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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 ().

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Volume 54, issue C, 2020

Interconnectedness and systemic risk in the US CDS market Downloads
Masayasu Kanno
Price delay and post-earnings announcement drift anomalies: The role of option-implied betas Downloads
Hwai-Chung Ho and Wei-Che Tsai
Modelling contagion of financial crises Downloads
Weihong Huang and Zhenxi Chen
Financial risk and acquirers' stockholder wealth in mergers and acquisitions Downloads
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 Downloads
Kam C. Chan, Leo H. Chan and Chi M. Nguyen
The effect of economic policy uncertainty on China’s housing market Downloads
Wei-Ling Huang, Wen-Yuan Lin and Shao-Lin Ning
Switching interest rate sensitivity regimes of U.S. Corporates Downloads
Mariya Gubareva and Maria Borges
Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach Downloads
Lina Cortés, Andrés Mora-Valencia and Javier Perote
Implied risk aversion and pricing kernel in the FTSE 100 index Downloads
Wen Ju Liao and Hao-Chang Sung
Revisiting the roles of gold: Does gold ETF matter? Downloads
Wan-Hsiu Cheng, Chun-Da Chen and Hsiao-Pin Lai
Funding liquidity risk and the low-volatility anomaly: Evidence from the Taiwan stock market Downloads
Ching-Chi Hsu, An-Pin Wei and Miao-Ling Chen
Futures minimum variance hedge ratio determination: An ex-ante analysis Downloads
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 Downloads
Xiao-Jian Yu, Zi-Ling Wang and Wei-Lin Xiao
Generalized affine transform on pricing quanto range accrual note Downloads
Shaoyu Li, Henry H. Huang and Teng Zhang
Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness Downloads
Geon Ho Choe, So Eun Choi and Hyun Jin Jang
The value of implementing enterprise risk management: Evidence from Taiwan’s financial industry Downloads
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 Downloads
Yu-Sheng Kao, Hwei-Lin Chuang and Yu-Cheng Ku
Derivatives market and economic growth nexus: Policy implications for emerging markets Downloads
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 Downloads
Hui Hong, Zhicun Bian and Naiwei Chen
Marginal effects of public employment on unconditional distribution of wage income in China Downloads
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 Downloads
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 Downloads
Pattanaporn Chatjuthamard, Patcharawalai Wongboonsin, Kritika Kongsompong and Pornsit Jiraporn
The role of the board and the audit committee in corporate risk management Downloads
Vivian W. Tai, Yi-Hsun Lai and Tung-Hsiao Yang
The asymmetric behavior of household consumption under the business cycle Downloads
Kuang-Ta Lo, Ta-Sheng Chou and Stephanie Tsui
The impact of economic uncertainty on the decision of fertility: Evidence from Taiwan Downloads
Jiun-Nan Pan and Yan-Jie Yang
Hedging and pricing early-exercise options with complex fourier series expansion Downloads
Chan, Tat Lung (Ron)
Catastrophe bond spread and hurricane arrival frequency Downloads
Carolyn W. Chang, Yu-Jen Wang and Min-Teh Yu
Investment and capital structure decisions with strategic debt service under asymmetric information Downloads
Dandan Song, Pengfei Luo and Jingjing Yang
Supply chain finance and impacts of consumers’ sustainability awareness Downloads
Hao-Chang Sung and Shirley Ho
Bank systemic risk and CEO overconfidence Downloads
Jin-Ping Lee, Edward Lin, James Juichia Lin and Yang Zhao
Stock trading dynamics and pedestrian counterflows: Analogies and differences Downloads
Zhenpeng Tang, Meng Ran and Yongxiang Zhao
Approximate analytic solution for Asian options with stochastic volatility Downloads
Chung-Gee Lin and Chia-Chang Chang
Holding risky financial assets and subjective wellbeing: Empirical evidence from China Downloads
Fuzhong Chen, Chien-Lung Hsu, Arthur J. Lin and Haifeng Li
Individual new energy consumption and economic growth in China Downloads
Zhigang Huang and Le Huang
Spatial analysis of liquidity risk in China Downloads
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 Downloads
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 Downloads
Nam Foo, Hooi Hooi Lean and Ruhul Salim
The effective of China's monetary policy: Quantity versus price rules Downloads
Xiangfa Li and Hua Wang
Growing influences of the Chinese renminbi on Asian exchange rates: Evidence from a wavelet analysis of dynamic spillovers Downloads
Takuji Kinkyo
Incorporating the RMB internationalization effect into its exchange rate volatility forecasting Downloads
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 Downloads
Peiwan Wang and Lu Zong
What drives the liquidity premium in the Chinese stock market? Downloads
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 Downloads
Vinh Q.T. Dang, Erin P.K. So, Yu (Alan) Yang and Kenneth Chan
Long-run dynamics of exchange rates: A multi-frequency investigation Downloads
Long Vo and Duc Hong Vo
Catastrophe equity put options with floating strike prices Downloads
Xingchun Wang
Spillovers and diversification potential of bank equity returns from developed and emerging America Downloads
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? Downloads
Yulian Zhang, Xie He, Tadahiro Nakajima and Shigeyuki Hamori
An excellent approximation for the m out of n day provision Downloads
Qiang Liu and Shuxin Guo
Leisure and long-run risks: An empirical evaluation on value premium puzzle Downloads
Xiang Zhang
The contagion effects of volatility indices across the U.S. and Europe Downloads
Chun-Da Chen, Shu-Mei Chiang and Tze-Chin Huang
The effect of market sentiment and information asymmetry on option pricing Downloads
Imen Zghal, Salah Ben Hamad, Hichem Eleuch and Haitham Nobanee
United States oil and gas stock returns with multi-factor pricing models: 2008–2018 Downloads
Scott Alan Carson
A sharing mechanism of investment outcome for interest-sensitive life insurance products Downloads
Hangsuck Lee, Hyung-Suk Choi and Hongjun Ha
Crude oil price dynamics with crash risk under fundamental shocks Downloads
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? Downloads
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 Downloads
Flavio Bazzana and Andrea Collini
On the relationship between the current account and the fiscal balance: The case of Canada Downloads
Zuzana Janko
Stock volatility and trading Downloads
Anna Agapova and Margarita Kaprielyan
Does algorithmic trading harm liquidity? Evidence from Brazil Downloads
Henrique Pinto Ramos and Marcelo Perlin
Current account and credit growth: The role of household credit and financial depth Downloads
Mehmet Ekinci and Tolga Omay
Positive IVOL-MAX effect: A study on the Singapore Stock Market Downloads
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 Downloads
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 Downloads
Alexander Loginov and Malcolm Heywood
Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network Downloads
Weiping Zhang, Xintian Zhuang, Jian Wang and Yang Lu
Spillover effects in oil-related CDS markets during and after the sub-prime crisis Downloads
Mehmet Balcilar, Zeynel Ozdemir, Huseyin Ozdemir and Mark Wohar
Liquidity creation and bank profitability Downloads
Ying Duan and Jijun Niu
A comparative study of forecasting corporate credit ratings using neural networks, support vector machines, and decision trees Downloads
Parisa Golbayani, Ionuţ Florescu and Rupak Chatterjee
Japan’s impactful augmentation of quantitative easing sovereign-bond purchases Downloads
Kei-Ichiro Inaba
Ambiguity aversion for risk choice Downloads
Yuli Wang and Yingjie Niu
Happiness sentiments and the prediction of cross-border country exchange-traded fund returns Downloads
Chien-Chiang Lee and Mei-Ping Chen
Dependent relationships between Chinese commodity markets and the international financial market: Evidence from quantile time-frequency analysis Downloads
Huiming Zhu, Liang Meng, Yajing Ge and Liya Hau
Forecasting risk in the US Dollar exchange rate under volatility shifts Downloads
Hassan Anjum and Farooq Malik
Stochastic interest rates under rational inattention Downloads
Yuhua Zhang, Yingjie Niu and Ting Wu
What factor contributes to productivity growth of Chinese city banks: The role of regional difference Downloads
Xiang Chen and Xin Wu
Investment committees and corporate cash holdings Downloads
Ahmed Al-Hadi, Baban Eulaiwi, Khamis Hamed Al-Yahyaee, Lien Duong and Grantley Taylor
Liquidity, earnings management, and stock expected returns Downloads
Hung-Yi Huang and Kung-Cheng Ho
New empirical assessment of export price competitiveness: Industry-specific real effective exchange rates in Asia Downloads
Kiyotaka Sato, Junko Shimizu, Nagendra Shrestha and Shajuan Zhang
The momentum and reversal effects of investor sentiment on stock prices Downloads
Jinfang Li
Corporate tax, financial leverage, and portfolio risk Downloads
Paul Moon Sub Choi, Chune Young Chung and Dongnyoung Kim
Bank profitability in the Eurasian Economic Union: Do funding liquidity and systemic importance matter? Downloads
Olga Pak
Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market Downloads
Hoang Van Hai, Jong Won Park, Ping-Chen Tsai and Cheoljun Eom
Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment Downloads
Liyun Zhou and Jialiang Huang
Valuing spread options with counterparty risk and jump risk Downloads
Zelei Li and Xingchun Wang
Do related party transactions always deteriorate earnings informativeness? Downloads
Ching-Lung Chen, Chung-Yu Chen and Pei-Yu Weng
Do alternative energy markets provide optimal alternative investment opportunities? Downloads
Mobeen Ur Rehman and Xuan Vinh Vo
Equity premium prediction and optimal portfolio decision with Bagging Downloads
Anwen Yin
Search for yield and business cycles Downloads
Katsuhiro Oshima
Risk contagion in the banking network: New evidence from China Downloads
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 Downloads
Toan Huynh, Muhammad Ali Nasir, Xuan Vinh Vo and Thong Trung Nguyen
Risk aversion, public disclosure, and partially informed outsiders Downloads
Hong Liu and Shujuan Chai
Retail investors’ trading and stock market liquidity Downloads
Menachem Abudy
Time-varying beta in functional factor models: Evidence from China Downloads
Lajos Horvath, Bo Li, Hemei Li and Zhenya Liu
Customer concentration and corporate innovation: Evidence from China Downloads
Jianping Pan, Manjiao Yu, Jiayuan Liu and Rui Fan
Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data Downloads
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 Downloads
Adam Kučera
Volatility interdependence on foreign exchange markets: The contribution of cross-rates Downloads
Takuji Kinkyo
Targeted monetary policy and agriculture business loans Downloads
Chaoying Lin and Lerong He
Is there valuable private information in credit ratings? Downloads
Emmanuel Alanis
Page updated 2025-03-31