Given the role electricity and natural gas sectors play in the North American economy, an understanding of how markets for these commodities interact is important. This dissertation independently characterizes the price dynamics of major electricity and natural gas spot markets in North America by combining directed acyclic graphs with time series analyses. Furthermore, the dissertation explores a generalization of price difference bands associated with the law of one price. Interdependencies among 11 major electricity spot markets are examined in Chapter II using a vector autoregression model. Results suggest that the relationships between the markets vary by time. Western markets are separated from the eastern markets and the Electricity Reliability Council of Texas. At longer time horizons these separations disappear. Palo Verde is the important spot market in the west for price discovery. Southwest Power Pool is the dominant market in Eastern Interconnected System for price discovery. Interdependencies among eight major natural gas spot markets are investigated using a vector error correction model and the Greedy Equivalence Search Algorithm in Chapter III. Findings suggest that the eight price series are tied together through sixlong-run cointegration relationships, supporting the argument that the natural gas market has developed into a single integrated market in North America since deregulation. Results indicate that price discovery tends to occur in the excess consuming regions and move to the excess producing regions. Across North America, the U.S. Midwest region, represented by the Chicago spot market, is the most important for price discovery. The Ellisburg-Leidy Hub in Pennsylvania and Malin Hub in Oregon are important for eastern and western markets. In Chapter IV, a threshold vector error correction model is applied to the natural gas markets to examine nonlinearities in adjustments to the law of one price. Results show that there are nonlinear adjustments to the law of one price in seven pair-wise markets. Four alternative cases for the law of one price are presented as a theoretical background. A methodology is developed for finding a threshold cointegration model that accounts for seasonality in the threshold levels. Results indicate that dynamic threshold effects vary depending on geographical location and whether the markets are excess producing or excess consuming markets.

Thesis (M.S.)--West Virginia University, 2003. / Title from document title page. Document formatted into pages; contains ix, 87 p. : ill. (some col.). Includes abstract. Includes bibliographical references (p. 84-87).

This thesis investigates the contribution of productivity shocks at different aggregation levels to residential investment and relative house prices in ten local housing markets in Canada from 1986 to 2007. It has two major conclusions. First, while in BC, Ontario, and four Atlantic Provinces, residential investment is more likely to be affected by aggregate shocks, in Quebec and three Prairie Provinces, residential investment is less responsive to aggregate shocks, and more likely to be affected by region-specific shocks. Second, relative house prices are much more variable than residential investment, and largely depend on region-specific factors.

This dissertation explores the changing nature of food provisioning in the contemporary Third World city, employing the experience of Accra, Ghana, as a case study. The issue is studied by examining changes that are occurring within urban food markets, and how households are altering their food acquisition patterns in response to structural changes within the city. The investigation provides an in-depth analysis of the policy framework and socio-economic context for the delivery of, and access to, food in Accra, and probes the food situation as a window to investigate broader issues relating to poverty, livelihoods, and coping strategies within a Third World city. Data were collected from three markets and six residential neighbourhoods through focus group discussions and personal interviews. The investigation reveals that the food system has been altered by processes of transformation occurring in the city, with dire implication for access to food by the poor. The activities of traders in maintaining the urban food supply emphasize the dominance of individual initiatives in sustaining the city. The household surveys show that the level of direct engagement between households and the food market is waning, as households increasingly source their food from city’s various food outlets. This does not mean that food markets are losing their significance in the food supply chain. They remain the nexus between the source of supply (farmstead or port) and the urban household consumer. This case study indicates that urban economic restructuring is translated into the lives of residents by altering how people meet their needs. It illustrates how individuals and households adopt new ways of engaging their changing environment and navigating the landscape in order to survive. The coping strategies adopted highlight the resilience of vulnerable groups to this precarious urban landscape. These people are not passive victims to the constraints they face. Their responses to crisis make them active participants in the transformation of the city. The study concludes that understanding how the poor organize themselves to meet their challenges is key to understanding any interventions that are designed to tackle urban poverty or improve access to basic needs in the city. / Thesis (Ph.D, Geography) -- Queen's University, 2009-04-24 10:56:51.709

This thesis investigates whether the estimation of the cost of equity (or the expected return) in the Swedish market should incorporate an adjustment for a company’s size. This is what is commonly known as the size-effect, first presented by Banz (1980) and has later been a part of models for estimating cost of equity, such as Fama & French’s three factor model (1992). The Fama & French model was developed based on empirical research. Since the model was developed, the research on the size-effect has been divided and today there are empirical studies contradicting its existence. Arguments against the size-effect are to some extent supported by the fact that there is no solid theoretical explanation for it. It seems however that market participants in the Swedish markets do adjust for the size.A limitation of the Fama & French model is that market data is required for the estimation. Our starting point is to investigate if there is a presence of the size-effect in the Swedish markets using a modified version Fama & French model. In our modified model a proxy for the market value of the firm has been introduced, namely the firms turnover. This is motivated by the fact data regarding a company’s turnover is available for private firms as well. In the case that size-effect is observable using the turnover as a proxy this would allow to extend the model to estimate the cost of equity for private firms. In the case where a consistent estimated marginal effect of the turnover is observed, our model could be used to estimate cost of equity with reasonable precision. Historical data on Swedish companies from each of the OMX Large, Mid & Small cap lists is used in a regression setting to investigate if any statistical significant results can be observed on whether the logarithm of the turnover affects the expected return.Our results indicate that the marginal effect of the turnover is positive, contradicting previous research and economic intuition that size of a company should be negatively correlated (or uncorrelated) with the expected return. By investigating the internal and external validity of the results, comparison to previous research and assessing data quality, we conclude that errors originating from these factors are not plausible to cause the unintuitive results. We therefore conclude that the use of turnover as a proxy for market value is not viable, which may be attributed to the fundamental relationship between the turnover and cost of equity in valuation formulas. Conclusively we cannot draw any further conclusions regarding presence of size-effect in the Swedish equity markets and discard the possibility of using our modified model for estimating cost of equity for private firms.

The objective of this thesis was to analyse the empirical applicability of the Arbitrage Pricing Theory to international asset markets (UK stock market and US stock market) and to identify the set of economic variables which correspond most closely with the stock market factors obtained from the traditional factor analysis. Factor analysis and canonical correlation analysis were used as the principal tools for the empirical testing. Although factor analysis is frequently used, canonical correlation analysis is an new technique in this area and provides a method of linking factors extracted from the two sets of data. Various economic indicators were investigated as systematic influences on stock returns. It was shown that, based on the foundations of the APT and the characteristics of the factor scores from the factor analysis on the security returns and the economic indicators, canonical correlation analysis is an approximate technique to link the stock market and the economic forces. The results using the UK data imply that there is a good correspondence between factor scores generated by the factor analysis on the UK security returns and on the UK economic indicators. The results using the US data show that there is also a fair correspondence, but lower than that for the UK data, between factor scores generated by the factor analysis on the US security returns and on the US economic indicators. The APT was also investigated in an international setting by considering the UK data and the US data together. The results show that the canonical correlation analysis successfully links the stock returns and economic forces. The conclusion of these empirical findings is that security returns are influenced by a number of systematic economic forces. The validity and applicability of the APT were also empirically evaluated. The regression results show that the explanatory power of the APT model is fairly good. The overall results obtained here appear to suggest that the APT pricing relationship is supported by the testing methodology. In addition, the international correlation structure of financial markets movements between the UK economy and the US economy has been analysed. On balance, the evidence favours the APT and there is available evidence of inter-market linkage between the UK and the US. Individual sets of economic variables have been identified which correspond most closely with the UK and the US stock market factors by using the canonical correlation analysis. The results, at least partially, contribute to the understanding of security market pricing.

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