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[{"key": "dc.contributor.advisor", "value": "Raatikainen, Juhani", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Heikkil\u00e4, Mikko", "language": null, "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2017-10-18T10:43:59Z", "language": "", "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2017-10-18T10:43:59Z", "language": "", "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2017", "language": null, "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.other", "value": "oai:jykdok.linneanet.fi:1726498", "language": null, "element": "identifier", "qualifier": "other", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/55656", "language": "", "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "T\u00e4ss\u00e4 tutkimuksessa perehdyt\u00e4\u00e4n siihen, kuinka maataloustuotemarkkinoiden sijoittajak\u00e4ytt\u00e4ytymisen muutos vaikuttaa osake- ja maataloustuotemarkkinoiden v\u00e4liseen korrelaatioon. Tutkittava aineisto koostuu maissin, vehn\u00e4n, soijapavun, sokerin ja kaakaon p\u00e4ivitt\u00e4isist\u00e4 futuurihinnoista vuosilta 1973\u20132016. Tutkimuksessa osakemarkkinoita kuvaa S&P 500 -indeksi ja raaka-ainemarkkinoita S&P GSCI -indeksi. Aluksi arvioidaan muuttujien keskin\u00e4isi\u00e4 riippuvuussuhteita VAR-mallin avulla. T\u00e4m\u00e4n j\u00e4lkeen estimoidaan osake- ja maataloustuotemarkkinoiden volatiliteetit ja korrelaatiot DCC-GARCH -mallin avulla sek\u00e4 arvioidaan muuttujien volatiliteettien ja korrelaatioiden muutosta kahden otoksen t-testin avulla. Korrelaatioiden ja volatiliteettien keskiarvojen muutosten arviointia varten on pyritty valitsemaan sellaiset otokset, joissa ei n\u00e4y viimeisimm\u00e4n ruokakriisin vaikutuksia. S&P GSCI -indeksin ja maataloustuotteiden v\u00e4liset korrelaatiot on sen sijaan estimoitu kuvaamaan indeksisijoittajien vaikutusta maataloushy\u00f6dykkeiden futuurihintoihin. Estimoituja korrelaatioita selitet\u00e4\u00e4n VIX-indeksill\u00e4, TED-erotuksella ja dollarin suhteellisella valuuttakurssilla. Tulosten perusteella kaikkien muiden paitsi maissin volatiliteetin keskiarvo on pienentynyt vertailtavina ajankohtina. Kaikkien muuttujien korrelaatiot osakemarkkinoiden kanssa ovat sen sijaan nousseet selv\u00e4sti verrattuna ajanjaksoon ennen vuoden 2008 ruokakriisi\u00e4. Makromuuttujista ainoastaan TED-erotus selitt\u00e4\u00e4 tilastollisesti merkitsev\u00e4sti vehn\u00e4n ja sokerin korrelaatiota osakemarkkinoiden kanssa. Lineaaristen regressioiden kertoimet ovat yleisesti ottaen etumerkilt\u00e4\u00e4n negatiivisia, vaikka ne eiv\u00e4t olekaan tilastollisesti merkitsevi\u00e4. Indeksisijoittajien vaikutus ennen ruokakriisi\u00e4 maataloustuotteisiin on ollut v\u00e4h\u00e4inen estimoitujen korrelaatioiden perusteella. Tutkimuksessa havaitaan, ett\u00e4 vuoden 2014 lopussa S&P GSCI -indeksin ja maataloustuotteiden v\u00e4linen korrelaatio heikkenee selv\u00e4sti pitk\u00e4n aikav\u00e4lin tason alapuolelle. Suoraa selityst\u00e4 korrelaation heikkenemiselle ei pystyt\u00e4 t\u00e4ss\u00e4 tutkimuksessa l\u00f6yt\u00e4m\u00e4\u00e4n. Tulosten perusteella voidaan kuitenkin sanoa, ett\u00e4 sijoittajak\u00e4ytt\u00e4ytymisen muutos on saattanut aiheuttaa osake- ja maataloustuotemarkkinoiden v\u00e4lisen pitk\u00e4n aikav\u00e4lin korrelaation kasvun. Volatiliteetin pieneneminen viittaa siihen, ett\u00e4 spekulatiivisten sijoittajien lis\u00e4\u00e4ntyneen kaupank\u00e4ynnin my\u00f6t\u00e4 markkinat ovat tehostuneet.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted using Plone Publishing form by Mikko Heikkil\u00e4 (miosheik) on 2017-10-18 10:43:58.390497. Form: Pro gradu -lomake (https://kirjasto.jyu.fi/julkaisut/julkaisulomakkeet/pro-gradu-lomake). JyX data: [jyx_publishing-allowed (fi) =True]", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by jyx lomake-julkaisija (jyx-julkaisija.group@korppi.jyu.fi) on 2017-10-18T10:43:59Z\r\nNo. of bitstreams: 2\r\nURN:NBN:fi:jyu-201710184027.pdf: 1505171 bytes, checksum: c17307d560215b7a2c9eb583061b4ed3 (MD5)\r\nlicense.html: 4897 bytes, checksum: eb9975513809bdfb2a8a0567733f7dbf (MD5)", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2017-10-18T10:43:59Z (GMT). No. of bitstreams: 2\r\nURN:NBN:fi:jyu-201710184027.pdf: 1505171 bytes, checksum: c17307d560215b7a2c9eb583061b4ed3 (MD5)\r\nlicense.html: 4897 bytes, checksum: eb9975513809bdfb2a8a0567733f7dbf (MD5)\r\n Previous issue date: 2017", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "1 verkkoaineisto (60 sivua)", "language": null, "element": "format", "qualifier": "extent", "schema": "dc"}, {"key": "dc.format.mimetype", "value": "application/pdf", "language": null, "element": "format", "qualifier": "mimetype", "schema": "dc"}, {"key": "dc.language.iso", "value": "fin", "language": null, "element": "language", "qualifier": "iso", "schema": "dc"}, {"key": "dc.rights", "value": "In Copyright", "language": "en", "element": "rights", "qualifier": null, "schema": "dc"}, {"key": "dc.subject.other", "value": "osakemarkkinat", "language": "fi", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "maataloustuotemarkkinat", "language": "fi", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "korrelaatio", "language": "fi", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "volatiliteetti", "language": "fi", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "Maataloustuotemarkkinoiden sijoittajak\u00e4ytt\u00e4ytymisen muutoksen vaikutus USA:n maataloustuote- ja osakemarkkinoiden korreloituneisuuteen", "language": null, "element": "title", "qualifier": null, "schema": "dc"}, {"key": "dc.type", "value": "master thesis", "language": null, "element": "type", "qualifier": null, "schema": "dc"}, {"key": "dc.identifier.urn", "value": "URN:NBN:fi:jyu-201710184027", "language": null, "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", 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null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.subject.oppiainekoodi", "value": "2041", "language": null, "element": "subject", "qualifier": "oppiainekoodi", "schema": "dc"}, {"key": "dc.subject.yso", "value": "p\u00e4\u00e4omamarkkinat", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "arvopaperimarkkinat", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "maataloustuotteet", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "hintakehitys", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "korrelaatio", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "volatiliteetti", "language": null, "element": "subject", "qualifier": "yso", "schema": 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