The North American Journal of Economics and Finance

1992 - 2025

Continuation of North American Review of Economics and Finance.

Current editor(s): Hamid Beladi

From Elsevier
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Volume 77, issue C, 2025

The temporal variability in the returns of socially responsible funds to structural oil shocks

Mobeen Ur Rehman, Neeraj Nautiyal, Rami Zeitun and Xuan Vinh Vo

Multivariate Affine GARCH in portfolio optimization. Analytical solutions and applications

Marcos Escobar-Anel, Yu-Jung Yang and Rudi Zagst

Asymmetry and determinants of financial connectivity in G20: Evidence from a quantile-based and lasso regression analysis

Guangyi Yang, Yong Li and Xiaoxing Liu

Evaluating the hedging potential of energy, metals, and agricultural commodities for U.S. stocks post-COVID-19

SeungOh Han

CEO turnover and financial policy transfer

Daniel Sungyeon Kim, Kwangwon Ahn, Hanwool Jang and Jaeyoon Lee

Project risk neutrality in the context of asymmetric information

Fabian Alex

Stock and corporate bond liquidity: When having the same issuer induces commonality

Elena Márquez-de-la-Cruz, Ana R. Martínez-Cañete and Belén Nieto

Portfolio tail risk forecasting for international financial assets: A GARCH-MIDAS-R-Vine copula model

Yinhong Yao, Xiuwen Chen and Zhensong Chen

Are ESG factors truly unique?

Svetoslav Covachev, Jocelyn Martel and Sofia Brito-Ramos

The time-varying relationship between climate uncertainty, low-carbon stocks and green bonds

Ziyao Xu, Deheng Zhou, Junfeng Ma and Jing Yuan

Corporate ESG disclosure and regulatory inquiry: Evidence from comment letters on annual reports

Xin Li, Yan Tong and Guoquan Xu

Monetary policy expectations and financial Markets: A Quantile-on-Quantile connectedness approach

Nader Naifar

Comparison of the interdependence relationship between crude oil futures and spot in China and international crude oil markets − evidence from time-frequency and quantile perspectives

Fengyuan Shi, Yiwen Deng and Yaoqi Guo

The Big Mac index: An exact multilateral clarification

Michael Kunkler

Oil price shocks, economic policy uncertainty and China’s producer price index: Evidence from quantile regression analysis

Yun Qin and Zitao Zhang

Green credit and systemic risk: From the perspectives of policy and scale

Chien-Chiang Lee, Qian Xiao and Xiaoming Zhang

Economic Nexus among the Belt and Road Initiative participating countries

Yiguo Chen, Peng Luo and Tsangyao Chang

Systemic risk among Chinese oil and petrochemical firms based on dynamic tail risk spillover networks

Tingqiang Chen, Xin Zheng and Lei Wang

Does Chinese mixed-ownership reform improve innovation quality in privately-owned enterprises? A dual-perspective evidence from managerial myopia and resource-based view

Xuehua Gu

Examining the transmission of credit and liquidity risks: A network analysis for EMU sovereign debt markets

Adrián Fernandez-Perez, Marta Gómez-Puig and Simon Sosvilla-Rivero

A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures

Junjie Liu, Qingnan Zhou and Zhenlong Chen

Volume 76, issue C, 2025

Factors of predictive power for metal commodities

Patric Papenfuß, Amelie Schischke and Andreas Rathgeber

Green bonds and clean energy stocks: Safe havens against global uncertainties? A wavelet quantile-based examination

Chaker Aloui, Sami Mejri, Hela Ben Hamida and Ramazan Yildirim

Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model

Yan Chen, Qiong Luo and Feipeng Zhang

A further examination of sovereign domestic and external debt defaults

Yaseen Ghulam

ESG rating divergence and stock price crash risk

Chunhua Ju, Xusheng Fang and Zhonghua Shen

Unveiling the gold-oil whirl amidst market uncertainty shocks in China

Houjian Li, Yanjiao Li and Fangyuan Luo

Inflation synchronization and shock transmission between the eurozone and the non-euro CEE Economies: A wavelet quantile VAR approach

Huthaifa Sameeh Alqaralleh, Alessandra Canepa and Eva Muchova

Does the VIX act as the main transmitter of mispricing in index futures markets? Insights from European and American regions

S.M.R.K. Samarakoon, Rudra P. Pradhan, Sasikanta Tripathy and Manju Jayakumar

Managerial response to institutional investor distraction

Tri Trinh, Mark D. Walker and Keven Yost

Greater fragility, greater exposure: A network-based analysis of climate policy uncertainty shocks and G20 stock markets stability

Yu-fan Wan, Ming-hui Wang and Feng-lin Wu

Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States

Erdinc Akyildirim, Shaen Corbet, Ali Coskun and Metin Ercan

The divergence of China’s prices under economic policy uncertainty shock: A time-varying perspective

Shaobo Long, Ning Xue and Yuan Zhang

How does the supplier size similarity affect trade credit?

Xiaobao Song, Mingan Yao and Chun Guo

Cryptocurrency market spillover in times of uncertainty

Wei-Peng Chen, Chih-Chiang Wu and Withz Aimable

Creditable bonds’ multifunctional roles during the COVID-19 pandemic

Qiyu Wang, Junhong Yang and Terence Tai Leung Chong

The impact of outcome uncertainty on corporate investment compensation peer effects

Yu-En Lin, Yu-Xin Xu, Bo Yu and Keith S.K. Lam

The role of ESG factor in stock clustering based on risk-return-liquidity dimensions

Lucie Staněk Gyönyör, Matúš Horváth, Daniel Stašek and Martin Stachoň

Finance and collusion in oligopolistic markets

Sugata Marjit, Arijit Mukherjee, Xinpeng Xu and Lei Yang

The impact of volatility regime dynamics on option pricing

Shican Liu, Qing Li and Siqi Fan

How does news-driven monetary policy frictions affect nonperforming loans?--Taking Chinese commercial banks as an example

Heng-Guo Zhang, Shihong Wang and Yuchi Xie

Identifying risk transmission in carbon, energy and metal markets: Evidence from a novel quantile frequency connectedness approach

Hao Wu and Yuan Huang

International extreme sovereign risk connectedness: Network structure and roles

Wei-Qiang Huang, Peipei Liu and Yao-Long Zhu

Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China

Guobin Fang, Xuehua Zhou, Huimin Ma, XiaoFang Zhao, YaoXun Deng and Luoyan Xie

Reaction of the U.S. Treasury market to economic news when intrapersonal uncertainty and interpersonal disagreement are high

Onem Ozocak

Investment opportunity strategy in a double-mean-reverting 4/2 stochastic volatility environment

Jiling Cao, Jeong-Hoon Kim, Wenqiang Liu and Wenjun Zhang

Optimal venture capital entry–exit strategy with jump–diffusion risk

Si Zuo and Haijun Wang

Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments: An agent-based modeling approach

Liming Wang, Xuchu Sun, Hongliang Zhu and Tangrong Li

An early prediction model on systemic risk under global risk: Using FinBERT and temporal fusion transformer to multimodal data fusion framework

Xiao Jin and Shu-Ling Lin

Subjective probability distributions of nonlinear payoffs: Recovering option payoff, agent’s utility, and pricing kernel distributions

Akira Yamazaki

Does corporate digital transformation improve capital market transparency? Evidence from China

Bin Gao, Mimi Qin and Jun Xie

A predictive term-spread model in the age of inflation targeting

Jostein Tvedt

Valuing catastrophe equity put options with liquidity risk, default risk and jumps

Chao Tang, Peimin Chen and Shu Zhang

Environmental tax reform and corporate tax avoidance: A quasi-natural experiment on China’s environmental protection tax law

Zhongbo Jing, Wei Zhang, Pengcheng Zhao and Yang Zhao

Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information

Buyun Xu and Zhimin Wu

Market broadening and future volatility: A study of Russell 2000 and S&P 500 equal weight ETFs

Abbas Valadkhani and Barry O'Mahony

Detecting corporate ESG performance: The role of ESG materiality in corporate financial performance and risks

Sharon S. Yang, -Wei Huang, Hong-Yi Chen and Min-Hung Tsay

Bank liquidity supply and corporate investment during the 2008–2009 financial crisis

Wei Zhang

Multi-step double barrier options under time-varying interest rates

Hangsuck Lee, Yisub Kye, Byungdoo Kong and Seongjoo Song

Mutual fund style drift measured using higher moments and its cash flow incentive

Qi Chen, Peng Wang and Dong Yang

Imported risk in global financial markets: Evidence from cross-market connectedness

Zisheng Ouyang, Zhen Chen, Xuewei Zhou and Zhongzhe Ouyang

Which uncertainty measure better predicts gold prices? New evidence from a CNN-LSTM approach

Wanhai You, Jianyong Chen, Haoqi Xie and Yinghua Ren

Strategic cooperation in fintech field and efficiency of commercial banks

Zhiming Ao and Xinru Ji

Explosiveness in the renewable energy equity sector: International evidence

Juan Ariza and Román Ferrer

A penalized U-MIDAS multinomial logit model with applications to corporate credit ratings

Cuixia Jiang, Junwei Sun and Qifa Xu