This report investigates the relationship between the yield volatility and the price volatility in the Swedish market. The method given in our report can be used to analyze any market with appropriate data set. We have used a time-series data of interest rate yield curves from Swedish government bonds. The curves are bootstrapped from the bills and bonds. The linear interpolation on these curves results in the nodes i.e. 1Y, 2Y,..., 10Y. We also need prices for instruments. A good choice is to use the synthetic government bonds namely SE GVB 2Y, SE GVB 5Y, and SE GVB 10Y. They are issued every day with maturity 2, 5, and 10 years. We also use the time-series of these bonds. These bonds have a yearly coupon of 6%. We can get zero-coupon values of these bonds by stripping their coupons using the interest rate yield curves. We have time-series data of zero-coupon prices with maturities 2, 5, and 10 years and time-series data of interest rates with the same tenors. We can use our data to calculate their respective volatilities to investigate how they are related to each other.

This thesis analyses the relationship between month-ahead natural gas prices and imports into Europe against the backdrop of the 2022 Russian gas curtailment and gas price spike. Employing an ARCH model, the analysis focuses on the consortium of five major European consumers of natural gas: Italy, Germany, the Netherlands, the United Kingdom, and France. To gain a comprehensive understanding of the factors influencing natural gas prices in the European market, we include key variables such as natural gas consumption, production, storage levels, oil prices and temperature. The study finds that the European natural gas market is sensitive to decreased imports which exert a positive effect on prices and volatility. Therefore, we can infer that the proposed market factors influence gas prices in Europe. This research provides insights into the dynamics of natural gas pricing, presenting the implications of disruptions and uncertainties in the contemporary natural gas market.

The strive towards sustainability and its singular importance for all creatures on Earth has become the rallying cry of a generation. It has permeated into legislation, social practices, and the world of business. As companies start to implement increasingly more sustainable practices to meet these expectations placed on them by various stakeholders, a potential ‘conflict’ arises. One proxy for sustainability is the Environmental, Social, and Governance (ESG) measurement. This can give stakeholders an insight into how sustainable a given company is. It has also become quite prevalent in modern research. However, one field of business is seemingly under-researched; namely the mining industry. Taking an inter-supply chain perspective, dichotomized into upstream and downstream companies, it can be inferred that mining companies are seen to be upstream.  On the one hand, these upstream companies are far from the public consciousness and thus potentially outside the sphere of influence of the strive towards sustainability. On the other hand, if these companies are publicly traded, reports placing a given company in a negative light could potentially set a downward pressure on that company’s stock price; conceptualized as volatility. This causes a series of questions: Is this the case for upstream companies? Is it the case for downstream companies as well? Is there a difference between up- and downstream companies? From this, one arrives at the following research question: Is there a difference in the association between ESG scores and price volatility among North American mining companies and companies listed on the S&P 500?  To answer this research question, an empirical positivist study is undertaken. OLS regressions are made on the data and then the difference in coefficients is tested for significance. The results suggest a positive association between ESG score and price volatility for North American mining companies which is statistically different from the association in a similar regression for companies listed on the S&P 500. This result is further placed within the theoretical framework of stakeholder and agency theory. This study contributes by applying established methodologies in an under-researched field and illuminating the effect of heterogeneous expectations on different levels of global supply chains.

While numerous studies have investigated the impact of oil prices on the stock market, Chapter 2 is the first to examine the association between corporate bond yields and oil returns. We examine the association between oil-returns and corporate bond yields of four major U.S. industrial and financial sectors (including thirteen sub-sectors). Chapter 3 examines the reaction of stock markets in the U.K. and the Netherlands to a major composite event in the oil industry – the merger of the Royal Dutch Shell (RDSA) and the BG Group (BRGYY) on April 8, 2015, and the subsequent discovery of oil in southern England on April 9. We employ an exponential autoregressive conditionally heteroskedastic (EGARCH (1, 1)) framework in both Chapters, which allows for asymmetry of the effects between positive and negative external shocks including oil return shocks, shows the effects on both the yields/stock returns and their volatilities, and permits the persistence of the shocks to be measured. Three main results are obtained in Chapter 2. First, oil returns are significantly associated with the yield levels of corporate bonds issued in ten out of the thirteen sub-sectors considered within the oil-substitute, oil-related, oil-user, and financial services sectors. The three exceptions are the Petroleum Refinery, Building, and Chemical sub-sectors. Second, the return volatilities of corporate bonds issued in the Plastic & Rubber sub-sector demonstrate asymmetric responses to positive and negative shocks. To elaborate, negative shocks lead to lower volatility in the Plastic & Rubber sub-sector than positive shocks of the same magnitude. Third, the half-life, or the time it takes for the volatility of the portfolio of bonds in the Industrial Machinery sub-sector to move halfway back to its conditional mean after a shock is introduced, is 8.6 months. For bonds in all other sub-sectors, the half-life is less than 2.5 months. We obtain several results in Chapter 3. First, the composite event of merger and oil discovery generated significant abnormal returns in six out of the thirteen sub-sectors considered in the U.K. and three out of ten sub-sectors in the Netherlands. The remaining seven sub-sectors in the U.K. and the other seven sub-sectors in the Netherlands show no sensitivity in returns to the shock. Second, there is evidence of some information leakage about the composite event as demonstrated in the significant abnormal returns for Coal, Oil & Gas Extraction, Depository Institute, Chemical and Plastic & Rubber sub-sectors in U.K. and Coal, Depository Institute and Air Transportation sub-sectors in the Netherlands up to three days before the announcement of the composite event. Third, the behavioral patterns of four of the thirteen sub-sectors considered in the U.K. and four of the ten sub-sectors considered in the Netherlands demonstrate asymmetry in response to external shocks to their respective returns. These results have three main implications. First, investors holding bonds issued by the two sub-sectors with asymmetric oil shock effects need to add bonds from oil-related and oil-substitute sectors to lower the volatility of their bond portfolio because the latter do not exhibit asymmetry. Second, considering the overall finding of sensitivity to oil price changes, institutional investors need to examine the sensitivity of their bond portfolios to oil return changes and to guard against excessive risk. Similarly, corporations should monitor oil price variations and hedge the volatility risk accordingly. Finally, stock investors in the U.K. and the Netherlands might benefit from monitoring the key events that may affect the oil supply and oil prices, and acting accordingly. / Economics

Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. In this thesis, the application of the General Compound Hawkes Process (GCHP) is explored to predict price volatility. Within this framework, a Hawkes process is employed to estimate the times of price changes, and a Markovian model is utilized to determine their amplitudes. The price volatility is obtained through both numerical and analytical methodologies. The performance of the GCHP is assessed on a publicly available dataset, including five distinct stocks. To enhance accuracy, the number of states in the Markov chain is gradually increased, and the advantages of incorporating a higher-order Markov chain for refined volatility estimation are demonstrated.

Kubikenborg Aluminium AB, Kubal är Sveriges enda tillverkare av aluminium och står inför flera risker i sin inköpsprocess som prisvolatilitet och leveransavbrott för sina råmaterial vilket är nödvändiga för deras produktion. Faktorer som policy ändringar och Covid-19 lägger stor risk att påverka dessa risker negativt. Studien genomfördes med olika datainsamling- och analys metoder för att identifiera och utveckla möjliga riskhanteringsstrategier för Kubal, specifikt för prisvolatilitet av råmaterial. Historisk inköpsdata analyserades för att identifiera mönster och trender i prisförändringarna. Studien utforskar även hållbarhetsstrategier för att skapa långsiktig hållbarhet och även stärka företagets varumärke. Studien ger en djup och bred förståelse inom riskhantering inom råmaterialinköp. Den ger teoretiska och praktiska exempel genom att studera Kubal som resultat och även kan användas för andra företag i liknande situationer. Slutsatsen visar att kubals nuvarande strategier är effektiva för att hindra leveransavbrott och kvalitetsrisker men är inte effektiva för hantering av prisvolatilitet. Genom att Kubal implementerar handelsstrategier och kontraktsstrategier skulle de spara kostnader i situationer som under pandemin. Det finns många olika faktorer som påverkar prisvolatiliteten men politiska händelser, marknadssituationer och i denna studie påverkade pandemin priset störst. Studien ger möjligheten för vidare forskning genom att studera andra material inom andra industrier och företag. / Kubikenborg Aluminium AB, Kubal is Sweden's only producer of aluminum and faces different risks in their procurement process including price volatility and supply interruptions for their essential raw materials which are used in their production. Factors like policy changes and Covid-19 add great risks to negatively impact these risks. The study was conducted using different data collection- and analysis methods to identify and develop possible risk management strategies for Kubal, specifically for price volatility of raw materials. Historical purchase data was analyzed to identify patterns and trends in price changes. The study also explores sustainability strategies to create long-term sustainability and also strengthen the company brand. The study provides a deep and broad understanding of risk management in raw material procurement. It provides theoretical and practical examples by studying Kubal, the results of which can also be used for other companies in similar situations. The study's conclusion shows that Kubals current strategies are effective against supply disturbance and quality risks but not effective for dealing with price volatility. By Kubal implementing procurement strategies and contract strategies, they would have saved costs in situations like during the pandemic. There are many different factors that affect price volatility but political events, market situations and in this study the pandemic affected the price the most. The study provides the possibility for further research by studying other materials in other industries and companies.

無 / This study establishes a model of the stock market involving the rational speculators to investigate whether the imposition of tax on capital gains can reduce the market volatility. The finding is that the effect of tax on the stock price volatility varies according to the types of shocks hitting the market. In the cases of the issuing shock and the dividend shock, raising the tax rate could be a way to stabilize the stock market. On the contrary, when the margin-rate shock occurs, it tends to magnify the effect of the shock and therefore increases the market volatility. Thus, it could be concluded that an increase in the tax rate may increase or decrease the stock price volatility depending on the type of unexpected shocks.

Master of Agribusiness / Department of Agricultural Economics / Allen M. Featherstone / Land is a fundamental input in agricultural production and the factors affecting land prices are an important topic in agricultural economics research. The farmland market has several unique characteristics. Land price volatility can be a source of problems for farmers and investors, especially in periods of falling prices in locations far from markets where the impact of land price reductions is higher than in other locations. This study analyzes land price volatility in different geographical regions of Brazil. The hypothesis is that variation in land price increases with the distance to the market, indicating that land price changes will be more pronounced in areas far from markets and the effects of price cycles in land markets will increase as distance from the market increases. The results obtained in this research support the hypothesis that areas far from end markets are exposed to greater changes in land prices and those same areas are more susceptible to price cycles. The effect on price volatility was also stronger in periods of land price declines. These regions have greater incentives for expansion and investment in periods of land price increase and greater risks of disinvestment and failure in periods of land price contraction. It is difficult to predict when a cycle of expansion or crisis will start or finish, but the present study helps to understand the effects of increases or decreases in land prices when such an event occurs.

Background: Investors around the globe have debated, for more than 40 years, about whether the dividend yield has an influence on a stock’s price or not. There are different theories supporting both sides. These theories, however, often simplify the real world and therefore may not apply fully. Purpose: The purpose of this paper is to conduct empirical research on the complicated dividend policy topic and find out whether the dividend yield influences a stock’s price by testing for its effect on stock price volatility. This result finds evidence of whether investors disregard, or regard, any dividend payments and if it influences investors decisions when purchasing stock. Method: We take the top valued companies in the non-financial sector from the LSE and the Euronext between the years 2008 and 2017. We then run a Fixed Effect Model regression taking some of their reported values including their dividend yield and their stock price volatility. Conclusion: Our results indicate that the dividend yield a company pays stockholders has a positive influence on the stock price volatility, thus affecting the prices of stocks. These results counter the MM Theorem and are inconclusive with the main principles of the Bird in Hand Theorem by Gordon (1960) and Lintner (1962).

This study discusses about the relationships between the qualities of collateralized shares by the broad of directors and the bank performance. In this study, we focus on the quantitative indicators of collateralized shares. Base on individual collateralization data, we build up the sets of the loans permitted by banks. In additon, this study is based on the multiple regression model to find out the relationships between the qualities of the collateral loans and the bank performance. By the conclusion, this study tries to give some advice to the banks about measuring the loans with collateralized shares. There are few conclusion of this study: 1. The stocks with higher price volatility are not good collaterals. The banks which have the loan with the collaterals with higher price volatility usually have bad proformance. The banks should pay attension to this indicator. 2. The collaterals are better with high ¡¥market price-to-book value¡¦. 3. By literature review, the higher proportion of collateralized shares by the broad of directors, the shares seem to be the worse collaterals for the banks. However, in this study, we find out some trade-off relationship between the profit and the risk in measuring this indicator.