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 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

Hai Hoang, 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