Essays on pricing of risk and international linkage of Russian stock market

Last two decades have seen a rapid change in the global economic and financial situation; the economic conditions in many small and large underdeveloped countries started to improve and they became recognized as emerging markets. This led to growth in the amounts of global investments in these countries, partly spurred by expectations of higher returns, favorable risk-return opportunities, and better diversification alternatives to global investors. This process, however, has not been without problems and it has emphasized the need for more information on these markets. In particular, the liberalization of financial markets around the world, globalization of trade and companies, recent formation of economic and regional blocks, and the rapid development of underdeveloped countries during the last two decades have brought a major challenge to the financial world and researchers alike. This doctoral dissertation studies one of the largest emerging markets, namely Russia. The motivation why the Russian equity market is worth investigating includes, among other factors, its sheer size, rapid and robust economic growth since the turn of the millennium, future prospect for international investors, and a number of important major financial reforms implemented since the early 1990s. Another interesting feature of the Russian economy, which gives motivation to study Russian market, is Russia’s 1998 financial crisis, considered as one of the worst crisis in recent times, affecting both developed and developing economies. Therefore, special attention has been paid to Russia’s 1998 financial crisis throughout this dissertation. This thesis covers the period from the birth of the modern Russian financial markets to the present day, Special attention is given to the international linkage and the 1998 financial crisis. This study first identifies the risks associated with Russian market and then deals with their pricing issues. Finally some insights about portfolio construction within Russian market are presented. The first research paper of this dissertation considers the linkage of the Russian equity market to the world equity market by examining the international transmission of the Russia’s 1998 financial crisis utilizing the GARCH-BEKK model proposed by Engle and Kroner. Empirical results shows evidence of direct linkage between the Russian equity market and the world market both in regards of returns and volatility. However, the weakness of the linkage suggests that the Russian equity market was only partially integrated into the world market, even though the contagion can be clearly seen during the time of the crisis period. The second and the third paper, co-authored with Mika Vaihekoski, investigate whether global, local and currency risks are priced in the Russian stock market from a US investors’ point of view. Furthermore, the dynamics of these sources of risk are studied, i.e., whether the prices of the global and local risk factors are constant or time-varying over time. We utilize the multivariate GARCH-M framework of De Santis and Gérard (1998). Similar to them we find price of global market risk to be time-varying. Currency risk also found to be priced and highly time varying in the Russian market. Moreover, our results suggest that the Russian market is partially segmented and local risk is also priced in the market. The model also implies that the biggest impact on the US market risk premium is coming from the world risk component whereas the Russian risk premium is on average caused mostly by the local and currency components. The purpose of the fourth paper is to look at the relationship between the stock and the bond market of Russia. The objective is to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. The Constant Conditional Correlation model by Bollerslev (1990), the Dynamic Conditional Correlation model by Engle (2002), and an asymmetric version of the Dynamic Conditional Correlation model by Cappiello et al. (2006) are used in the analysis. The empirical results do not support the assumption of constant conditional correlation and there was clear evidence of time varying correlations between the Russian stocks and bond market and both asset markets exhibit positive asymmetries. The implications of the results in this dissertation are useful for both companies and international investors who are interested in investing in Russia. Our results give useful insights to those involved in minimising or managing financial risk exposures, such as, portfolio managers, international investors, risk analysts and financial researchers. When portfolio managers aim to optimize the risk-return relationship, the results indicate that at least in the case of Russia, one should account for the local market as well as currency risk when calculating the key inputs for the optimization. In addition, the pricing of exchange rate risk implies that exchange rate exposure is partly non-diversifiable and investors are compensated for bearing the risk. Likewise, international transmission of stock market volatility can profoundly influence corporate capital budgeting decisions, investors’ investment decisions, and other business cycle variables. Finally, the weak integration of the Russian market and low correlations between Russian stock and bond market offers good opportunities to the international investors to diversify their portfolios.

Stability-indicating methods for quantitative determination of zidovudine and stavudine in capsules

Zidovudine (AZT) and stavudine (D4T) are nucleoside reverse transcriptase inhibitors extensively used in human immunodeficiency virus (HIV) infected patients. In order to evaluate the quality of these drugs, two stability indicating HPLC methods were developed. The validated methods were applied in quantitative determination of AZT, D4T and their induced degradation products in capsule preparations. The stability studies were conducted at controlled temperature and relative humidity conditions based on the International Conference on Harmonization stability studies protocol for Zone IV areas. Easy sample preparation and low-cost make these methods especially useful for quality control and stability studies of AZT and D4T in drug products.

Platinum Electrodeposition in an Ionic Liquid Analogue. Solvent Stability Monitoring

The use of ionic liquid analogues as solvents has increased in order to substitute the aqueous solvents in some applications in which the side reactions are undesirable. However these solvents prepared from the mixture in the eutectic proportion of species establishing hydrogen bonds are susceptible of electrochemical reactions. The study of platinum deposition on vitreous carbon in an ionic liquid analogue (2 urea: choli ne chloride) is presented; the electrochemical study has permitted to interpret the sequence of the metal deposition process and simultaneously to analyze the behavior of the ionic liquid analogue along the process. Reduction reactions of the solvent relat ed both to the electronation of choline and hydrogen formation have been detected. Different substrata have been used in order to test the possibility and the extent of these reactions depending on the nature of material. The results indicate that the feas ible electrochemical window of the substrate/solvent is highly dependent of the kind of substrate; the negative limit is tied by the massive hydrogen reaction, reaction enhanced by the electrocatalytic character of the substrate.

Families of periodic horseshoe orbits in the restricted three-body problem

We compute families of symmetric periodic horseshoe orbits in the restricted three-body problem. Both the planar and three-dimensional cases are considered and several families are found.We describe how these families are organized as well as the behavior along and among the families of parameters such as the Jacobi constant or the eccentricity. We also determine the stability properties of individual orbits along the families. Interestingly, we find stable horseshoe-shaped orbit up to the quite high inclination of 17◦

The effect of microfibrillated cellulose addition on drying shrinkage and dimensional stability of wood-free paper

Microfibrillated cellulose (MFC) is known to enhance strength properties of paper. Improved strength usually means increased bonding which is strongly connected to dimensional instability of paper. Dimensional instability is due to changes in moisture content of paper; when paper is moistened it expands and when dried, it shrinks. Hygroexpansion is linked to end-use problems and excessive drying shrinkage consumes strength potential. Effective use of materials requires controlling of these phenomena. There isn’t yet data concerning dimensional stability of papers containing MFC which restricts wider use of MFC. Main objective of the work was to evaluate dimensional stability of wood-free paper containing different amounts of MFC. Sheets were dried with different methods to see how drying strains effected on drying shrinkage and hygroexpansion. Also tensile strength was measured to find out the effect of MFC. Results were compared to sheets containing kraft fines and in some test points cationic starch was used alongside with MFC. MFC increased the dimensional instability of freely dried sheets. As the amounts of MFC increased the effects on dimensional stability became more severe. However the fineness of MFC didn’t play any important role. Both hygroexpansion and drying shrinkage were decreased with cationic starch addition. Prevention of drying shrinkage over powered the effects of additives on hygroexpansion. Tensile strength improved up till 7 % addition amount which could be set as the upper limit of MFC addition when paper preparation and tensile strength are concerned.

The stability of right- and left-handed alpha-helices as a function of monomer chirality

Poly-L-alanine forms stable right-handed alpha-helices, whereas Poly-D-alanine is stable as left-handed alpha helices.

Amphotericin B associated with triglyceride-rich nanoemulsion: stability studies and in vitro antifungal activity

Amphotericin B (AB) is the standard drug for invasive fungal infection therapy. It has a broad spectrum of activity and it is the best antifungal available against most yeasts and molds. Its therapeutic use, however, is limited by significant side effects, leading to a low therapeutic index when it is used as the traditional formulation (Fungizone®). Due to self-association, AB can form pores in cholesterol-containing membranes. We propose a triglyceride-rich nanoemulsion as a delivery system for AB in low levels of aggregation to reduce the toxicity against host cells.

Method validation and stability study of quercetin in topical emulsions

This study validated a high performance liquid chromatography (HPLC) method for the quantitative evaluation of quercetin in topical emulsions. The method was linear within 0.05 - 200 μg/mL range with a correlation coefficient of 0.9997, and without interference in the quercetin peak. The detection and quantitation limits were 18 and 29 ng/mL, respectively. The intra- and inter-assay precisions presented R.S.D. values lower than 2%. An average of 93% and 94% of quercetin was recovered for non-ionic and anionic emulsions, respectively. The raw material and anionic emulsion, but not non-ionic emulsion, were stable in all storage conditions for one year. The method reported is a fast and reliable HPLC technique useful for quercetin determination in topical emulsions.

Stability of antioxidants vitamins in bee pollen samples

This study evaluated the stability of vitamins C, E and β-carotene in six samples of bee pollen after their process, and in a one-year period of storage. After the pollen's process, there was a 67.1% increase for vitamin C (p <0.05), an 18.7% loss for vitamin E and 15.6% for β-carotene. Storage in freezer was the most efficient condition for the vitamins conservation; the loss in storage at room temperature (exposed or protected from light) was similar. Vitamin E appears to be better preserved during storage when compared to vitamin C and β-carotene.

Aplicação do delineamento simplex-centroide no estudo da cinética da oxidação de biodiesel B100 em mistura com antioxidantes sintéticos

Antioxidants are an alternative to prevent or slow the degradation of the biofuel. In this study, it was evaluated the oxidative stability of B100 biodiesel from soybean oil in the presence of three commercial synthetic antioxidants, butylated hydroxyanisole (BHA), butylated hydroxytoluene (BHT) and tert-butylhydroquinone (TBHQ), pure or blended, from the experimental design of simplex-centroid mixture. The reaction order and rate constant were also calculated for all tests. The treatment containing pure TBHQ proved to be the most effective, proven by design, the optimum mix obtained and the rate constant. Binary and ternary mixtures containing TBHQ also showed appreciable antioxidant effect.

Electrochemical study, on mercury, of a Meta-nitroarylamine derivative of nor-β-lapachone, an antitumor and trypanocidal compound

The electrochemistry of 2,2-dimethyl-(3H)-3-(N-3'-nitrophenylamino)naphtho[1,2- b]furan-4,5-dione ([Q]-PhNO2), on mercury was investigated. The first peak is consistent with a quasi-reversible one-electron reduction of the ortho-quinone, forming [Q•-]-PhNO2, while the second one, bielectronic, corresponds to the simultaneous reduction of the latter radical to a dianion and the nitro group to a nitro radical anion. The second order rate constant, k disp, for the decay of [Q•-]-PhNO2 is 15.188 x 10³ ± 827 mol"1 L s"1 and the t1/2 equals 0.06 s. E¹7Ic values for [Q]-PhNO2 and its precursor, nor-β-lapachone, are similar. The ease of semiquinone generation and its stability are parameters statistically relevant in the correlation biochemical/theoretical aspects.

Development and validation of a stability-indicating UPLC method for rosuvastatin and its related impurities in pharmaceutical dosage forms

The present work describes a novel stability-indicating reversed-phase ultra performance liquid chromatography method for the separation and quantification of rosuvastatin (RSV) and its related impurities in the pharmaceutical dosage forms under forced degradation conditions. An unknown degradation impurity detected in the acid degradation was identified by using quadrupole time-of-flight mass spectrometry. The chromatographic separation was carried out on C-18 column (100 x 2.1 mm, 1.7 μm) using isocratic elution with methanol and 0.1% trifluoroacetic acid (50:50). The total run time was 12 min within which RSV as well as all related impurities and degradation products were separated. The developed method was validated for RSV and related impurities in pharmaceutical dosage forms.

Chemical stability of enalapril maleate drug substance and tablets by a stability-indicating liquid chromatographic method

The chemical stability of enalapril drug substance and tablets was studied by a stability-indicating liquid chromatographic method. Stress testing was performed on drug substance under various conditions. Accelerated stability testing was carried out for different formulations of enalapril tablets. Chromatographic separation was achieved on a RP-18 column, using a mobile phase of methanol phosphate buffer at 1.0 mL min"1 and UV detection. Degradation of the drug substance was greater under hydrolytic conditions. After 180 days of accelerated stability testing most enalapril tablets showed more than 10% of degradation. Enalapril drug substance and tablets showed instability under stress and accelerated testing respectively, with possible implications on the therapeutic activity.

Electrodeposition of gold from formaldehyde-sulfite baths: bath stability and deposits characterization

It was investigated Au(I)-sulfite baths containing formaldehyde. As a result, high stability was achieved for baths containing formaldehyde concentration close to 10 mL L-1 with a lifetime superior to 600 days. On the other hand, cyclic voltammograms indicated that the increase of formaldehyde concentration in the bath promotes decreasing of the maximum cathodic current, so that, if the formaldehyde concentration is high, the surface areal concentration of gold will be low. Also, the lowest surface roughness was obtained for 10 mL L-1 of formaldehyde.

Development and validation of a stability-indicating HPLC method for the determination of buclizine hydrochloride in tablets and oral suspension and its application to dissolution studies

A method using liquid chromatography has been developed and validated for determination of buclizine in pharmaceutical formulations and in release studies. Isocratic chromatography was performed on a C18 column with methanol:water (80:20 v/v, pH 2.6) as mobile phase, at a flow rate of 1.0 mL/min, and UV detection at 230 nm. The method was linear, accurate, precise, sensible and robust. The dissolution test was optimized and validated in terms of dissolution medium, apparatus agitation and rotation speed. The presented analytical and dissolution procedures can be conveniently adopted in the quality and stability control of buclizine in tablets and oral suspension.