This dissertation studies the reaction of trading behavior of investors, especially institutional investors, to the public information in Taiwan. Two kinds of public information are chosen in this dissertation. One is open-ending closed-end funds under the regulation set up by Taiwan authority. The other is the change of stocks in MSCI Taiwan Index that is decided by Morgan Stanley Capital International (MSCI), a well-known foreign institution in constructing various indices. Consistent with earlier studies using U.S. data, our results show that open-ending is a wealth-enhancing event for shareholders. We also provide evidence of the existence of noise traders in the closed-end fund market. The evidence is derived from the trading behavior of domestic institutional investors and small individual investors, who ignore price discounts when open-ending is imminent. The trading by noise traders impedes price adjustments to the discounts, and provides profit opportunities to arbitragers. Furthermore, we show that foreign investors gain considerable wealth, largely at the expense of domestic institutional investors and small individual investors, in the open-ending process. On average, their gains account for 30% of the total gains associated with open-ending, or NT$562 millions per case. On the issue of the change of stocks in MSCI Taiwan Index, we find that MSCI prefers to select the securities with good performance, high liquidity, and large firm size into MSCI Taiwan Index while tends to drop the securities with poor performance, lower liquidity, and small firm size from MSCI Taiwan Index. Besides, consistent with the previous studies, prices increase (decrease) significantly for stocks added to (deleted from) the MSCI Taiwan Index after the announcement date. As well as the deletions, the price decreases for unchanging stocks after the announcement date. However, there is no evidence to find that foreign investors have information advantage in MSCI news over domestic investors. Foreign investors increase (decrease) their holdings on stocks included in (excluded from) the MSCI Taiwan Index after the announcement date. Moreover, price pressure hypothesis is not supported. Visibility hypothesis, information content hypothesis, downward sloping demand curves hypothesis are supported. Finally, for additions and deletions, the market-adjusted returns are driven by the contemporaneous excess buy of foreign investors and the contemporaneous excess sells of domestic corporations and individuals.

Centralized power system planning covers time windows that range from ten to thirty years. Consequently, it is the longest and most uncertain part of power system economics. One of the challenges that power system planning faces is the inability to accurately predict random events; these random events introduce risk in the planning process. Another challenge stems from the fact that, despite having a centralized planning scheme, generation plans are set first and then transmission expansion plans are carried out. This thesis addresses these problems. A joint model for generation and transmission expansion for the vertically integrated industry is proposed. Randomness is considered in demand, equivalent availability factors of the generators, and transmission capacity factors of the transmission lines. The system expansion model is formulated as a two-stage stochastic program with fixed recourse and probabilistic constraints. The transmission network is included via a DC approximation. The mean variance Markowitz theory is used as a risk minimization technique in order to minimize the variance of the annualized estimated generating cost. This system expansion model is capable of considering the locations of new generation and transmission and also of choosing the right mixture of generating technologies. The global tendency is to move from regulated power systems to deregulated power systems. Power pool electricity markets, assuming that the independent system operator is concerned with the social cost minimization, face great uncertainties from supply and demand bids submitted by market participants. In power pool electricity markets, randomness in the cost and benefit functions through random demand and supply functions has never been considered before. This thesis considers as random all the coefficients of the quadratic cost and benefit functions and uses the mean variance Markowitz theory to minimize the social cost variance. The impacts that this risk minimization technique has on nodal prices and on the elasticities of the supply and demand curves are studied. All the mathematical models in this thesis are exemplified by the six-node network proposed by Garver in 1970, by the 21-node network proposed by the IEEE Reliability Test System Task Force in 1979, and by the IEEE 57- and 118-node systems.

Centralized power system planning covers time windows that range from ten to thirty years. Consequently, it is the longest and most uncertain part of power system economics. One of the challenges that power system planning faces is the inability to accurately predict random events; these random events introduce risk in the planning process. Another challenge stems from the fact that, despite having a centralized planning scheme, generation plans are set first and then transmission expansion plans are carried out. This thesis addresses these problems. A joint model for generation and transmission expansion for the vertically integrated industry is proposed. Randomness is considered in demand, equivalent availability factors of the generators, and transmission capacity factors of the transmission lines. The system expansion model is formulated as a two-stage stochastic program with fixed recourse and probabilistic constraints. The transmission network is included via a DC approximation. The mean variance Markowitz theory is used as a risk minimization technique in order to minimize the variance of the annualized estimated generating cost. This system expansion model is capable of considering the locations of new generation and transmission and also of choosing the right mixture of generating technologies. The global tendency is to move from regulated power systems to deregulated power systems. Power pool electricity markets, assuming that the independent system operator is concerned with the social cost minimization, face great uncertainties from supply and demand bids submitted by market participants. In power pool electricity markets, randomness in the cost and benefit functions through random demand and supply functions has never been considered before. This thesis considers as random all the coefficients of the quadratic cost and benefit functions and uses the mean variance Markowitz theory to minimize the social cost variance. The impacts that this risk minimization technique has on nodal prices and on the elasticities of the supply and demand curves are studied. All the mathematical models in this thesis are exemplified by the six-node network proposed by Garver in 1970, by the 21-node network proposed by the IEEE Reliability Test System Task Force in 1979, and by the IEEE 57- and 118-node systems.

In the coming decades there will be an increaseof electricity consumption as the industry and transportationsectors are electrified. Electrification and the rapid expansionof renewables will have great impact on the electricity market.In order to ensure that there is enough electricity, differentcapacity mechanisms are possible solutions. In this paper, theneed of a capacity market in Sweden is studied. Simulations ofcapacity markets with convex downwards sloping demand curvesdemonstrated possible outcomes of such a market. A comparisonbetween a FCM and Sweden’s strategic reserve is also carriedout. The results of this project show that even though peakingpower plants are not profitable, there is no immediate need fora forward capacity market. / De kommande årtiondena kommerelförbruknikngen att öka till följd av elektrifieringen avindustrioch transportsektorn. Elektrifieringen och skiftettill förnybara energikällor kommer ha en stor påverkan påelmarknaden. För att se till att det finns tillräckligt med effektkan en framåtblickande kapacitetsmarknad behövas. I dettaprojekt undersöks behovet av en svensk kapacitetsmarknad. Enmodell för kapacitetsmarknader med en konvex nedåtlutandeefterfrågekurva gjordes för att undersöka möjliga utfall. Enjämförelse mellan en framåtblickande kapacitetsmarknad ochden svenska effektreserven genomförs också. Resultaten i dettaarbete visar att även fast spetskraftverk inte är lönsamma så finns det inget omedelbart behov av en framåtblickandekapacitetsmarknad. / Kandidatexjobb i elektroteknik 2021, KTH, Stockholm

Este trabalho tem por objetivo propor uma nova metodologia para o cálculo das perdas por segmento do sistema de distribuição. As perdas técnicas são agrupadas nos seguintes segmentos: rede secundária, transformador de distribuição, rede primária e subestação de distribuição. Desenvolveu-se uma metodologia destinada ao cálculo das perdas de forma hierárquica: por exemplo, selecionada uma subestação específica, são calculadas as perdas na subestação e em seus componentes a jusante (redes primárias, transformadores de distribuição, redes secundárias). As perdas, inicialmente, são obtidas por meio de cálculo elétrico para os segmentos envolvidos, com a utilização dos parâmetros da rede, com os dados de faturamento e as curvas de carga típicas por classe de consumidor e seus tipos de atividade. Com os resultados desses cálculos, treinam-se redes neurais que irão calcular as perdas em sistemas genéricos utilizando os parâmetros e topologia do segmento e as curvas típicas de cargas dos consumidores e a energia mensal consumida. O trabalho apresenta um exemplo de aplicação, em sistema de distribuição existente, mostrando os resultados obtidos, e termina apresentando as principais vantagens da metodologia. Finalmente, os resultados obtidos com a nova metodologia são comparados com os resultados obtidos por métodos analíticos de cálculo intensivo. / In this work, a new methodology for the calculation of the energy technical losses in a distribution system, is presented. The proposed approach regards the segmentation of the distribution system, thus, the losses will be obtained for segments such as: the secondary network, distribution transformer, primary network and distribution substation. It was developed a computational system aimed to the calculation of the technical losses within specific distribution networks and usable in a microcomputer. Such a calculation is done in a hierarchical way. For instance, once selected a specific substation it is calculated the losses within the substation and in all the above cited components existing downstream the substation. The energy technical losses are calculated for each segment involved in the distribution system. This is done by using the network\'s recorded data, the energy consumption data and the typical load curves by class of consumer and type of activity developed. The outcome of these calculations are then used to train the neural networks, which in turn will calculate the losses in generic distribution systems where characteristics such as the circuit parameters and topology, the consumer\'s load curves and the monthly energy consumed, are known. By using the energy data available in the supplying points, the total energy billed per month as well as the loss indexes per segment, it will be obtained the total amount of the energy losses in each segment of the system. Likewise, this procedure will enable an evaluation of the non technical losses. The results of a case study related to an existing distribution system and the main advantages of the proposed methodology, are also presented herein. Finally, the results obtained with the new methodology are compared with those obtained through analytical methods.

Este trabalho tem por objetivo propor uma nova metodologia para o cálculo das perdas por segmento do sistema de distribuição. As perdas técnicas são agrupadas nos seguintes segmentos: rede secundária, transformador de distribuição, rede primária e subestação de distribuição. Desenvolveu-se uma metodologia destinada ao cálculo das perdas de forma hierárquica: por exemplo, selecionada uma subestação específica, são calculadas as perdas na subestação e em seus componentes a jusante (redes primárias, transformadores de distribuição, redes secundárias). As perdas, inicialmente, são obtidas por meio de cálculo elétrico para os segmentos envolvidos, com a utilização dos parâmetros da rede, com os dados de faturamento e as curvas de carga típicas por classe de consumidor e seus tipos de atividade. Com os resultados desses cálculos, treinam-se redes neurais que irão calcular as perdas em sistemas genéricos utilizando os parâmetros e topologia do segmento e as curvas típicas de cargas dos consumidores e a energia mensal consumida. O trabalho apresenta um exemplo de aplicação, em sistema de distribuição existente, mostrando os resultados obtidos, e termina apresentando as principais vantagens da metodologia. Finalmente, os resultados obtidos com a nova metodologia são comparados com os resultados obtidos por métodos analíticos de cálculo intensivo. / In this work, a new methodology for the calculation of the energy technical losses in a distribution system, is presented. The proposed approach regards the segmentation of the distribution system, thus, the losses will be obtained for segments such as: the secondary network, distribution transformer, primary network and distribution substation. It was developed a computational system aimed to the calculation of the technical losses within specific distribution networks and usable in a microcomputer. Such a calculation is done in a hierarchical way. For instance, once selected a specific substation it is calculated the losses within the substation and in all the above cited components existing downstream the substation. The energy technical losses are calculated for each segment involved in the distribution system. This is done by using the network\'s recorded data, the energy consumption data and the typical load curves by class of consumer and type of activity developed. The outcome of these calculations are then used to train the neural networks, which in turn will calculate the losses in generic distribution systems where characteristics such as the circuit parameters and topology, the consumer\'s load curves and the monthly energy consumed, are known. By using the energy data available in the supplying points, the total energy billed per month as well as the loss indexes per segment, it will be obtained the total amount of the energy losses in each segment of the system. Likewise, this procedure will enable an evaluation of the non technical losses. The results of a case study related to an existing distribution system and the main advantages of the proposed methodology, are also presented herein. Finally, the results obtained with the new methodology are compared with those obtained through analytical methods.

Syfte: Undersökningens syftet är att mäta huruvida det går att få ut en överavkastning av aktier som väljs in i (respektive ut ur) OMX Stockholm Benchmark (OMXSB), som följd av att ett index ändrar sin komposition. Delsyftet är att undersöka om det går att se en signifikant ökning av handelsvolymen i anslutning till ändringsdagen. Metod: Studien tillämpar en eventstudie som undersökningsmetod av kvantitativ karaktär. Studien undersöker indexet OMXSB och innefattade totalt 111 stycken ingående och utgående aktier fördelat på 10 tillfällen. Två eventfönster har konstruerats; ett kring annonseringsdagen och ett kring ändringsdagen. Den procentuella handelsvolymen har mätts över eventfönstret kring ändringsdagen. Resultat: Den genomsnittliga kumulerade överavkastningen för eventfönstret vid annonseringsdagen uppgick till 1,02 % (-6 %) för de aktier som valdes in (ut). Det motsvarande resultatet 2,55 % (-0,41 %) framkom i eventfönstret för ändringsdagen. Handelsvolymen uppnådde i båda fallen en signifikant ökning dagen innan ändringen genomfördes. Slutsatser: Resultatet visade en signifikant överavkastning för aktier som valdes in (ut) i eventfönstret kring ändringsdagen (annonseringsdagen). Den signifikanta skillnaden av handelsvolymen tyder på att indexerarna handlar aktierna dagen innan ändringen genomförs. För aktier som väljs in gick det att se ett pristryck där priset höjdes fram till dagen innan ändringen genomfördes, som sedan återgick. Resultaten kan ha påverkats av externa faktorer vilket kan ha lett till en missvisande bild av den undersökta effekten. / Purpose: The study aims to investigate whether it is possible to get an abnormal return of stocks added to (or deleted from) the OMX Stockholm Benchmark index (OMXSB), as a result of a changes of the index composition. A subsidiary aim of the study is to investigate whether it is possible to see a significant increase in trading volume in close to the change day. Methodology: The study applies an event study as method of investigation of a quantitative character. The study examines the OMXSB and include a total of 111 added and deleted stocks distributed on 10 occasions. Two event windows have been designed: one around announcement day and one around change day. The percentage change of trading volume has been measured over the event window around the change day. Results: The average cumulative abnormal return for the event window around announcement day reached 1.02% (-6%) for the added (deleted) shares. Corresponding results of 2.55% (-0.41%) emerged in event window for change day. In both cases the trading volume reached a significant increase the day before the change was implemented. Conclusions: The results showed a significant abnormal return for stocks that were added (deleted) in the event window around the change day (announcement day). Trade volume suggests that index funds trade shares the day before the change day. For the added shares a price pressure could be identified up to the day before change day. The results may have been influenced by external factors which may have lead to a misleading picture of the investigated effect.