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 Bibliographic data for series maintained by Catherine Liu (). Access Statistics for this journal.
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Volume 54, issue C, 2020
- Interconnectedness and systemic risk in the US CDS market

- Masayasu Kanno
- Price delay and post-earnings announcement drift anomalies: The role of option-implied betas

- Hwai-Chung Ho and Wei-Che Tsai
- Modelling contagion of financial crises

- Weihong Huang and Zhenxi Chen
- Financial risk and acquirers' stockholder wealth in mergers and acquisitions

- An-Sing Chen, Hsiang-Hui Chu, Pi-Hsia Hung and Miao-Sih Cheng
- Forecasting oil futures market volatility in a financialized world: Why speculative activities matter

- Kam C. Chan, Leo H. Chan and Chi M. Nguyen
- The effect of economic policy uncertainty on China’s housing market

- Wei-Ling Huang, Wen-Yuan Lin and Shao-Lin Ning
- Switching interest rate sensitivity regimes of U.S. Corporates

- Mariya Gubareva and Maria Borges
- Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach

- Lina Cortés, Andrés Mora-Valencia and Javier Perote
- Implied risk aversion and pricing kernel in the FTSE 100 index

- Wen Ju Liao and Hao-Chang Sung
- Revisiting the roles of gold: Does gold ETF matter?

- Wan-Hsiu Cheng, Chun-Da Chen and Hsiao-Pin Lai
- Funding liquidity risk and the low-volatility anomaly: Evidence from the Taiwan stock market

- Ching-Chi Hsu, An-Pin Wei and Miao-Ling Chen
- Futures minimum variance hedge ratio determination: An ex-ante analysis

- Ren-Raw Chen, Dean Leistikow and Andrew Wang
- Is the nonlinear hedge of options more effective?—Evidence from the SSE 50 ETF options in China

- Xiao-Jian Yu, Zi-Ling Wang and Wei-Lin Xiao
- Generalized affine transform on pricing quanto range accrual note

- Shaoyu Li, Henry H. Huang and Teng Zhang
- Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness

- Geon Ho Choe, So Eun Choi and Hyun Jin Jang
- The value of implementing enterprise risk management: Evidence from Taiwan’s financial industry

- Yu-Lun Chen, Yi-Wei Chuang, Hong-Gia Huang and Jhuan-Yu Shih
- The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures

- Yu-Sheng Kao, Hwei-Lin Chuang and Yu-Cheng Ku
- Derivatives market and economic growth nexus: Policy implications for emerging markets

- Duc Hong Vo, Phuc Van Nguyen, Minh Nguyen, Anh The Vo and Thang Cong Nguyen
- Leverage effect on stochastic volatility for option pricing in Hong Kong: A simulation and empirical study

- Hui Hong, Zhicun Bian and Naiwei Chen
- Marginal effects of public employment on unconditional distribution of wage income in China

- Zhi-fang Su, Xiao-xiang Ma, Wei Xiao and Mei-Yuan Chen
- Model specification of conditional jump intensity: Evidence from S&P 500 returns and option prices

- Hung-Wen Cheng, Chien-Ling Lo and Jeffrey Tzuhao Tsai
- How do socially controversial companies do during a stressful time? Evidence from the Great Recession

- Pattanaporn Chatjuthamard, Patcharawalai Wongboonsin, Kritika Kongsompong and Pornsit Jiraporn
- The role of the board and the audit committee in corporate risk management

- Vivian W. Tai, Yi-Hsun Lai and Tung-Hsiao Yang
- The asymmetric behavior of household consumption under the business cycle

- Kuang-Ta Lo, Ta-Sheng Chou and Stephanie Tsui
- The impact of economic uncertainty on the decision of fertility: Evidence from Taiwan

- Jiun-Nan Pan and Yan-Jie Yang
- Hedging and pricing early-exercise options with complex fourier series expansion

- Chan, Tat Lung (Ron)
- Catastrophe bond spread and hurricane arrival frequency

- Carolyn W. Chang, Yu-Jen Wang and Min-Teh Yu
- Investment and capital structure decisions with strategic debt service under asymmetric information

- Dandan Song, Pengfei Luo and Jingjing Yang
- Supply chain finance and impacts of consumers’ sustainability awareness

- Hao-Chang Sung and Shirley Ho
- Bank systemic risk and CEO overconfidence

- Jin-Ping Lee, Edward Lin, James Juichia Lin and Yang Zhao
- Stock trading dynamics and pedestrian counterflows: Analogies and differences

- Zhenpeng Tang, Meng Ran and Yongxiang Zhao
- Approximate analytic solution for Asian options with stochastic volatility

- Chung-Gee Lin and Chia-Chang Chang
- Holding risky financial assets and subjective wellbeing: Empirical evidence from China

- Fuzhong Chen, Chien-Lung Hsu, Arthur J. Lin and Haifeng Li
- Individual new energy consumption and economic growth in China

- Zhigang Huang and Le Huang
- Spatial analysis of liquidity risk in China

- Ting-Hsuan Chen and Chien-Chiang Lee
- Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models

- A. Do, Robert Powell, J. Yong and A. Singh
- The impact of China’s one belt one road initiative on international trade in the ASEAN region

- Nam Foo, Hooi Hooi Lean and Ruhul Salim
- The effective of China's monetary policy: Quantity versus price rules

- Xiangfa Li and Hua Wang
- Growing influences of the Chinese renminbi on Asian exchange rates: Evidence from a wavelet analysis of dynamic spillovers

- Takuji Kinkyo
- Incorporating the RMB internationalization effect into its exchange rate volatility forecasting

- Shusheng Ding, Tianxiang Cui and Yongmin Zhang
- Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S

- Peiwan Wang and Lu Zong
- What drives the liquidity premium in the Chinese stock market?

- Jiyoun An, Kin-Yip Ho and Zhaoyong Zhang
- China and international market integration: Evidence from the law of one price in the Middle East and Africa

- Vinh Q.T. Dang, Erin P.K. So, Yu (Alan) Yang and Kenneth Chan
- Long-run dynamics of exchange rates: A multi-frequency investigation

- Long Vo and Duc Hong Vo
- Catastrophe equity put options with floating strike prices

- Xingchun Wang
- Spillovers and diversification potential of bank equity returns from developed and emerging America

- Jose Arreola Hernandez, Sang Hoon Kang, Syed Jawad Hussain Shahzad and Seong-Min Yoon
- Oil, Gas, or Financial Conditions-Which One Has a Stronger Link with Growth?

- Yulian Zhang, Xie He, Tadahiro Nakajima and Shigeyuki Hamori
- An excellent approximation for the m out of n day provision

- Qiang Liu and Shuxin Guo
- Leisure and long-run risks: An empirical evaluation on value premium puzzle

- Xiang Zhang
- The contagion effects of volatility indices across the U.S. and Europe

- Chun-Da Chen, Shu-Mei Chiang and Tze-Chin Huang
- The effect of market sentiment and information asymmetry on option pricing

- Imen Zghal, Salah Ben Hamad, Hichem Eleuch and Haitham Nobanee
- United States oil and gas stock returns with multi-factor pricing models: 2008–2018

- Scott Alan Carson
- A sharing mechanism of investment outcome for interest-sensitive life insurance products

- Hangsuck Lee, Hyung-Suk Choi and Hongjun Ha
- Crude oil price dynamics with crash risk under fundamental shocks

- Cho-Hoi Hui, Chi-Fai Lo, Chi-Hin Cheung and Andrew Wong
- Time-frequency co-movements between bank credit supply and economic growth in an emerging market: Does the bank ownership structure matter?

- Dervis Kirikkaleli and Seyed Alireza Athari
- How does HFT activity impact market volatility and the bid-ask spread after an exogenous shock? An empirical analysis on S&P 500 ETF

- Flavio Bazzana and Andrea Collini
- On the relationship between the current account and the fiscal balance: The case of Canada

- Zuzana Janko
- Stock volatility and trading

- Anna Agapova and Margarita Kaprielyan
- Does algorithmic trading harm liquidity? Evidence from Brazil

- Henrique Pinto Ramos and Marcelo Perlin
- Current account and credit growth: The role of household credit and financial depth

- Mehmet Ekinci and Tolga Omay
- Positive IVOL-MAX effect: A study on the Singapore Stock Market

- Syed Riaz Mahmood Ali, M Arifur Rahman, Mohammad Nurul Hasan and Ralf Östermark
- The double-edged sword effect of diversified operation on pre- and post-loan risk in the government-led Chinese commercial banks

- Ailian Zhang, Shuyao Wang, Bai Liu and Jingyuan Fu
- On the different impacts of fixed versus floating bid-ask spreads on an automated intraday stock trading

- Alexander Loginov and Malcolm Heywood
- Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network

- Weiping Zhang, Xintian Zhuang, Jian Wang and Yang Lu
- Spillover effects in oil-related CDS markets during and after the sub-prime crisis

- Mehmet Balcilar, Zeynel Ozdemir, Huseyin Ozdemir and Mark Wohar
- Liquidity creation and bank profitability

- Ying Duan and Jijun Niu
- A comparative study of forecasting corporate credit ratings using neural networks, support vector machines, and decision trees

- Parisa Golbayani, Ionuţ Florescu and Rupak Chatterjee
- Japan’s impactful augmentation of quantitative easing sovereign-bond purchases

- Kei-Ichiro Inaba
- Ambiguity aversion for risk choice

- Yuli Wang and Yingjie Niu
- Happiness sentiments and the prediction of cross-border country exchange-traded fund returns

- Chien-Chiang Lee and Mei-Ping Chen
- Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis

- Huiming Zhu, Liang Meng, Yajing Ge and Liya Hau
- Forecasting risk in the US Dollar exchange rate under volatility shifts

- Hassan Anjum and Farooq Malik
- Stochastic interest rates under rational inattention

- Yuhua Zhang, Yingjie Niu and Ting Wu
- What factor contributes to productivity growth of Chinese city banks: The role of regional difference

- Xiang Chen and Xin Wu
- Investment committees and corporate cash holdings

- Ahmed Al-Hadi, Baban Eulaiwi, Khamis Hamed Al-Yahyaee, Lien Duong and Grantley Taylor
- Liquidity, earnings management, and stock expected returns

- Hung-Yi Huang and Kung-Cheng Ho
- New empirical assessment of export price competitiveness: Industry-specific real effective exchange rates in Asia

- Kiyotaka Sato, Junko Shimizu, Nagendra Shrestha and Shajuan Zhang
- The momentum and reversal effects of investor sentiment on stock prices

- Jinfang Li
- Corporate tax, financial leverage, and portfolio risk

- Paul Moon Sub Choi, Chune Young Chung and Dongnyoung Kim
- Bank profitability in the Eurasian Economic Union: Do funding liquidity and systemic importance matter?

- Olga Pak
- Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market

- Hoang Van Hai, Jong Won Park, Ping-Chen Tsai and Cheoljun Eom
- Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment

- Liyun Zhou and Jialiang Huang
- Valuing spread options with counterparty risk and jump risk

- Zelei Li and Xingchun Wang
- Do related party transactions always deteriorate earnings informativeness?

- Ching-Lung Chen, Chung-Yu Chen and Pei-Yu Weng
- Do alternative energy markets provide optimal alternative investment opportunities?

- Mobeen Ur Rehman and Xuan Vinh Vo
- Equity premium prediction and optimal portfolio decision with Bagging

- Anwen Yin
- Search for yield and business cycles

- Katsuhiro Oshima
- Risk contagion in the banking network: New evidence from China

- Bing Chen, Li Li, Fei Peng and Sajid Anwar
- “Small things matter most”: The spillover effects in the cryptocurrency market and gold as a silver bullet

- Toan Huynh, Muhammad Ali Nasir, Xuan Vinh Vo and Thong Trung Nguyen
- Risk aversion, public disclosure, and partially informed outsiders

- Hong Liu and Shujuan Chai
- Retail investors’ trading and stock market liquidity

- Menachem Abudy
- Time-varying beta in functional factor models: Evidence from China

- Lajos Horvath, Bo Li, Hemei Li and Zhenya Liu
- Customer concentration and corporate innovation: Evidence from China

- Jianping Pan, Manjiao Yu, Jiayuan Liu and Rui Fan
- Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data

- Walid Mensi, Khamis Hamed Al-Yahyaee, Idries Mohammad Wanas Al-Jarrah, Xuan Vinh Vo and Sang Hoon Kang
- Identification of triggers of U.S. yield curve movements

- Adam Kučera
- Volatility interdependence on foreign exchange markets: The contribution of cross-rates

- Takuji Kinkyo
- Targeted monetary policy and agriculture business loans

- Chaoying Lin and Lerong He
- Is there valuable private information in credit ratings?

- Emmanuel Alanis
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