to the mutual fund literature by looking at performance persistence on a fund family level, allowing for individual equity, bond and balanced funds to be included under single family umbrellas. The study is conducted on the emerging Finnish mutual fund market, an environment in which the importance of superior fund family teams is likely to be accentuated. Using both non–parametric and parametric tests we find robust evidence of performance persistence for the fund families. Persistence is particularly strong in the first half of the investigation period, which highlights the importance of fund families at early stages of market development.

Cross-Border Competence Management in Emerging Markets: Voices from China and Russia

This book is on cross-border competence management in Russia and China. Corporations are facing a number of problems and challenges in their international operations, to which there typically are no simple solutions. For instance, they need to understand and respond to cultural and institutional diversity and ascertain that their foreign units are integrated with the rest of the corporation. Throughout this report we will discuss a range of challenges confronting firms as they seek to develop their capabilities to operate internationally. Some of the challenges are clearly case specific, and although this book aims to offer research-based advice to practicing managers there is a potential danger in applying lessons from other companies to the own firm. Our hope is that our analyses of the challenges facing Finnish corporations in China and Russia reported together with extensive quotes from our interviews and insights from other recent studies will help readers draw their own conclusions as to how to deal with issues related to competence management across borders. With this book we also aspire to contribute to the academic literature by providing new insights into cross-border competence management in general and the operations of Finnish corporations in Russia and China in particular.

Multiwall carbon nanotubes from pyrolysis of tetrahydrofuran

Multiwalled carbon nanotubes have been prepared by pyrolysing tetrahydrofuran (THF) in the presence of nickelocene. Pyrolysis of the precursor mixture has been achieved at temperature as low as 600 degrees C. In this simple approach no carrier gas has been used. The yield of purified carbon nanotubes is found to be more than 65%. Characterization of the as-prepared and purified nanotubes are done by Xray diffraction, scanning electron microscopy, high-resolution transmission electron microscopy and Raman spectra.

Synthesis of metal oxide nanorods using carbon nanotubes as templates

Nanorods of several oxides, with diameters in the range of 10-200 nm and lengths upto a few microns, have been prepared by templating against carbon nanotubes. The oxides include V2O5, WO3, MoO3 and Sb2O5 as well as metallic MoO2, RuO2 and IrO2. The nanorods tend to be single-crystalline structures. Nanotube structures have also been obtained in MoO3 and RuO2.

Terahertz Spectroscopy of Single-Walled Carbon Nanotubes in a Polymer Film: Observation of Low-Frequency Phonons

We investigate the dielectric response of single-walled carbon nanotubes dispersed in poly(vinyl alcohol) matrix by using terahertz time domain spectroscopy. Frequency-dependent real and imaginary parts of the complex dielectric function are measured experimentally in the terahertz regime. The low-frequency phonons of carbon nanotubes, though predicted theoretically, are directly observed for the first time at frequencies 0.26, 0.60, and 0.85 THz. Further, a broad resonance is observed at 1.15 THz associated with the longitudinal acoustic mode of vibration of straight-chain segments of the long polymeric molecules in the film. The latter is observed at 1.24 THz for a pristine polymer film and has been used to derive the size of crystalline lamellae in the film.

Formation of crystalline diamond from amorphous diamond-like carbon films by pulsed laser irradiation

The formation of crystalline diamond films from amorphous diamond-like carbon films by pulsed laser irradiation with a 300 μs non-Q-switched Nd:YAG laser has been established by a combined study of transmission electron microscopy, x-ray photoelectron spectroscopy, and electrical resistivity. The films have been prepared by glow discharge decomposition of a mixture of propane, n-butane, and hydrogen in a rf plasma operating at a frequency of 13.56 MHz. Prior to laser irradiation, the films have been found to be amorphous by transmission electron microscope studies. After irradiation, the electron diffraction patterns clearly point out the formation of cubic diamond structure with a lattice spacing of 3.555 Å. However, the close similarity between diamond and graphite electron diffraction patterns could sometimes be misleading regarding the formation of a diamond structure, and hence, x-ray photoelectron spectroscopic studies have been carried out to confirm the results. A chemical shift in the C 1s core level binding energies towards higher values, viz., from 286.5 to 287.8 eV after laser irradiation, and a high electrical resistivity >1013 Ω cm are consistent with the growth of diamond structure. This novel "low-temperature, low-pressure" synthesis of diamond films offers enormous potential in terms of device compatibility with other solid-state devices.

Effect of Nanostructuring and Ex situ Amorphous Carbon Coverage on the Lithium Storage and Insertion Kinetics in Anatase Titania

Implications of nanostructuring and conductive carbon interface on lithium insertion/removal capacity and insertion kinetics innanoparticles of anatase polymorph of titania is discussed here.Sol-gel synthesized nanoparticles of titania (particle size similar to 6 nm) were hydrothermally coated ex situ with a thin layer of amorphous carbon (layer thickness: 2-5 nm) and calcined at a temperature much higher than the sol-gel synthesis temperature. The carbon-titania composite particles (resulting size similar to 10 nm) displayed immensely superior cyclability and rate capability (higher current rates similar to 4 g(-1)) compared to unmodified calcined anatase titania. The conductive carbon interface around titania nanocrystal enhances the electronic conductivity and inhibits crystallite growth during electrochemical insertion/removal thus preventing detrimental kinetic effects observed in case of unmodified anatase titania. The carbon coating of the nanoparticles also stabilized the titania crystallographic structure via reduction in the accessibility of lithium ions to the trapping sites. This resulted in a decrease in the irreversible capacity observed in the case of nanoparticles without any carbon coating.

Effect of insertion of buffer-strip on the response of carbon-epoxy system in short beam tests

dThe work looks at the response to three-point loading of carbon-epoxy (CF-EP) composites with inserted buffer strip (BS) material. Short beam Shear tests were performed to study the load-deflection response as well as fracture features through macroscopy on the CF-EP system containing the interleaved PTFE-coated fabric material. Significant differences were noticed in the response of the CF-EP system to the bending process consequent to the architectural modification. It was inferred that introduction of small amounts of less adherent layers of material at specific locations causes a decrement in the load carrying capability. Further the number and the ease with which interface separation occurs is found to depend on the extent to which the inserted layer is present in either single or multiple layer positions.

Electrochemical investigation of single-walled carbon nanotubes for hydrogen storage

Electrodes made of purified and open single walled carbon nanotubes behave like metal hydride electrodes in Ni-MH batteries, showing high electrochemical reversible charging capacity up to 800 mAh g(-1) corresponding to a hydrogen storage capacity of 2.9 wt% compared to known AB(5), AB(2) metal hydride electrodes. (C) 2000 Elsevier Science Ltd. All rights reserved.