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Article
Publication date: 13 May 2020

Umm E. Habiba, Shen Peilong, Wenlong Zhang and Kashif Hamid

The purpose of this paper is to investigate the cointegration and volatility spillover dynamics between the USA and South Asian stock markets, namely, India, Pakistan and Sri…

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Abstract

Purpose

The purpose of this paper is to investigate the cointegration and volatility spillover dynamics between the USA and South Asian stock markets, namely, India, Pakistan and Sri Lanka. The main objective of this study is to provide the knowledge about integration of financial market and volatility spillovers before, during and after global financial crisis to investors, fund managers and policy-makers.

Design/methodology/approach

The Johansen and Juselius cointegration test, Granger Causality test and bivaraite EGARCH model have been applied in this study to examine integration and volatility spillovers between selected stock markets.

Findings

The findings show that long-term integration between the USA market and South Asian emerging stock markets. It is found that USA stock market has causal relationship with emerging stock markets in short-term. The findings of EGARCH model reveal that asymmetric volatility spillover effects significant in all selected stock markets in pre, during and post-crisis periods. Furthermore, significant volatility spillover is found from stock markets of USA to all selected South Asian markets during and post-crisis periods. However, volatility spillovers from USA to India and Sri-Lanka markets are significant, while insignificant in case of Pakistani market in pre-crisis period. Overall, we find that returns and volatility spillover effects are higher in financial crisis period as compared to non-financial crisis period.

Practical implications

The findings of this paper have important implications for investors, portfolio managers and policy-makers. They can take potential benefits from international portfolio diversification by considering all these facts. The understanding and knowledge of across volatility transmission help them to maximize the gains from diversification and minimize the risk. Policy-makers can develop such strategies which protect the markets of these economies from future financial crisis.

Originality/value

Although in finance literature numerous studies have been conducted on integration between different stock markets, most of the studies investigated the integration and volatility spillovers between developed stock markets. However, many studies also analyzed the integration among emerging stock markets in literature review but it is hard to find studies in the context of South Asian stock markets on the effect of global financial crisis on stock markets. The main contribution of this study is to investigate the stock markets integration and volatility transmission between the USA and South Asia by considering the effect of recent 2007 US subprime financial crisis.

Details

Journal of Asia Business Studies, vol. 14 no. 5
Type: Research Article
ISSN: 1558-7894

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Article
Publication date: 15 May 2023

Yiming Li and Chenyang Lv

To extend the reuse method and rate of straw biomass, this paper investigated the effect of lignin synthetic phenolic resin (LPF) on the rheological properties of asphalt binder.

127

Abstract

Purpose

To extend the reuse method and rate of straw biomass, this paper investigated the effect of lignin synthetic phenolic resin (LPF) on the rheological properties of asphalt binder.

Design/methodology/approach

Four LPFs with 25%, 50%, 75% and 100% substitution rates were prepared by replacing phenol with lignin in synthetic resins and using it as a modifier to prepare a bio-asphalt binder. Temperature sweep tests were conducted to evaluate aging resistance and temperature sensitivity of the bio-asphalt binder. The rutting resistance of the bio-asphalt binder was evaluated by frequency sweeps and multiple stress creep recovery (MSCR) test. Linear amplitude sweep (LAS) tests were conducted to evaluate the fatigue resistance of the bio-asphalt binder. A master curve was constructed to further analyze the rheological properties of the bio-asphalt binder at different frequencies. The low-temperature cracking resistance of the binder was evaluated by G-R parameters, critical temperatures and ΔTc. Fourier transform infrared spectroscopy (FTIR) was performed to investigate the changes in the functional groups of the binder before and after aging.

Findings

The results indicated that adding LPF could improve the high-temperature rutting resistance, fatigue resistance, aging resistance of asphalt and the binders are less affected by temperature. Additionally, LPF slightly prohibited the low-temperature performance of the asphalt binder, which, however, was significantly lower than the base asphalt degradation during aging. Compared with base asphalt binders, the bio-asphalt binder showed no new absorption peaks generated after adding LPF, identifying that the improved asphalt binder performance by LPF was a mainly physical modification.

Originality/value

The main objective of this paper is to further improve the substitution rate (i.e. the mass substitution ratio of lignin to phenol) of lignin and broaden the application of biomass resins, thus realizing resource sustainability.

Details

Multidiscipline Modeling in Materials and Structures, vol. 19 no. 4
Type: Research Article
ISSN: 1573-6105

Keywords

Available. Open Access. Open Access
Article
Publication date: 4 April 2023

Reetika Verma

The study aims is to explore the cointegration level among major Asian stock indices from pre- COVID-19 to post COVID-19 times.

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Abstract

Purpose

The study aims is to explore the cointegration level among major Asian stock indices from pre- COVID-19 to post COVID-19 times.

Design/methodology/approach

Johansen cointegration test is employed to know the long run relationship among the stock market indices of Hong Kong, Indonesia, Malaysia, Korea, India, Japan, China, Taiwan, Israel and South Korea. The empirical testing was done to analyze whether any significant change has been induced by the COVID-19 pandemic on the cointegrating relationship of the selected markets or not. Through statistics of trace test and maximum eigen value, total number of cointegrating equations present among all the indices during different study periods were analyzed.

Findings

The presence of cointegration was found during all the sample periods and the findings suggests that the selected stock markets are associated with each other in general. During COVID-19 crisis period the cointegration level was reduced and again it regained its original level in the next year and again reduced in the subsequent next year. So, the cointegrating relationship among selected stock market indices remains dynamic and no evidence of impact of COVID-19 on this dynamism was found.

Originality/value

The study has explored the level of cointegration among the major stock indices of Asian nations in the pre, during, post-crisis and the most recent periods. The interconnectedness of the stock markets during the COVID-19 times has been compared with similar periods in different years immediately preceding and succeeding the COVID-19 times which has not been done in any of the existing study.

Details

IIM Ranchi journal of management studies, vol. 3 no. 1
Type: Research Article
ISSN: 2754-0138

Keywords

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