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[{"key": "dc.contributor.advisor", "value": "Raatikainen, Juhani", "language": "", "element": "contributor", "qualifier": "advisor", "schema": "dc"}, {"key": "dc.contributor.author", "value": "Pehkonen, Laura", "language": "", "element": "contributor", "qualifier": "author", "schema": "dc"}, {"key": "dc.date.accessioned", "value": "2019-05-08T08:47:59Z", "language": null, "element": "date", "qualifier": "accessioned", "schema": "dc"}, {"key": "dc.date.available", "value": "2019-05-08T08:47:59Z", "language": null, "element": "date", "qualifier": "available", "schema": "dc"}, {"key": "dc.date.issued", "value": "2019", "language": "", "element": "date", "qualifier": "issued", "schema": "dc"}, {"key": "dc.identifier.uri", "value": "https://jyx.jyu.fi/handle/123456789/63822", "language": null, "element": "identifier", "qualifier": "uri", "schema": "dc"}, {"key": "dc.description.abstract", "value": "Rahoitusmarkkinoilla on havaittu esiintyv\u00e4n useita s\u00e4\u00e4nn\u00f6nmukaisia kausittaisuuksia, joita kutsutaan anomalioiksi. T\u00e4ss\u00e4 tutkimuksessa keskityt\u00e4\u00e4n anomalioista\ntunnetuimpaan eli tammikuuilmi\u00f6\u00f6n. Ilmi\u00f6 on todiste tehokkaiden markkinoiden hypoteesia vastaan. Ilmi\u00f6t\u00e4 on tutkittu paljon erilaisin menetelmin ja tulokset ovat olleet ristiriitaisia. Useimmissa tutkimuksissa ilmi\u00f6n on kuitenkin\nhavaittu esiintyv\u00e4n erityisesti markkina-arvoltaan pienten yhti\u00f6iden osakkeissa.Ilmi\u00f6n selitt\u00e4jiksi on esitelty useita syit\u00e4, joista tunnetuimmat ovat verohypoteesi, informaatio-hypoteesi ja portfolion uudelleenmuodostamis -hypoteesi.\nOsassa tutkimuksista ilmi\u00f6n on havaittu heikenneen tai jopa kadonneen markkinoilta.\n\nTutkielmassa esitell\u00e4\u00e4n laaja historiallinen kirjallisuuskatsaus, jonka avulla pyrit\u00e4\u00e4n luomaan kokonaisk\u00e4sitys ilmi\u00f6st\u00e4, sen syist\u00e4 ja sen ajallisesta kehittymisest\u00e4. Kirjallisuuskatsauksen viimeisess\u00e4 luvussa esitell\u00e4\u00e4n uudempia tutkimuksia, joissa ilmi\u00f6n yhteytt\u00e4 markkinoiden volatiliteettiin on tutkittu ep\u00e4lineaaristen mallien avulla. Kyseiset tutkimukset toimivat perustana t\u00e4m\u00e4n ty\u00f6n empiiriselle tarkastelulle. \n\nEmpiirisess\u00e4 osiossa tutkitaan vuosien 1926-2018 aineistolla ilmi\u00f6n ehdollisuutta volatiilisuuden vaihtelulle Yhdysvaltojen osakemarkkinoilla. Tarkastelu suoritetaan hy\u00f6dynt\u00e4m\u00e4ll\u00e4 lineaarista regressiomallinnusta sek\u00e4 ep\u00e4lineaarista\ntasaisen rakennemuutoksen mallia. Tasaisen rakennemuutoksen mallissa volatiilisuutta mittaavien muuttujien vaikutus saadaan mallinnettua eksplisiittisesti.\nLis\u00e4ksi testataan ilmi\u00f6n ajallista kehittymist\u00e4 sek\u00e4 yrityskoon yhteytt\u00e4 ilmi\u00f6\u00f6n.\n\nTulokset osoittavat ett\u00e4 tuotot vaihtelevat ajassa ja t\u00e4ten ilmi\u00f6n havaitaan olevan regiimiriippuvainen. Realisoituneen volatiliteetin voidaan havaita olevan ainakin yksi tekij\u00f6ist\u00e4 jolla on vaikutusta regiimiin. Tulos eroaa eri yrityskoiden\nv\u00e4lill\u00e4. Tammikuuilmi\u00f6t\u00e4 havaitaan kummankin mallin perusteella esiintyv\u00e4n markkina-arvoltaan pienten yhti\u00f6iden osakkeiden lis\u00e4ksi my\u00f6s suurten yhti\u00f6iden osakkeissa. Lis\u00e4ksi tulokset osoittavat, ett\u00e4 my\u00f6s Fama ja French - faktorimuuttujien vaikutus on regiimiriippuvaista.", "language": "fi", "element": "description", "qualifier": "abstract", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Submitted by Paivi Vuorio (paelvuor@jyu.fi) on 2019-05-08T08:47:59Z\nNo. of bitstreams: 0", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.description.provenance", "value": "Made available in DSpace on 2019-05-08T08:47:59Z (GMT). No. of bitstreams: 0\n Previous issue date: 2019", "language": "en", "element": "description", "qualifier": "provenance", "schema": "dc"}, {"key": "dc.format.extent", "value": "59", "language": "", "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": "tammikuuilmi\u00f6", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "yrityskoko", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "osaketuotot", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.subject.other", "value": "realisoitunut volatiliteetti", "language": "", "element": "subject", "qualifier": "other", "schema": "dc"}, {"key": "dc.title", "value": "Tammikuuilmi\u00f6 ja volatiilisuus Yhdysvaltojen osakemarkkinoilla", "language": "", "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-201905082487", "language": "", "element": "identifier", "qualifier": "urn", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Pro gradu -tutkielma", "language": "fi", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.type.ontasot", "value": "Master\u2019s thesis", "language": "en", "element": "type", "qualifier": "ontasot", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4 University School of Business and Economics", "language": "en", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.faculty", "value": "Jyv\u00e4skyl\u00e4n yliopiston kauppakorkeakoulu", "language": "fi", "element": "contributor", "qualifier": "faculty", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Taloustieteet", "language": "fi", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.department", "value": "Business and Economics", "language": "en", "element": "contributor", "qualifier": "department", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "Jyv\u00e4skyl\u00e4n yliopisto", "language": "fi", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.contributor.organization", "value": "University of Jyv\u00e4skyl\u00e4", "language": "en", "element": "contributor", "qualifier": "organization", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Taloustiede", "language": "fi", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "dc.subject.discipline", "value": "Economics", "language": "en", "element": "subject", "qualifier": "discipline", "schema": "dc"}, {"key": "yvv.contractresearch.funding", "value": "0", "language": "", "element": "contractresearch", "qualifier": "funding", "schema": "yvv"}, {"key": "dc.type.coar", "value": "http://purl.org/coar/resource_type/c_bdcc", "language": null, "element": "type", "qualifier": "coar", "schema": "dc"}, {"key": "dc.rights.accesslevel", "value": "openAccess", "language": null, "element": "rights", "qualifier": "accesslevel", "schema": "dc"}, {"key": "dc.type.publication", "value": "masterThesis", "language": null, "element": "type", "qualifier": "publication", "schema": "dc"}, {"key": "dc.subject.oppiainekoodi", "value": "2041", "language": "", "element": "subject", "qualifier": "oppiainekoodi", "schema": "dc"}, {"key": "dc.subject.yso", "value": "anomaliat", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "volatiliteetti", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "portfoliot", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "osakkeet", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "rahoitusmarkkinat", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "yhti\u00f6t", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.subject.yso", "value": "arvopaperit", "language": null, "element": "subject", "qualifier": "yso", "schema": "dc"}, {"key": "dc.format.content", "value": "fulltext", "language": null, "element": "format", "qualifier": "content", "schema": "dc"}, {"key": "dc.rights.url", "value": 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