Market efficiency and calendar anomalies in the Russian stock market

Tämän tutkimuksen tarkoituksena on tarkastella esiintyykö Venäjän osakemarkkinoilla kalenterianomalioita. Tutkimus keskittyy Halloween-, kuukausi-, kuunvaihde-, viikonpäivä- ja juhlapäiväanomalioiden tarkasteluun. Tutkimusaineistona käytetään RTS (Russian Trading System) indeksiä. Tarkasteluaika alkaa 1. syyskuuta 1995 ja loppuu 31. joulukuuta 2005. Havaintojen kokonaismäärä on 2584. Tutkimusmenetelmänä käytetään pienimmän neliösumman menetelmää (OLS). Tutkimustulokset osoittavat, että Venäjän osakemarkkinoilla esiintyy Halloween-, kuunvaihde- ja viikonpäiväanomalioita. Sen sijaan kuukausi- ja juhlapäiväanomalioita ei tulosten mukaanesiinny Venäjän osakemarkkinoilla. Tulokset osoittavat lisäksi, että suurin osaanomalioista on merkittävämpiä nykyään kuin Venäjän osakemarkkinoiden ensimmäisinä vuosina. Näiden tulosten perusteella voidaan todeta, että Venäjän osakemarkkinat eivät ole vielä tehokkaat.

Calendar anomalies in stock returns: Evidence from South America

This bachelor's thesis studies calendar anomalies in stock returns in five South American countries including Argentina, Brazil, Chile and Mexico. The analysis in done using regression analysis and the OLS- method.

The Month-of-the Year Effect nos mercados europeu, americano, australiano e asiático

Dissertação de Mestrado em Gestão/MBA

Kalenterianomaliat pohjoismaisilla sähkömarkkinoilla

Osakemarkkinoilta on jo useiden vuosien ajan julkaistu lukuisia tutkimuksia, joissa on esitetty havaintoja ajallisesta säännönmukaisuudesta osakkeiden hinnoissa, joita ei pystytä selittämään markkinakohtaisilla fundamenteilla. Nämä niin kutsutut kalenterianomaliat esiintyvät tyypillisesti ajallisissa käännepisteissä, kuten vuoden, kuukauden tai viikon vaihtuessa seuraavaksi. Myös erilaisten katkosten, kuten juhlapyhien, kaupankäyntirutiineissa on havaittu aiheuttavan anomalioita. Tutkimuksen tavoitteena oli tutkia osakemarkkinoilla havaittujen kalenterianomalioiden esiintymistä pohjoismaisilla sähkömarkkinoilla. Tutkitut anomaliat olivat viikonpäivä- kuukausi-, kuunvaihde- ja juhlapyhäanomalia. Näiden lisäksi tutkittiin tuottojen käyttäytymistä optioiden erääntymispäivien läheisyydessä. Yksittäisten tuotteiden sijasta tarkastelut suoritettiin sesonki- ja kvartaalituotteista muodostetuilla vuosituotteilla. Testauksessa käytettiin pienimmän neliösumman menetelmää, huomioidenheteroskedastisuuden, autokorrelaation ja multikollineaarisuuden vaikutukset. Pelkkien kalenterimuuttujien lisäksi testit suoritettiin regressiomalleilla, joissa lisäselittäjinä käytettiin spot-hintaa, päästöoikeuden hintaa ja/tai sade-ennusteita. Tarkastelujakso koostui vuosista 1998-2006.

Kalenterianomaliat Suomessa, Yhdysvalloissa, Isossa-Britanniassa ja Kaakkois-Aasiassa

Tutkimuksessa selvitetään kalenterianomalioiden esiintymistä Suomessa, Yhdysvalloissa, Isossa-Britanniassa ja Kaakkois-Aasiassa. Työssä esitellään erilaisia kalenterianomalioita, joita ovat muun muassa viikonpäivä-, kuukausi- ja vuodenvaihdeanomalia. Tutkimuksessa esitellään myös aikaisempia tutkimuksia sekä anomalioita kritisoivaa käyttäytymistieteellisen rahoituksen teoriaa. Aikaisempien tutkimusten tapaan tutkimusaineisto koostui kohdealuei-den markkinoita kuvaavien osakeindeksien päiväkohtaisista tuotoista. Tutkimusperiodi on vuodesta 2002 vuoteen 2012. Tutkimukses-sa käytettiin lineaarista regressioanalyysia selvittämään poikkeavia tuotto-ja. Työssä keskityttiin viikonpäivä- ja kuukausianomalioiden lisäksi etsi-mään poikkeavia tuottoja myös jaettaessa aineisto kvartaaleittain sekä puolivuosittain. Tutkimustulosten perusteella anomaliaa havaittiin ainoastaan Kaakkois-Aasian markkinoilla. Jaettaessa aineisto puolivuosittain, huomattiin alku-vuoden tuottojen olevan korkeampia kuin tuotot keskimäärin heinäkuusta joulukuuhun. Tulos viittaa kehittyneiden markkinoiden toimivan kehittyviä markkinoita tehokkaammin. Kehittyneillä markkinoilla ei tutkimusaineis-ton perusteella voida havaita kalenteri-ilmiöstä johtuvia poikkeavia tuotto-ja.

Efeito dos dias da semana na volatilidade do índice S&P 500: Um estudo empírico

Mestrado em Contabilidade e Análise Financeira,

Anomalias da hipótese de eficiência de mercado: estudo do efeito dia da semana na Bolsa de Valores de Cabo Verde

A eficiência dos mercados tem sido uma questão que tem despertado muito interesse no campo dos investimentos e da investigação financeira durante as últimas décadas, mas nos últimos anos com a intensificação dos estudos e surgimento de evidências da existência de comportamentos anómalos nas rentabilidades dos ativos financeiro, esta teoria passou a ser questionada no meio académico. A discussão do tema é ainda muito polémico, pois existem de um lado os defensores da hipótese de eficiência que defendem que as anomalias identificadas não podem ser generalizadas e não são consistentes ao longo do tempo, e de outro lado os defensores da corrente das finanças comportamentais, segundo os quais as anomalias são provocadas por padrões documentados de comportamento irracional dos investidores, sendo que estes comportamentos são inconsistentes com a teoria de eficiência dos mercados. Entre as anomalias detetadas, destacam-se as anomalias de Calendário, tais como o efeito Janeiro, efeito dia da semana, efeito feriado, entre outros; anomalias na valorização de ativos, tais como o efeito tamanho e outras anomalias de sobre reação. O efeito dia da semana é dos mais persistentes detetados em vários mercados internacionais e tendo em conta este cenário, o objetivo desta dissertação é a verificação da existência das anomalias de calendário, mais precisamente o efeito dia da semana onde se irá analisar o efeito segunda-feira, efeito sexta-feira, o efeito fim-de­ semana. Para esta verificação foram utilizadas as cotações diárias médias do Índice da Bolsa de Valores de Cabo Verde, no período de finais de 2005 a finais de 2008. A análise estatística dos resultados diários indicou que não existem evidências da existência do efeito dia da semana. ABSTRACT: The markets efficiency has been an issue of particular interest in the field of financial investigation in recent decades. However, due to the intensification of the studies and the arise of evidences about the existence of abnormal behaviours on financial assets returns, over the last years, this theory begun to be discussed in academic circles. The debate of this theme is still very controversial, because on one hand there are the defenders of the efficiency hypothesis, who defend that identified anomalies cannot be generalized and are not consistent in the long-term; on the other hand, there are the defenders of behavioral finance tendency, to whom the anomalies are caused by documented patterns about the irrational behaviour of investors. These behaviours are inconsistent with the markets efficient theory. Among the detected anomalies, we highlight the calendar anomalies, such as: the January effect, the day of week effect and holiday effect among others; anomalies over the valuation of assets, such as: the size effect and other anomalies on the reaction. The day of week effect is one of the most persistent effect detected in several international markets, and due to this scenario, the objective of this essay is the finding of calendar abnormalities, namely the day of week effect, where the Monday, the Friday and the weekend effects will be analyzed. For this checking, we used the average daily exchange rates from the prices of the Cape Verde Stock Exchange, for the period from late 2005 to late 2008. The statistical analysis of daily results indicated that there is no evidence of the existence of the day of the week effect.

A global picture of the seasonal persistence of stratospheric ozone anomalies

Interannual anomalies in vertical profiles of stratospheric ozone, in both equatorial and extratropical regions, have been shown to exhibit a strong seasonal persistence, namely, extended temporal autocorrelations during certain times of the calendar year. Here we investigate the relationship between this seasonal persistence of equatorial and extratropical ozone anomalies using the SAGE‐corrected SBUV data set, which provides a long‐term ozone profile time series. For the regions of the stratosphere where ozone is under purely dynamical or purely photochemical control, the seasonal persistence of equatorial and extratropical ozone anomalies arises from distinct mechanisms but preserves an anticorrelation between tropical and extratropical anomalies established during the winter period. In the 16–10 hPa layer, where ozone is controlled by both dynamical and photochemical processes, equatorial ozone anomalies exhibit a completely different behavior compared to ozone anomalies above and below in terms of variability, seasonal persistence, and especially the relationship between equatorial and extratropical ozone. Cross‐latitude‐time correlations show that for the 16–10 hPa layer, Northern Hemisphere (NH) extratropical ozone anomalies show the same variability as equatorial ozone anomalies but lagged by 3–6 months. High correlation coefficients are observed during the time frame of seasonal persistence of ozone anomalies, which is June– December for equatorial ozone and shifts by approximately 3–6 months when going from the equatorial region to NH extratropics. Thus in the transition zone between dynamical and photochemical control, equatorial ozone anomalies established in boreal summer/autumn are mirrored by NH extratropical ozone anomalies with a time lag similar to transport time scales. Equatorial ozone anomalies established in boreal winter/spring are likewise correlated with ozone anomalies in the Southern Hemisphere extratropics with a time lag comparable to transport time scales, similar to what is seen in the NH. However, the correlations between equatorial and SH extratropical ozone in the 10–16 hPa layer are weak.

The use of fluorescence in situ hybridization in the diagnosis of hidden mosaicism: apropos of three cases of sex chromosome anomalies

FISH has been used as a complement to classical cytogenetics in the detection of mosaicism in sex chromosome anomalies. The aim of this study is to describe three cases in which the final diagnosis could only be achieved by FISH. Case 1 was an 8-year-old 46,XY girl with normal female genitalia referred to our service because of short stature. FISH analysis of lymphocytes with probes for the X and Y centromeres identified a 45,X/46,X,idic(Y) constitution, and established the diagnosis of Turner syndrome. Case 2 was a 21-month-old 46,XY boy with genital ambiguity (penile hypospadias, right testis, and left streak gonad). FISH analysis of lymphocytes and buccal smear identified a 45,X/46,XY karyotype, leading to diagnosis of mixed gonadal dysgenesis. Case 3 was a 47,XYY 19-year-old boy with delayed neuromotor development, learning disabilities, psychological problems, tall stature, small testes, elevated gonadotropins, and azoospermia. FISH analysis of lymphocytes and buccal smear identified a 47,XYY/48,XXYY constitution. Cases 1 and 2 illustrate the phenotypic variability of the 45,X/46,XY mosaicism, and the importance of detection of the 45,X cell line for proper management and follow-up. In case 3, abnormal gonadal function could be explained by the 48,XXYY cell line. The use of FISH in clinical practice is particularly relevant when classical cytogenetic analysis yields normal or uncertain results in patients with features of sex chromosome aneuploidy. Arq Bras Endocrinol Metab. 2012;56(8):545-51

Endodontic treatment of dental formation anomalies

PURPOSE: Dental fusion is defined as the union of two dental germs at some stage of their development. The aim of this article is to report the endodontic treatment of two clinical cases of dental fusion. CASE DESCRIPTION: In the first case, the patient was referred by an orthodontist for endodontic treatment of tooth 12, which was fused to 13. Surgical separation and later replacement of the involved elements in the dental arch was indicated. In the second case, the patient sought dental attendance due to spontaneous pain. In the radiographic exam, gemination in tooth 11 and fusion of 21 with a supernumerary tooth was observed. The fused teeth were endodontically treated, and patients were referred to other dental specialties to reestablish esthetics and function. CONCLUSION: The dentist must be able to diagnose, differentiate and treat these dental anomalies adequately, with the goal of maintaining patients' oral health.

Increased Occurrence of Dental Anomalies Associated with Second-Premolar Agenesis

Objective: To evaluate the prevalence of dental anomalies in patients with agenesis of second premolars and compare the findings with the prevalence of these anomalies in the general population. Materials and Methods: A Brazilian sample of 203 patients aged 8 to 22 years was selected. All patients presented agenesis of at least one second premolar. Panoramic and periapical radiographs and dental casts were used to analyze the presence of other associated dental anomalies, including agenesis of other permanent teeth, ectopia of unerupted permanent teeth, infraocclusion of deciduous molars, microdontia of maxillary lateral incisors, and supernumerary teeth. The occurrence of these anomalies was compared with occurrence data previously reported for the general population. Statistical testing was performed using the chi-square test (P < .05) and the odds ratio. Results: The sample with agenesis of at least one second premolar presented a significantly increased prevalence rate of permanent tooth agenesis (21%), excluding third molars. Among the sample segment aged 14 years or greater (N = 77), occurrence of third-molar agenesis (48%) exceeded twice its normal frequency. Significant increases in occurrence of microdontia of maxillary lateral incisors (20.6%), infraocclusion of deciduous molars (24.6%), and distoangulation of mandibular second premolars (7.8%) were observed. Palatally displaced canine anomaly was also significantly elevated (8.1%). Conclusion: The results provide evidence that agenesis of other permanent teeth, microdontia, deciduous molar infraocclusion, and certain dental ectopias are the products of the same genetic mechanisms that cause second-premolar agenesis. (Angle Orthod. 2009;79:436-441.)

Phonon anomalies due to strong-electronic correlations in layered organic metals

We show how the coupling between the phonons and electrons in a strongly correlated metal can result in phonon frequencies that have a nonmonotonic temperature dependence. Dynamical mean-field theory is used to study the Hubbard-Holstein model that describes the kappa-(BEDT-TTF)(2)X [where BEDT-TTF is bis-(ethylenedithia-tetrathiafulvalene)] family of superconducting molecular crystals. The crossover with increasing temperature from a Fermi liquid to a bad metal produces phonon anomalies that are relevant to recent Raman scattering and acoustic experiments.