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 58, issue C, 2021

Forecasting the Value-at-Risk of REITs using realized volatility jump models

Babatunde O Odusami

Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks

Zhang-HangJian Chen, Sai-Ping Li, Mei-Ling Cai, Li-Xin Zhong and Fei Ren

Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis

Darko Vuković, Kseniya A. Lapshina and Moinak Maiti

Identifying states of global financial market based on information flow network motifs

Wen-Jie Xie, Yang Yong, Na Wei, Peng Yue and Wei-Xing Zhou

Are the profitability and investment factors valid ICAPM risk factors? Pre-1963 evidence

Qi Lin and Xi Lin

The US debt–growth nexus along the business cycle

Luis Martins

Does government funding promote or inhibit the financialization of manufacturing enterprises? Evidence from listed Chinese enterprises

Yong Qi, Yudi Yang, Shuo Yang and Simeng Lyu

Valuing technological synergies in mergers

Shi Li, James S. Ang, Chaopeng Wu and Shijie Yang

Hedging futures performance with denoising and noise-assisted strategies

Chengli Zheng, Kuangxi Su and Yinhong Yao

Oil price shocks and credit spread: Structural effect and dynamic spillover

Yong Jiang, Cenjie Liu and Rui Xie

The effects of employee stock ownership on stock liquidity: Evidence from the Korean market

Hail Jung and Sanghak Choi

Valuation of piecewise linear barrier options

Hangsuck Lee, Hongjun Ha and Minha Lee

A filtered currency carry trade

Jin Ho Choi and Sangwon Suh

A truly global crisis? Evidence from contagion dependence across international REIT markets

MeiChi Huang, Chu-Hua Wu and I-Shan Cheng

COVID-19 and asymmetric volatility spillovers across global stock markets

Wenqi Li

Loss from the chasing of MAX stocks: Evidence from China

Ya Gao, Xing Han and Xiong Xiong

Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak

Bana Abuzayed and Nedal Al-Fayoumi

Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market

Huai-Long Shi and Wei-Xing Zhou

Who is more important, parents or children? Economic and environmental factors and health insurance purchase

Qian Wang, Jun Wang and Feng Gao

Using your regular contacts as collateral: The information value of call logs

Yunwen He

Private conversation matters: Evidence from sell-side analyst reports after private meetings

Huan Cai and Zhen Qi

Tax aggressiveness and idiosyncratic volatility

Neeru Chaudhry

A study on the incentive compensation structure with payroll tax: A continuous-time principal-agent model

Huan Wang, Chong Lai and Shaoyong Lai

The interrelationship between order flow, exchange rate, and the role of American economic news

Shahrokh Firouzi and Xiangning Wang

What drives dynamic connectedness of the U.S equity sectors during different business cycles?

Geoffrey M. Ngene

Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?

Kuang-Liang Chang

A unified entropic pricing framework of option: Using Cressie-Read family of divergences

Xisheng Yu

Fractal statistical measure and portfolio model optimization under power-law distribution

Xu Wu, Linlin Zhang, Jia Li and Ruzhen Yan

The ‘COVID’ crash of the 2020 U.S. Stock market

Min Shu, Ruiqiang Song and Wei Zhu

The dark side of stock market liberalization: Perspectives from corporate R&D activities in China

Qiaoyu Jia and Jia'nan Zhou

Factors affecting institutional investors to add crypto-currency to asset portfolios

Wei Sun, Alisher Tohirovich Dedahanov, Ho Young Shin and Wei Ping Li

How can investors build a better portfolio in small open economies? Evidence from Asia’s Four Little Dragons

Xiyong Dong, Changhong Li and Seong-Min Yoon

Global convergence of inflation rates

Tie-Ying Liu and Chien-Chiang Lee

Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market

Qifa Xu, Mengting Li and Cuixia Jiang

Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis

Md. Bokhtiar Hasan, Masnun Mahi, M. Kabir Hassan and Abul Bashar Bhuiyan

Exploring the development trend of internet finance in China: Perspective from club convergence

Caiquan Bai, Hong Yan, Shanggang Yin, Chen Feng and Qian Wei

President’s Tweets, US-China economic conflict and stock market Volatility: Evidence from China and G5 countries

Yusaku Nishimura and Bianxia Sun

Stock returns and carry trades

Zilin Chen, Jianhua Gang and Zongxin Qian

Diversified behavioral portfolio as an alternative to Modern Portfolio Theory

Yeny E. Rodríguez, Juan M. Gómez and Javier Contreras

The effects of FX-interventions on forecasters disagreement: A mixed data sampling view

Mark Holmes, Ana Iregui and Jesus Otero

Forecasting stock market volatility: Can the risk aversion measure exert an important role?

Zhifeng Dai and Xiaoming Chang

Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis

Changqing Luo, Lan Liu and Da Wang

Extreme risk spillovers between crude palm oil prices and exchange rates

You-How Go and Wee Yeap Lau

The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market

Cao Guangxi and Wenhao Xie

Region-wide connectedness of Asian equity and currency markets

Takuji Kinkyo

Stock Market’s responses to intraday investor sentiment

Sang Ik Seok, Hoon Cho and Doojin Ryu

A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis

Can-Zhong Yao, Yi-Na Mo and Ze-Kun Zhang

Tail risk and investors’ concerns: Evidence from Brazil

Gustavo Freire

Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches

Kais Tissaoui, Besma Hkiri, Mariem Talbi, Waleed Alghassab and Khaled Issa Alfreahat

The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns

Ruina Wang and Jinfang Li

Spillovers of U.S. market volatility and monetary policy uncertainty to global stock markets

Thomas C. Chiang

Can individual investors learn from experience in online P2P lending? Evidence from China

ZhouPing Li, RuYi Ge, XiaoShuang Guo and Lingfei Cai

Economic policy uncertainty and stock market returns: New evidence

Yongan Xu, Jianqiong Wang, Zhonglu Chen and Chao Liang

The impact of COVID-19 on the G7 stock markets: A time-frequency analysis

Mobeen Ur Rehman, Sang Hoon Kang, Nasir Ahmad and Xuan Vinh Vo

The COVID-19 Pandemic and Sovereign Bond Risk

Alin Marius Andrieș, Steven Ongena and Nicu Sprincean

A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors

Piero Quatto, Gianmarco Vacca and Maria Zoia

Analysis of the impact of COVID-19 pandemic on G20 stock markets

Yanshuang Li, Xintian Zhuang, Jian Wang and Zibing Dong

Herding in the bad times: The 2008 and COVID-19 crises

Sandra Ferreruela and Tania Mallor

A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model

Shaoyu Li, Yuanyuan Zhang and Chunhui Zhu

Inflation targeting and expectation anchoring: Evidence from developed and emerging market economies

Sangwon Suh and Daehwan Kim

COVID-19 stringency measures and foreign investment: An early assessment

Maela Giofre'

Moral hazard, debt overhang and capital structure

Bo Yang, Liu Gan and Chunhui Wen

Applications of machine learning for corporate bond yield spread forecasting

Jong-Min Kim, Dong H. Kim and Hojin Jung

A novel profit cutting mechanism for Chinese Banks: Theory and Multi-dimensional evidence

Chao Guan, Bo Yu and Sheng Bi

A model of dynamic tail dependence between crude oil prices and exchange rates

Ranran Guo and Wuyi Ye

Financial development and economic growth in a microfounded small open economy model

Bo Zhang and Peng Zhou

The granularity of the Brazilian banking market

Adriano Maia, Guilherme De Oliveira, Raul Matsushita and Sergio Da Silva

How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic?

Xiyong Dong, Li Song and Seong-Min Yoon

Assessing the reversal of investor sentiment

Cherng G. Ding, Hung-Jui Wang, Meng-Che Lee, Wen-Chi Hung and Ten-Der Jane

Investor co-attention and stock return co-movement: Evidence from China’s A-share stock market

Fei Su and Xinyi Wang

Extendible stock loan

Wei-Hwa Wu

Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment

Oguzhan Cepni and Rangan Gupta

Information transmission between large shareholders and stock volatility

Jie Li, Yongjie Zhang and Lidan Wang

Lottery-like momentum in the cryptocurrency market

Chiao-Han Lin, Kuang-Chieh Yen and Hui-Pei Cheng

Measuring real–financial connectedness in the U.S. economy

Erhan Uluceviz and Kamil Yilmaz

Currency news and international bond markets

Moustafa Abuelfadl and Ehab Yamani

Is insurance normal or inferior? -A regret theoretical approach-

Yoichiro Fujii, Mahito Okura and Yusuke Osaki