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Article

Amanjot Singh and Manjit Singh

This paper aims to attempt to capture the intertemporal/time-varying risk–return relationship in the Brazil, Russia, India and China (BRIC) equity markets after the global…

Abstract

Purpose

This paper aims to attempt to capture the intertemporal/time-varying risk–return relationship in the Brazil, Russia, India and China (BRIC) equity markets after the global financial crisis (2007-2009), i.e. during a relative calm period. There has been a significant increase in advanced economies’ equity allocations to the emerging markets ever since the financial crisis. So, the present study is an attempt to account for the said relationship, thereby justifying investments made by the international investors.

Methodology

The study uses non-linear models comprising asymmetric component generalised autoregressive conditional heteroskedastic model in mean (CGARCH-M) (1,1) model, generalised impulse response functions under vector autoregressive framework and Markov regime switching in mean and standard deviation model. The span of data ranges from 1 July 2009 to 31 December 2014.

Findings

The ACGARCH-M (1,1) model reports a positive and significant risk-return relationship in the Russian and Chinese equity markets only. There is leverage and volatility feedback effect in the Russian market because falling returns further increase conditional variance making the investors to expect a risk premium in the expected returns. The impulse responses indicate that for all of the BRIC markets, the ex-ante returns respond positively to a shock in the long-term risk component, whereas the response is negative to a shock in the short-term risk component. Finally, the Markov regime switching model confirms the existence of two regimes in all of the BRIC markets, namely, Bull and Bear regimes. Both the regimes exhibit negative relationship between risk and return.

Practical implications

It is an imperative task to comprehend the relationship shared between risk and returns for an investor. The investors in the emerging economies should understand the risk-return dynamics well ahead of time so that the returns justify the investments made under riskier environment.

Originality/value

The present study contributes to the literature in three senses. First, the data relate to a period especially after the global financial crisis (2007-2009). Second, the study has used a relatively newer version of GARCH based model [ACGARCH-M (1,1) model], generalised impulse response functions and Markov regime switching model to account for the relationship between risk and return. Finally, the study provides an insightful understanding of the risk–return relationship in the most promising emerging markets group “BRIC nations”, making the study first of its kind in all the perspectives.

Details

International Journal of Law and Management, vol. 59 no. 4
Type: Research Article
ISSN: 1754-243X

Keywords

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Article

Amanjot Singh and Manjit Singh

This paper aims to attempt to re-capture the stock market contagion effect from the US to the BRIC equity markets during the recent global financial crisis in a…

Abstract

Purpose

This paper aims to attempt to re-capture the stock market contagion effect from the US to the BRIC equity markets during the recent global financial crisis in a multivariate framework. Apart from this, the study also identifies optimal portfolio hedging strategies to minimize the underlying portfolio risk during the period undertaken for the purpose of study.

Design/methodology/approach

To account for the dynamic interactions, the study uses vector autoregression (p) dynamic conditional correlation (DCC)-asymmetric generalized autoregressive conditional heteroskedastic (1,1) model in a multivariate framework, coupled with a monthly heat map relating to the co-movement between the US and the BRIC equity markets during the period 2007-2009. Finally, by following the studies, Hammoudeh et al. (2010) and Syriopoulos et al. (2015), the time-varying optimal portfolio hedge ratios and weights are computed.

Findings

The results report a contagion impact of the US subprime crisis (following the collapse of the Lehman Brothers) on the Indian and Russian stock markets only. On the other hand, a higher degree of interdependence between the US and Brazilian market has been observed. The US and Chinese equity markets indicate a relatively lower level of interdependence among themselves. The optimal hedge ratios are found to be most effective for a portfolio comprising the US and Chinese stocks even during the crisis period. A US investor should invest approximately 30 cents in the Indian market and rest of the 70 cents in the US market in a US$1 portfolio to minimize the portfolio risk without lowering the expected returns. During the crisis period (2007-2009), the optimal portfolio weights indicate a higher weightage to the BRIC stocks.

Practical implications

The results support the construction of optimal US–BRIC stock portfolios and provide an insight to the investors and policy makers both domestic as well as international, with regard to the contagion impact and interdependence, especially during a crisis period.

Originality/value

The study uses a DCC model in a multivariate framework instead of bivariate, wherein all the markets are factored into a single interaction framework across a very long period (2004-2014). Second, a heat map of monthly correlation combinations has been created for the period 2007-2009, to comprehend the contagion impact or interdependence among the markets. Finally, the study ascertains time-varying optimal hedge ratios and portfolio weights for a two asset portfolio, from a US investor viewpoint, making the study first of its kind in all the perspectives.

Details

International Journal of Law and Management, vol. 59 no. 5
Type: Research Article
ISSN: 1754-243X

Keywords

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Article

Vikas Kumar, Amanjot Singh Syan, Amanpreet Kaur and Bikramjit Singh Hundal

This study aims to examine the farmers’ awareness level and explores the factors, which may influence their adoption intention regarding solar powered pumps.

Abstract

Purpose

This study aims to examine the farmers’ awareness level and explores the factors, which may influence their adoption intention regarding solar powered pumps.

Design/methodology/approach

The study consist of a sample of 510 respondents selected from the rural region of Punjab (India) by using convenience sampling. Descriptive analysis, exploratory factor analysis, confirmatory factor analysis and multiple regression analysis techniques have been used for the analytical purpose.

Findings

The study reveals that dimensions such as perceived benefit, perceived compatibility and government incentives have a significant impact on intention to use solar powered pumps, whereas high investment cost and lack of awareness regarding government subsidies are the main reason for non-adoption of the same.

Research limitations/implications

The sample size has been selected on the basis of convenience sampling and has been taken from the rural area, which may affect its generalizability.

Practical implications

The present research is expected to be useful for the manufacturers, regulators, customers, commercial banks, product and service providers, and other environmental institutions.

Originality/value

The study has acknowledged various intentional factors, which influence the adoption decision of solar powered pumps. Therefore, the present study will be useful to formulate action plans to improve the environmental quality.

Details

International Journal of Energy Sector Management, vol. 14 no. 4
Type: Research Article
ISSN: 1750-6220

Keywords

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Article

Amanjot Singh and Manjit Singh

The authors aim to report empirical linkages between the US and Brazil, Russia, India and China (BRIC) financial stress indices catalyzing catalyzing dependent economic…

Abstract

Purpose

The authors aim to report empirical linkages between the US and Brazil, Russia, India and China (BRIC) financial stress indices catalyzing catalyzing dependent economic policy initiatives (an extended version of Singh and Singh, 2017a).

Design/methodology/approach

Initially, the study develops financial stress indices for the respective BRIC financial markets. Later, it captures linkages among the said US-BRIC indices by using Johansen cointegration, vector autoregression/vector error correction models (VECM), generalized impulse response functions, Toda–Yamamoto Granger causality, variance decomposition analyses and bivariate generalized autoregressive conditional heteroskedasticity (GARCH) model under constant conditional correlation framework, in general. Markov regime switching and efficient causality tests proposed by Hill (2007) are also used.

Findings

Overall, there are both short-run and long-run dynamic interactions observed between the US and Indian financial stress indices. For rest of the markets, only short-run interactions are found to be in existence. The time-varying co-movement coefficients report financial contagion impact of the US financial crisis on Russian and Indian financial systems only. Contrary to this, Brazilian and Chinese financial systems are largely exhibiting interdependence with the US financial system. Efficient causality tests report indirect impact of the Russian financial system on Brazilian via auxiliary Indian financial system.

Originality/value

The present study is the first of its kind capturing linkages among the US-BRIC financial stress indices by using diverse econometric models. The results support different market participants and policymakers in understanding effectiveness and implementation of economic policies while considering their cross-market interactions as well.

Details

International Journal of Law and Management, vol. 59 no. 6
Type: Research Article
ISSN: 1754-243X

Keywords

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Article

Vikas Kumar, Amanjot Singh Syan and Komalpreet Kaur

The underlying research is an attempt to discover the factors responsible for influencing customer purchase intention towards solar water heaters.

Abstract

Purpose

The underlying research is an attempt to discover the factors responsible for influencing customer purchase intention towards solar water heaters.

Design/methodology/approach

Six dimensions have been considered to assess customer purchase intention towards a solar water heater. The primary data involves the responses collected from 695 respondents belonging to the north region of India using a convenience sampling technique. Structural equation modeling analysis has been employed to examine the dimensions' impact on customer purchase intention.

Findings

The results concluded that dimensions such as increasing energy prices, product knowledge and experience, financial support and subsidies, perceived cost, have a positive influence on customers' purchase intention of solar water heater except for the dimension of “solar water heater aesthetics”.

Research limitations/implications

Due to the limited sample size, findings cannot be generalized for the large-scale population. Moreover, this study is only confined to the assessment of particular factors that are affecting the purchase intention of customers confined to solar water heaters only.

Practical implications

The present study will provide an advantage to organizations that are in the process of implementing solar energy products into working. Moreover, this research will also assist policymakers regarding the formulation of policies on solar energy products. An undue advantage of this would be the increasing adoption of a solar water heater by understanding the factors that impact customer purchase intention.

Originality/value

Considerably, this research, by filling up the gap in the existing studies, will empirically contribute to the customer purchase intention towards SWHs. Additionally, the results of the study will also endow an additive advantage to the existing firms.

Details

Smart and Sustainable Built Environment, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2046-6099

Keywords

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Article

Amanjot Singh and Manjit Singh

With the globalization and liberalization in terms of increasing financial flows across the countries, the policy makers around the world are not independent in the…

Abstract

Purpose

With the globalization and liberalization in terms of increasing financial flows across the countries, the policy makers around the world are not independent in the context of monetary and fiscal policy initiatives. In this regard, this paper aims to attempt to quantify and capture long run, short run as well as time-varying linkages among the two financial stress indices, namely, Kansas City Financial Stress Index (KCFSI) and Indian Financial Stress Index (IFSI) across the monthly period (2004 to 2014).

Design/methodology/approach

Owing to the non-existence of a standardized financial stress index with regards to the Indian financial system, the study has developed an index/stress indicator using principal component analysis. Furthermore, to comprehend the linkages, the study uses bivariate Johansen cointegration model, vector error correction model, impulse response functions (IRF), variance decomposition analysis (VDA), Toda-Yamamoto’s Granger causality test and, finally, bivariate generalized autoregressive conditional heteroskedastic (BVGARCH) (1,1) model under constant conditional correlation (CCC) framework.

Findings

The results report a stochastic trend among the two indices wherein the US financial system acts as a source of a shock causing disequilibrium in the long run co-movement. About 40 per cent of the adjustments take place in one month and rest in the coming months. Both the IRF and VDA report a greater degree impact of the US financial stress on the Indian financial system. Moreover, there is a uni-directional short run causality running from the stress in the US financial system to the Indian financial stress. Furthermore, the co-movement between the US and Indian financial stress reached to its maximum significant level during the sub-prime crisis even confirmed by the Markov switching model results.

Practical implications

Overall, the results provide an insight to the financial market investors both domestic as well as international in their act of risk management. The financial stress prevailing in an economy further has an impact on different economic factors like foreign exchange rates, interest rates, yield curves, equity market returns and volatility. So, the empirical results support strong implications for the Indian policy makers as well as investors in the Indian financial markets.

Originality/value

The present study contributes to the literature in three senses. First, the study considers indices reflecting financial stress in the Indian as well as US financial system. Second, the study captures long run as well as short run linkages among the financial stress indices relating to a developed and an emerging market. Finally, the study uses CCC-BVGARCH (1,1) model to account for the time-varying co-movement among the financial stress indices. This helps in comprehending time-varying nature of the co-movement of the stress in the financial system prevalent in the respective markets.

Details

International Journal of Law and Management, vol. 59 no. 2
Type: Research Article
ISSN: 1754-243X

Keywords

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Article

Amanjot Singh and Manjit Singh

This paper aims to attempt to capture the co-movement of the Indian equity market with some of the major economic giants such as the USA, Europe, Japan and China after the…

Abstract

Purpose

This paper aims to attempt to capture the co-movement of the Indian equity market with some of the major economic giants such as the USA, Europe, Japan and China after the occurrence of global financial crisis in a multivariate framework. Apart from these cross-country co-movements, the study also captures an intertemporal risk-return relationship in the Indian equity market, considering the covariance of the Indian equity market with the other countries as well.

Design/methodology/approach

To account for dynamic correlation coefficients and risk-return dynamics, vector autoregressive (1) dynamic conditional correlation–asymmetric generalized autoregressive conditional heteroskedastic model in a multivariate framework and exponential generalized autoregressive conditional heteroskedastic model in mean with covariances as explanatory variables are used. For an in-depth analysis, Markov regime switching model and optimal hedging ratios and weights are also computed. The span of data ranges from August 10, 2010 to August 7, 2015, especially after the global financial crisis.

Findings

The Indian equity market is not completely decoupled from mature markets as well as emerging market (China), but the time-varying correlation coefficients are on a downward spree after the global financial crisis, except for the US market. The Indian and Chinese equity markets witness a highest level of correlation with each other, followed by the European, US and Japanese markets. Both the optimal portfolio hedge ratios and portfolio weights with two asset classes point out toward portfolio risk minimization through the combination of the Indian and US equity market stocks from a US investor viewpoint. A negative co-movement between the Indian and US market increases the conditional expected returns in the Indian equity market. There is an insignificant but a negative relationship between the expected risk and returns.

Practical implications

The study provides an insight to the international as well as domestic investors and supports the construction of cross-country portfolios and risk management especially after the occurrence of global financial crisis.

Originality/value

The present study contributes to the literature in three senses. First, the period relates to the events after the global financial crisis (2007-2009). Second, the study examines the co-movement of the Indian equity market with four major economic giants such as the USA, Europe, Japan and China in a multivariate framework. These economic giants are excessively following the easy money policies aftermath the financial crisis so as to wriggle out of deflationary phases. Finally, the study captures risk-return relationship in the Indian equity market, considering its covariance with the international markets.

Details

Journal of Indian Business Research, vol. 8 no. 2
Type: Research Article
ISSN: 1755-4195

Keywords

Content available

Abstract

Details

Sustainability Marketing
Type: Book
ISBN: 978-1-80071-244-7

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Abstract

Details

Sustainability Marketing
Type: Book
ISBN: 978-1-80071-244-7

Abstract

Details

Sustainability Marketing
Type: Book
ISBN: 978-1-80071-244-7

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