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 56, issue C, 2021

Information interaction, behavioral synchronization and asset market volatility

Chengjin Wang, Yudong Gao and Honggang Li

Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?

Takahiro Hattori and Ryo Ishida

Sample average approximation of CVaR-based hedging problem with a deep-learning solution

Cheng Peng, Shuang Li, Yanlong Zhao and Ying Bao

Consistent pricing of VIX options with the Hawkes jump-diffusion model

Bo Jing, Shenghong Li and Yong Ma

Asymmetric volatility connectedness among U.S. stock sectors

Walid Mensi, Ramzi Nekhili, Xuan Vinh Vo, Tahir Suleman and Sang Hoon Kang

Real income convergence and the patterns of financial integration in the EU

Eleonora Cavallaro and Ilaria Villani

Private benefits from control block trades in the Spanish stock exchange

Inés Pérez-Soba, Ana R. Martínez-Cañete and Márquez– de-la-Cruz, Elena

Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model

Kin-Boon Tang, Wen-Jie Zheng, Chao-Yang Lin and Shih-Kuei Lin

The effects of exchange rate fluctuations on the stock market and the affecting mechanisms: Evidence from BRICS countries

Qian Huang, Xiangning Wang and Shuguang Zhang

Dynamic spillover and connectedness between oil futures and European bonds

Walid Mensi, Khamis Hamed Al-Yahyaee, Xuan Vinh Vo and Sang Hoon Kang

Non-linear causal linkages of EPU and gold with major cryptocurrencies during bull and bear markets

Stephanos Papadamou, Nikolaos A. Kyriazis and Panayiotis Tzeremes

The impact of central clearing on the market for single-name credit default swaps

Mohamed-Ali Akari, Ramzi Ben-Abdallah, Michèle Breton and Georges Dionne

The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB

Fei Jia, Yao Shen, Junfan Ren and Xiangyun Xu

Time–frequency quantile dependence between Bitcoin and global equity markets

Aktham Maghyereh and Hussein Abdoh

Skew index: Descriptive analysis, predictive power, and short-term forecast

Andrés Mora-Valencia, Santiago Rodríguez-Raga and Esteban Vanegas

The asymmetric effect of crude oil prices on stock prices in major international financial markets

Wei Jiang and Yan Liu

Limitations of portfolio diversification through fat tails of the return Distributions: Some empirical evidence

Cheoljun Eom, Taisei Kaizoji, Giacomo Livan and Enrico Scalas

Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China

Yanshuang Li, Xintian Zhuang and Jian Wang

Continuous wavelet analysis of Chinese renminbi: Co-movement and lead-lag relationship between onshore and offshore exchange rates

Lei Xu, Shigeyuki Hamori and Takuji Kinkyo

Estimating the Bank of Mexico’s reaction function in the last three decades: A Bayesian DSGE approach with rolling-windows

Rene Zamarripa

Effectiveness of Augmented Dollar-Cost Averaging

Anna Kapalczynski and Donald Lien

Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration

Zhengxun Tan, Binuo Xiao, Yilong Huang and Li Zhou

House price synchronization across the US states: The role of structural oil shocks

Xin Sheng, Hardik A. Marfatia, Rangan Gupta and Qiang Ji

Mandatory dividend rules and the investment decision: The case of Chile

Rodrigo Saens and Tamara Tigero

Identifying credit demand, financial intermediation, and supply of funds shocks: A structural VAR approach

Nathan Balke, Zheng Zeng and Ren Zhang

Pricing the hedging factor in the cross-section of stock returns

Kwamie Dunbar

Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model

Chia-Yen Tan, You-Beng Koh, Kok-Haur Ng and Kooi-Huat Ng

Systemic financial risk early warning of financial market in China using Attention-LSTM model

Zi-sheng Ouyang, Xi-te Yang and Yongzeng Lai

Dispersion in analysts’ target prices and stock returns

Xingjian Li, Hongrui Feng, Shu Yan and Heng Wang

Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether

Barbara Będowska-Sójka and Agata Kliber

Volume 55, issue C, 2021

CEO duality, information costs, and firm performance

Shufang Hsu, Shih-Wei Lin, Wei-Peng Chen and Jhao-Wei Huang

The impact of market and industry risk on family succession

Yin-Hua Yeh and Chen-Chieh Liao

Affiliated block shareholders and analyst optimism

Shi Li, Chaopeng Wu and Shijie Yang

Knowledge capital, CEO power, and firm value: Evidence from the IT industry

Junmao Chiu, Chin-Ho Chen, Chung-Chieh Cheng and Shih-Chang Hung

How the CEO power and age dissimilarity shape the chair-CEO pay gap: Empirical evidence from China

Jiajun Zhu, Jing Gao and Hongping Tan

Family business succession roadblock model based on fuzzy linguistic preference relations

Fangyi Liu

A study on the bursting point of Bitcoin based on the BSADF and LPPLS methods

Can-Zhong Yao and Hong-Yu Li

Overnight stock returns, intraday returns, and firm-specific investor sentiment

Byungoh Kim and Sangwon Suh

Economic policy uncertainty and illiquidity return premium

Hui-Ching Hsieh and Van Quoc Thinh Nguyen

The impact of the macroeconomic factors in the bank efficiency: Evidence from the Chinese city banks

Xiang Chen and Ching-Cheng Lu

Multi-asset pair-trading strategy: A statistical learning approach

Tsai-Yu Lin, Cathy W. S. Chen and Fong-Yi Syu

Risk spillover between Bitcoin and conventional financial markets: An expectile-based approach

Yue-Jun Zhang, Elie Bouri, Rangan Gupta and Shu-Jiao Ma

Does transaction activity predict Bitcoin returns? Evidence from quantile-on-quantile analysis

Liya Hau, Huiming Zhu, Muhammad Shahbaz and Wuqin Sun

The effect of repurchase regulations on actual share reacquisitions and cost of debt

Ni-Yun Chen and Chi-Chun Liu

Short-term institutions’ information advantage and overvaluation

Brian Du, Alejandro Serrano and Andre Vianna

The dynamic investment and exit decisions of venture capitals

Zhuming Chen, Can Chen, Tao Lin and Xiaoguo Chen

Government support and bank performance during the 2007–2008 financial crisis

Yi-Ling Chen, Hsiu-I Ting and Ming-Chun Wang

Optimal investment and reinsurance policies for an insurer with ambiguity aversion

Bing Liu, Hui Meng and Ming Zhou

Contingent capital, Tobin’s q and corporate capital structure

Bo Yang and Liu Gan

Individual stock sentiment beta and stock returns

Chunpeng Yang and Xiaoyi Hu

Carbon option price forecasting based on modified fractional Brownian motion optimized by GARCH model in carbon emission trading

Zhibin Liu and Shan Huang

Spillovers between sovereign CDS and exchange rate markets: The role of market fear

Qianqian Feng, Xiaolei Sun, Chang Liu and Jianping Li

Oil price shocks, geopolitical risks, and green bond market dynamics

Chi-Chuan Lee, Chien-Chiang Lee and Yong-Yi Li

The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices

Meiyu Tian, Wanyang Li and Fenghua Wen

Corporate governance and the insolvency risk of financial institutions

Searat Ali, Nazim Hussain and Jamshed Iqbal

The impact of non-performing loans on bank lending in Europe: An empirical analysis

Antonio Sánchez Serrano

Does CEO-chairman dialect similarity affect stock price informativeness for Chinese listed firms?

Yishu Fu, Chunbo Liu and Zhenjiang Qin

Endogenous discounting, investment and Tobin’s q

Ting Wu, Linfeng He and Fan Zhang

Corporate cash holdings and total factor productivity – A global analysis

Chong-Chuo Chang and Hui-Wen Tang

The nonlinear effect of oil price shocks on financial stress: Evidence from China

Renren Liu, Jianzhong Chen and Fenghua Wen

Network VAR models to measure financial contagion

Daniel Felix Ahelegbey, Paolo Giudici and Shatha Qamhieh Hashem

CEO overconfidence and labor investment efficiency

Shaojie Lai, Xiaorong Li and Kam C. Chan

Analysis of asymmetric response of exchange rate to interest rate differentials: The case of African Big 4

Abdullahi Musa, Afees Salisu, Victoria O. Aliyu and Chioma R. Mevweroso

An evolutionary game theory model for the inter-relationships between financial regulation and financial innovation

Hui An, Ruibo Yang, Xuejiao Ma, Siqi Zhang and Sardar M.N. Islam

Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach

Massimiliano Caporin, Rangan Gupta and Francesco Ravazzolo

A novel LASSO – TLBO – SVR hybrid model for an efficient portfolio construction

Sasmita Mishra, Sudarsan Padhy, Satya Narayan Mishra and Satya Narayan Misra

The values and incentive effects of options on the maximum or the minimum of the stock prices and market index

Xingchun Wang

Measuring systemic risk of the Chinese banking industry: A wavelet-based quantile regression approach

Qifa Xu, Bei Jin and Cuixia Jiang