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We present an approach for pricing American put options with a regime-switching volatility. Our method reveals that the option price can be expressed as the sum of two components: the price of a European put option and the premium associated with the early exercise privilege. Our analysis demonstrates that, under these conditions, the perpetual put option consistently commands a higher price during periods of high volatility compared to those of low volatility. Moreover, we establish that the optimal exercise boundary is lower in high-volatility regimes than in low-volatility regimes. Additionally, we develop an analytical framework to describe American puts with an Erlang-distributed random-time horizon, which allows us to propose a numerical technique for approximating the value of American puts with finite expiry. We also show that a combined approach involving randomization and Richardson extrapolation can be a robust numerical algorithm for estimating American put prices with finite expiry.

This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers.

The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation.

Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors.

The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.

The authors analyse six actively traded VIX Exchange Traded Products (ETPs) including 1x long, −1x inverse and 2x leveraged products. The authors assess their impact on the VIX Futures index benchmark.

Long-run causal relations between daily price movements in ETPs and futures are established, and the impact of rebalancing activity of leveraged and inverse ETPs evidenced through causal relations in the last 30 min of daily trading.

High frequency lead lag relations are observed, demonstrating opportunities for arbitrage, although these tend to be short-lived and only material in times of market dislocation.

The causal relations between VXX and VIX Futures are well established with leads and lags generally found to be short-lived and arbitrage relations holding. The authors go further to capture 1x long, −1x inverse as well as 2x leveraged ETNs and the corresponding ETFs, to give a broad representation across the ETP market. The authors establish causal relations between inverse and leveraged products where causal relations are not yet documented.

The aim of this paper is to solve the toxic and harmful problems caused by traditional volatile corrosion inhibitor (VCI) and to analyze the effect of the layered structure on the enhancement of the volatile corrosion inhibition prevention performance of amino acids.

The carbon dots-montmorillonite (DMT) hybrid material is prepared via hydrothermal process. The effect of the DMT-modified alanine as VCI for mild steel is investigated by volatile inhibition sieve test, volatile corrosion inhibition ability test, electrochemical measurement and surface analysis technology. It demonstrates that the DMT hybrid materials can improve the ability of alanine to protect mild steel against atmospheric corrosion effectively. The presence of carbon dots enlarges the interlamellar spacing of montmorillonite and allows better dispersion of alanine. The DMT-modified alanine has higher volatilization ability and an excellent corrosion inhibition of 85.3% for mild steel.

The DMT hybrid material provides a good template for the distribution of VCI, which can effectively improve the vapor-phase antirust property of VCI.

The increased volatilization rate also means increased VCI consumption and higher costs.

Provides a new way of thinking to replace the traditional toxic and harmful VCI.

For the first time, amino acids are combined with nano laminar structures, which are used to solve the problem of difficult volatilization of amino acids.

This paper aims to examine potential diversification benefits between Eurozone (i.e. EURO STOXX 50) and key Asia markets: HSI (Hong Kong), KOSPI (South Korea), NIKKEI 225 (Japan) and TSEC (Taiwan). The sample covers the period from 04-01-2008 to 19-10-2023 in daily frequency.

The empirical investigation is based on the wavelet coherence analysis, which is a localized correlation coefficient in the time and frequency domain.

The results provide evidence that long-term diversification benefits exist between EURO STOXX and NIKKEI, EURO STOXX and KOSPI (after 2015) and there are signs for the pair and EURO STOXX-TSEC (after 2014). During the short term, there are signs of diversification benefits during the sample period. However, during the medium term, the diversification benefits seem to diminish.

These results have crucial implications for investors regarding the benefits of international portfolio diversification.

This paper aims to review, discuss and synthesize the literature focusing on the Indian initial public offering (IPO) market. Understanding the Indian IPO market can help answer broader corporate finance questions. The growing number of IPOs in the Indian context, coupled with the increasing importance of the Indian economy in the global market, makes this review an essential topic.

The systematic literature review methodology was adopted to review 111 papers published between 2002 and 2021. The authors used the Preferred Reporting Items for Systematic Reviews and Meta-Analyses approach during the review process. Additionally, the authors use a bibliometric review methodology to examine the pattern and trend of research in this area of interest. Furthermore, the authors conduct a critical review and synthesis of the top 20 papers based on citations. The authors also use a co-citation network and manual content analysis method to identify key research themes.

This review helps in identifying major themes of research in this area of interest. The authors find that majority of the research has focused on IPO performance whereas post-IPO performance needs critical attention as well. The authors develop a comprehensive framework and future research agenda based on their discussion.

Meta-analysis of the literature can be conducted to gain better insights into the findings of prior studies.

This review paper develops a comprehensive overview on Indian IPO market which can be of interest not only to Indian scholarship. India as an economy is increasingly gaining attention at the global level. Hence, the future research objectives as illustrated in the study can be of interest for the global scholarship also.

To the best of the authors’ knowledge, this is the first comprehensive review paper that examines, synthesizes and outlines the future research agenda on Indian IPO studies. This review can be useful for researchers, business policymakers, finance professionals and anyone else interested in the Indian IPO market.

The existing literature offers various perspectives on integrating cryptocurrencies into investment portfolios; yet, there is a gap in understanding the behaviours, attitudes and cross-investment links of individual investors. This study, grounded in the modern portfolio theory and the random walk theory, aims to add empirical insights that are specific to the UK context. It explores four hypotheses related to the influence of socio-demographics, digital adoption, cross-investment behaviours and financial attitudes on cryptocurrency owners.

This study uses a logistic regression model with secondary data from the Financial Lives Survey 2020 to assess the factors impacting cryptocurrency ownership. A total of 29 variables are used, categorized into four groups aligned with the hypotheses. Additionally, hierarchical clustering analysis was conducted to further explore the cross-investment links.

The study reveals a significant lack of diversification among UK cryptocurrency investors, a pronounced inclination towards high-risk investments such as peer-to-peer lending and crowdfunding, and parallels with gambling behaviours, including financial dissatisfaction and a propensity for risk-taking. It highlights the influence of demographic traits, risk tolerance, technological literacy and emotional attitudes on cryptocurrency investment decisions.

This study provides valuable insights into cryptocurrency regulation and retail investor protection, underscoring the necessity for tailored financial education and a holistic regulatory approach for investment products with comparable risk levels, with the aim of minimizing regulatory arbitrage. It significantly enhances our understanding of the unique dynamics of cryptocurrency investments within the evolving financial landscape.

This paper aims to solve the problems molybdenum disulfide (MoS₂) nanosheets suffer from inadequate dispersion stability and form a weak lubricating film on the friction surface, which severely limits their application as lubricant additives.

MoS₂/C₆₀ nanocomposites were prepared by synthesizing molybdenum disulfide (MoS₂) nanosheets on the surface of hydrochloric acid-activated fullerenes (C₆₀) by in situ hydrothermal method. The composition, structure and morphology of MoS₂/C₆₀ nanocomposites were characterized. Through the high-frequency reciprocating tribology test, its potential as a lubricant additive was evaluated.

MoS₂/C₆₀ nanocomposites that were prepared showed good dispersion in dioctyl sebacate (DOS). When 0.5 Wt.% MoS₂/C₆₀ was added, the friction reduction performance and wear resistance improved by 54.5% and 62.7%, respectively.

MoS₂/C₆₀ composite nanoparticles were prepared by in-situ formation of MoS₂ nanosheets on the surface of C₆₀ activated by HCl through hydrothermal method and were used as potential lubricating oil additives.

The peer review history for this article is available at: https://publons.com/publon/10.1108/ILT-10-2023-0321/

The quest for improved facilities management (FM) delivery is receiving immense focus through the incorporation of innovative technologies such as cyber-physical systems (CPS). The system’s high computational capabilities can aid in the abatement of some of the challenges plaguing FM functions. However, the requisite ingredients for the uptake of the system for FM have still not gained scholarly attention. Because performance measurement is a vital index in determining the outcome of FM methods, this study aims to investigate the influence of performance measurement indicators that are influential to the uptake of CPS for delivering FM functions.

A qualitative technique was adopted using the Delphi technique. The panel of experts for the study was selected through a well-defined process based on stipulated criteria. The experts gave their opinions in two rounds before consensus was attained on the identified performance measurement indicators, whereas methods of data analysis were measures of central tendency, inter-quartile deviation and Mann–Whitney U test.

Results from this study showed that 11 of the performance indicators were of very high significance in the determination of the uptake of CPS for FM functions, whereas 5 of the indicators were proven to be of high significance. Furthermore, there was no statistical difference in the opinions of the experts based on their affiliation with academic institutions and professional practice.

The findings of this study contribute practically by aiding policymakers, facility managers and relevant stakeholders with the vital knowledge of delivery mandates for efficient FM services that can spur the uptake of digital technologies such as CPS.

This study contributes to the body of knowledge as it unveils a roadmap of the expected performance output and its accompanying evaluation that would drive the adoption of a promising technology such as CPS in the delivery of FM tasks.

This study adopts a new macro-perspective to explore the complex and dynamic links between financial instability and the Euro-American green equity market. Its primary focus and novelty is to shed light on the non-linear and asymmetric characteristics of dependence, causality, and contagion within various time and frequency domains. Specifically, the authors scrutinize how financial instability in the U.S. and EU interacts with their respective green stock markets, while also examining the cross-impact on each other's green equity markets. The analysis is carried out over short-, medium- and long-term horizons and under different market conditions, ranging from bearish and normal to bullish.

This study breaks new ground by employing a model-free and non-parametric approach to examine the relationship between the instability of the global financial system and the green equity market performance in the U.S. and EU. This study's methodology offers new insights into the time- and frequency-varying relationship, using wavelet coherence supplemented with quantile causality and quantile-on-quantile regression analyses. This advanced approach unveils non-linear and asymmetric causal links and characterizes their signs, effectively distinguishing between bearish, normal, and bullish market conditions, as well as short-, medium- and long-term horizons.

This study's findings reveal that financial instability has a strong negative impact on the green stock market over the medium to long term, in bullish market conditions and in times of economic and extra-economic turbulence. This implies that green stocks cannot be an effective hedge against systemic financial risk during periods of turbulence and euphoria. Moreover, the authors demonstrate that U.S. financial instability not only affects the U.S. green equity market, but also has significant spillover effects on the EU market and vice versa, indicating the existence of a Euro-American contagion mechanism. Interestingly, this study's results also reveal a positive correlation between financial instability and green equity market performance under normal market conditions, suggesting a possible feedback loop effect.

This study represents pioneering work in exploring the non-linear and asymmetric connections between financial instability and the Euro-American stock markets. Notably, it discerns how these interactions vary over the short, medium, and long term and under different market conditions, including bearish, normal, and bullish states. Understanding these characteristics is instrumental in shaping effective policies to achieve the Sustainable Development Goals (SDGs), including access to clean, affordable energy (SDG 7), and to preserve the stability of the international financial system.