Seppo Pynnönen

Local and global price memory of international stock markets

Abstract The prime focus of this paper is on the impact of the world’s leading markets (USA, Japan, Hong Kong, UK, France, Switzerland and Germany) on the returns of the small Nordic markets (Denmark, Finland, Norway and Sweden). The order and the degree of processing both ‘local’ and ‘global’ information are uncovered using a combination of cointegration analysis and structural VAR modeling utilizing daily index returns. The results indicate that the US price changes, conditioned on the same day changes on the other markets, have an impact on all other markets during the following day, including the US market itself. Price changes on the Asian–Pacific markets are completely absorbed in price changes in Europe and do not have any direct effect on US prices. Finally, a cointegration relationship between Sweden and Norway is found, which affects also Finland.

Craniofacial features in osteogenesis imperfecta: a cephalometric study.

Osteogenesis imperfecta (OI) is a heterogeneous group of connective tissue diseases that mainly manifest as bone fragility and skeletal deformity. In most families it segregates as a dominant trait and results from mutations in type I collagen genes. In this study we analyzed the size and form of the bony structures in heads of 59 consecutive patients with OI types I, III, or IV (Sillence classification), using lateral radiographs. Paired controls were matched for gender and age. The purpose was to obtain baseline information of craniofacial development in OI patients that have not received bisphosphonate treatment. In OI type I we found smaller than normal linear measurements, indicating a general growth deficiency, but no remarkable craniofacial deformity. In OI types III and IV, the growth impairment was pronounced, and the craniofacial form was altered as a result of differential growth deficiency and bending of the skeletal head structures. We found strong support both for an abnormally ventral position of the sella region due to bending of the cranial base, and for a closing mandibular growth rotation. Vertical underdevelopment of the dentoalveolar structures and the condylar process were identified as the main reasons for the relative mandibular prognathism in OI. Despite of the widespread intervention with bisphosphonates, the facial growth impairment will probably remain characteristic for many OI patients, and their orthodontic treatment should be further developed.

Common long-term and short-term price memory in two Scandinavian stock markets

This paper expands the recent empirical studies of international capital market integration in mainly three aspects. First, the study focuses on two Scandinavian markets, the Finnish and the Swedish, that are receiving more and more attention by international analysts in light of the ongoing European integration. For investors, these new markets offer interesting diversification opportunities. Secondly, the study covers a very long time span from January 1920 to December 1994. Thirdly, using a variety of approaches the paper clarifies previously published confusing results regarding the lead - lag structure between these markets. The results indicate that no evident cointegration or even fractional cointegration between the markets exist. An analysis of short-term dynamics indicates that virtually all shock impulses are absorbed in both markets within one month. Sub-period analyses reveal increasing instantaneous causality between the markets in the passage of time, whereas no meaningful Granger-causality is found.

Stapes Surgery in Osteogenesis Imperfecta in Finland

We present the surgical findings and audiometric results of ear surgery performed between 1961 and 2002 on 33 Finnish patients (43 operations) with osteogenesis imperfecta (OI). The mean age at the time of the first operation was 30.1 years. The typical surgical findings were a thick, fixed, or obliterated footplate, thick and vascular mucosa with an excessive tendency to bleed, and elastic, fractured, or atrophic stapes crura. As compared with previous studies, the hearing gain was poorer and the remaining postoperative gap was greater for the 43 operations analyzed. The results of this nationwide study, however, may not be directly comparable with operative results of non-population studies. On the other hand, the hearing gain in our study was better in university hospitals than in central hospitals and, furthermore, was comparable with that of previous studies after surgery performed by a single surgeon in a university hospital. Conductive hearing loss related to OI may be successfully treated with surgery in most patients. The rarity of the disease, leading to small annual numbers of operations, the variable surgical findings, and the profuse bleeding tendency of the middle ear, as well as the audiometric results in this study, support centralization of ear surgery in OI patients.

Vestibular dysfunction in adult patients with osteogenesis imperfecta

Progressive hearing loss is a major symptom in osteogenesis imperfecta (OI), a genetic brittle bone disease. Vertigo is frequently associated with otosclerosis in which the hearing loss clinically resembles that in OI. Vertigo is also common in basilar impression (BI) found in up to 25% of adult OI patients. In order to evaluate the cause, frequency, and characteristics of vertigo in OI, 42 patients were studied by interview, clinical examination, and audiological examination supplemented with electronystagmography (ENG) and lateral skull radiography. Audiometry showed hearing loss in 25 patients (59.5%). Nine patients (21%) displayed abnormal skull base anatomy in the forms of basilar impression, basilar invagination, or both, all designated here as BI. Twenty‐two patients (52.4%) reported vertigo, mostly of floating or rotational sensation of short duration. Patients with hearing loss tended to have more vertigo than patients with normal hearing. Vertigo was not correlated with type of hearing loss or auditory brain‐stem response (ABR) pathology. ENG was abnormal in 14 patients (33.3%). No dependency was found between vertigo and deviant ENG results. Patients with BI tended to have more vertigo than patients with normal skull base but the difference was not statistically significant. Neither ENG pathology, nor the presence or type of hearing loss showed correlation with BI. In conclusion, vertigo is common in patients with OI. In most cases, it may be secondary to inner ear pathology, and in only some patients does BI explain it. Since some OI patients without BI or hearing loss also suffer from vertigo, further clinical and neurological studies are needed to define the pathogenesis of vertigo in OI.

The dynamics of Australian dollar bonds with different credit qualities

Abstract We investigate the long-term equilibrium relationship between Australian dollar bonds of different credit quality. Contrary to the expectations hypothesis, we find the yields of Eurobonds are not cointegrated with the equivalent maturity Government bond. Nevertheless, the results suggest that the yields of the different risk classes of Eurobonds are cointegrated with one another, with the higher-rated bond yields tending to lead the lower-rated yields. The paper also demonstrates that the cointegration relationship can be utilised in modelling the dynamics of the spread changes between Eurobonds and Government bonds.

An analysis of lead-lag structures using a frequency domain approach: Empirical evidence from the Finnish and Swedish stock markets

Abstract The aim of the paper is to analyse the lead and lag structures of two closely related small stock markets: the Finnish and the Swedish. The approach taken is univariate spectral analysis and cross-spectral analysis. Hence the purpose is to study the differences in the spectral characteristics between the two markets and to capture the lead and lag structure between the markets as well as the changes in the spectral characteristics of the market return series over time. The empirical results clearly indicate differences between the return spectra of the two markets. The more volatile Swedish market exhibits a two-day periodicity and autoregressive dependence of about two weeks. The cross-spectrum of the two return series shows a Swedish lead of about 10 days, which decreases to 5 days for the latter part of the observation series. The nonlinearity of the phase, however, indicates a compound effect of several leading terms.

Bootstrap testing for cointegration of international commodity prices

This paper investigates cointegration with respect to nine commodity groups traded on international markets. Nonparametric bootstrapping is utilized in the testing procedure. Of the 21 pairs of price series, investigated here, for 13 the no-cointegration null hypothesis is rejected in favour for the cointegration of the series. In addition to five out of the remaining eight cases that were not cointegrated, a plausible explanation is the prevailing trade policy. Thus a great majority of the institutionally nonregulated cases turn out to get empirical support for being cointegrated. An important statistical finding is that the augmented Dickey-Fuller test for cointegration (CRADF) generally yields p-values that are close to the p-values obtained by the bootstrap testing. But once they differ substantially, it is usually an indication of irregular periods (e.g. structural changes) in the series. The paper conducts also a Monte Carlo simulation experiment to investigate the power and size properties of the tests. Generally the results indicate that the test procedures have pretty low power in small samples. Bootstrapping improves the testing somewhat by leading consistently to a bit more powerful inference.

Further Evidence on the Credit View: The Case of Finland

The present paper provides further empirical evidence on the credit view (i.e., bank credit availability has a positive impact on macroeconomic activity) by investigating the case of Finland. The Finnish economy suffered a severe recession in the early 1990s that was marked by widespread banking crisis and extensive government intervention. Using monthly data for the 1980–1996 period, unrestricted and restricted vector autoregression (VAR) models with GDP, money supply, consumer prices, bank credit, and exports were estimated. It is found that, while money supply had the largest effect on economic output, bank credit exhibited a fairly strong effect on output that exceeded price effects for the most part. Exports had little impact on fluctuations in GDP but did help to explain industrial output changes over time. Based on these results, it is concluded that there is empirical support for the credit view in Finland. By implication, government intervention in Finland to restore safety and soundness during the banking crisis likely limited further damage to the macroeconomy associated with disruption of credit intermediation services.

Testing for common autocorrelation features of two scandinavian stock markets

Abstract This paper empirically investigates, in the spirit of Engle and Kozicki (1993) and Engle and Susmel (1993), the long-run persistence of a common serial correlation feature in the index return series of two closely related Scandinavian equity markets; the Finnish and the Swedish stock markets. The paper covers the period January 1920 through December 1993. Monthly index quotations for the period are analyzed as a complete series and for four structurally different subperiods. The return series for both Finland and Sweden seem to have an autocorrelation component present both before and after World War II, but this feature is more pronounced in the Helsinki return series. The strongest common autocorrelation feature is found in the period after the 1974 oil crisis. Nevertheless, the feature does not seem to be common over all the subperiods considered. The common codependence in the last subperiod can be interpreted as a sign of increasing integration between the markets.