Jussi NikkinenKTT
Director of Finance and Financial Accounting Research Group (FRG) |
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Senior Scientist (funded by the Academy of Finland) 1.8.2010 - 31.7.2011
Docent, Lappeenranta University of Technology
Major professional interests and specialities
Financial markets, Derivatives
Contact information
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Teaching
LASK3011 Option Theory
LASK3016 Research in Financial Markets
LASK3008 How to Complete the Empirical Part of the Master's Thesis? (In Finnish, with the other Professors of the Department)
Master's Thesis Group
Empirical Research in Accounting and Finance
International Research Awards
Outstanding Paper Award, 2006 Southern Finance Association Meeting
Best Paper Award, 2011 Global Finance Conference
Publications
Selected Refereed Articles
Kiviaho, Jarno, Jussi Nikkinen, Vanja Piljak and Timo Rothovius (2012). The Co-movement Dynamics of European Frontier Stock Markets. European Financial Management (forthcoming).
Graham, Michael, Jarno Kiviaho and Jussi Nikkinen (2012). Integration of 22 Emerging Stock Markets: A Three Dimensional Analysis. Global Finance Journal (forthcoming). GFC 2011 Best Paper Award
Graham, Michael and Jussi Nikkinen (2011). Co-movement of Finnish and International Stock Markets: A Wavelet Analysis. European Journal of Finance, 17: 15-16, 409-425.
Kotkatvuori-Örnberg, Juha, Jussi Nikkinen and Jarkko Peltomäki (2011). Geographical Focus in Emerging Markets and Hedge Fund Performance. Emerging Markets Review, 12: 4, 309-320.
Nikkinen, Jussi, Seppo Pynnönen, Mikko Ranta and Sami Vähämaa (2011). Cross-Dynamics of Exchange Rate Expectations: A Wavelet Analysis. International Journal of Finance & Economics, 16: 3, 205-217.
Nikkinen, Jussi and Sami Vähämaa (2010). Terrorism and Stock Market Sentiment. Financial Review, 45: 2, 263-275. Abstract
Nikkinen, Jussi and Sami Vähämaa (2009). Central Bank Interventions and Implied Exchange Rate Correlations. Journal of Empirical Finance, 16: 5, 862–873. Abstract, SFA 2006 Outstanding Paper Award
Krylova, Elizaveta, Jussi Nikkinen and Sami Vähämaa. (2009). Cross-Dynamics of Volatility Term Structures Implied by Foreign Exchange Options. Journal of Economics and Business, 61: 5, 355–375. Abstract
Martikainen, Minna, Jussi Nikkinen and Sami Vähämaa (2009). Production Functions and Productivity of Family Firms: Evidence from the S&P 500. Quarterly Review of Economics and Finance, 49: 2, 295-307. Abstract
Nikkinen, Jussi, Mohammed Omran, Petri Sahlström and Janne Äijö (2009). The Effects of U.S. Macroeconomic News Announcements on Emerging Stock Markets in the Asia-Pacific Region. Asia Pacific Journal of Economics and Business, 12, 3-14.
Nikkinen, Jussi, Petri Sahlström, Karri Takko and Janne Äijö (2009). Turn-of-the-month and Intramonth Anomalies and U.S. Macroeconomic News Announcements on the Thinly Traded Finnish Stock Market. International Journal of Economics and Finance, 1, 3-12.
Nikkinen, Jussi, Mohammed Omran, Petri Sahlström and Janne Äijo (2008). Stock Returns and Volatility Following the September 11 Attacks: Evidence from 53 Equity Markets. International Review of Financial Analysis, 17:1, 27-46.
Nikkinen, Jussi, Petri Sahlström and Janne Äijo (2007). Turn-of-the-Month and Intramonth Effects: Explanation from the Important Macroeconomic News Announcements. Journal of Futures Markets, 27:2, 105-126.
Nikkinen, Jussi, Petri Sahlström and Janne Äijo (2007). Do the US Macroeconomic News Anouncements Explain Turn-of-the-Month and Intramonth Anomalies on European stock markets? Journal of Applied Business and Economics, 7:3, 48-62.
Kallunki, Juha-Pekka, Jussi Nikkinen, Petri Sahlström and Kristina Wichmann (2006). Should There Exist Secondary Markets for Executive Stock Options? Accounting and Finance, 46:2, 265-283.
Nikkinen, Jussi, Petri Sahlström and Sami Vähämaa (2006). Implied Volatility Linkages among Major European Currencies. Journal of International Financial Markets, Institutions & Money, 16:2, 87-103.
Nikkinen, Jussi, Mohammed Omran, Petri Sahlström and Janne Äijö (2006). Worldwide Stock Market Reactions to the Scheduled U.S. Macroeconomic News Announcements. Global Finance Journal, 17:1, 92-104.
Nikkinen, Jussi and Petri Sahlström (2005). Risk in Audit Pricing: the Role of Firm-Specific Dimensions of Risk. Advances in International Accounting, 18, 141-152.
Nikkinen, Jussi and Petri Sahlström (2004). Scheduled Domestic and U.S. Macroeconomic News and Stock Valuation in Europe. Journal of Multinational Financial Management 14:3, 201-215.
Nikkinen, Jussi and Petri Sahlström (2004). Does Agency Theory Provide a General Framework for Audit Pricing? International Journal of Auditing 8: November, 253-262.
Nikkinen, Jussi and Petri Sahlström (2004). International Transmission of Uncertainty Implicit in Stock Index Option Prices. Global Finance Journal 15:1, 1-15.
Nikkinen, Jussi and Petri Sahlström (2004). Impact of an Accounting Environment on Cash Flow Prediction. Journal of International Accounting, Auditing and Taxation, 13:1, 39-52.
Nikkinen, Jussi and Petri Sahlström (2004). Impact of the Federal Open Market Committee's Meetings and Scheduled Macroeconomic News on Stock Market Uncertainty. International Review of Financial Analysis, 13:1, 1-12.
Nikkinen, Jussi and Petri Sahlström (2004). Distributional Properties and Transformation of Financial Ratios: The Impact of Accounting Environment. Advances in International Accounting, 17, 85-101.
Graham, Michael, Jussi Nikkinen and Petri Sahlström (2003). Relative Importance of Scheduled Macroeconomic News for Stock Market Investors. Journal of Economics and Finance, 27: 2, 153-165.
Nikkinen, Jussi and Petri Sahlström (2003). Do Auditors Assess the Systematic Risk in Their Audit Pricing Decisions? International Evidence. Advances in Accounting, 20, 233-244.
Nikkinen, Jussi (2003). Impact of Foreign Ownership Restrictions on Stock Return Distributions: Evidence from an Option Market. Journal of Multinational Financial Management, 13:2, 1-19.
Nikkinen, Jussi (2003). Normality Tests of Option Implied Risk-neutral Densities: Evidence from the Small Finnish Market. International Review of Financial Analysis, 12, 99-116.
Books and Selected Articles in Magazines
Nikkinen, Jussi, Timo Rothovius and Petri Sahlsröm (2002). Arvopaperisijoittaminen. (Investments). WSOY. In Finnish.
Luoma, Martti and Jussi Nikkinen (2007). Two-point problem of the rate of change. Technical Analysis of Stocks & Commodities, April, 26-30. See Traders' Tips for implementation of the ROCajd indicator.
Recent Miscellaneous Research
Nikkinen, Jussi, Vanja Piljak and Timo Rothovius (2011). The dynamics of European frontier emerging stock markets co-movement: a wavelet approach. The Meeting of the Southern Finance Association (SFA), November 16 - 19, 2011, Florida, USA.
Nikkinen, Jussi, Vanja Piljak and Timo Rothovius (2011). Integration of the European Frontier Emerging Stock Markets During the 2008/2009 Financial Crisis. The 15th International Conference on Macroeconomic Analysis and International Finance, Greece, May 2011.
Klemola, Antti, Jussi Nikkinen and Jarkko Peltomäki (2011). Investor Sentiment Inferred from Google Search Volumes. The Meeting of the Eastern Finance Association (EFA), April 13 - 16, 2011, Savannah, Georgia, USA.
Davydov Denis, Jussi Nikkinen and Sami Vähämaa (2011). Does the Choice Between Public and Bank Debt Affect Firm Performance? Russian Evidence. The Meeting of the Eastern Finance Association (EFA), April 13 - 16, 2011, Savannah, Georgia, USA.
Graham, Michael, Jarno Kiviaho and Jussi Nikkinen (2011). Integration of 22 Emerging Stock Markets: A Three Dimensional Analysis. The Meeting of the Southwestern Finance Association (SWFA), March 9-12, 2011, Houston, Texas, USA.
Martikainen, Minna, Jussi Nikkinen and Kashif Saleem (2010). Volatility Spillovers from the US Subprime Crisis to Bric Countries. 17th Annual Conference of the Multinational Finance Society, June 27 - June 30, 2010, Barcelona.
Nikkinen, Jussi, Juha Kotkatvuori-Örnberg and Jarkko Peltomäki (2009). Geographical Focus in Emerging Markets and Hedge Fund Performance. Eastern Finance Annual Meeting, Washington D.C., USA.
Nikkinen, Jussi, Seppo Pynnönen, Mikko Ranta and Sami Vähämaa (2008). Cross-Dynamics of Exchange Rate Expectations: A Wavelet Analysis. Proceedings of the 44th Annual Meeting of the Eastern Finance Association.
Nikkinen, Jussi and Sami Vähämaa (2008). Terrorism and Stock Market Sentiment: Evidence from Implied Probability Densities of the FTSE 100 Index. Proceedings of the 57th Annual Meeting of the Midwest Finance Association.
Nikkinen, Jussi and Sami Vähämaa (2007). Price Clustering of Stock Index Derivatives: Further Evidence from a Thinly Traded Market. Proceedings of the 46th Annual Meeting of the Southwestern Finance Association.
Nikkinen, Jussi and Sami Vähämaa (2006). Central Bank Interventions and Implied Exchange Rate Correlations. Outstanding Paper in International Finance Award at the 46ht Annual Meeting of the Southern Finance Association. Press release (in Finnish)
Martikainen, Minna and Jussi Nikkinen (2006). Family Ownership, Owner Involvement and Performance of Small and Medium Sized Enterprises. The 29th Annual Congress of the European Accounting Association.
Krylova, Elizaveta, Jussi Nikkinen and Sami Vähämaa (2005). Cross-Dynamics of Volatility Term Structures Implied by Foreign Exchange Options. European Central Bank Working Paper Series, No. 530. PDF
Nikkinen, Jussi (2005). Martingale Restriction and High Market Frictions on Stock Index Options, Futures and Cash Markets. In Contributions to Accounting, Finance, and Management Science. Essays in Honour of Professor Timo Salmi. Acta Wasaensia, No. 143, 285-303. Eds Erkki K. Laitinen and Teija Laitinen.
Salmi, Timo, Jussi Nikkinen and Petri Sahlström (2005). The Review of the Theoretical and Empirical Basis of Financial Ratio Analysis Revisited. University of Vaasa, Finland. URN:NBN:fi-fe20051937. A World Wide Web publication.
