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 47, issue C, 2019

Time-varying Variance Scaling: Application of the Fractionally Integrated ARMA Model pp. 1-12

An-Sing Chen, Hung-Chou Chang and Lee-Young Cheng

Detecting exchange rate contagion using copula functions pp. 13-22

Juan Cubillos-Rocha, Jose Gomez-Gonzalez and Luis Melo-Velandia

Debt-financed repurchases and credit ratings with the respect of free cash flow and repurchase purpose pp. 23-36

Ni-Yun Chen, Kun-Chih Chen and Chi-Chun Liu

Predictive ability of financial variables in changing economic circumstances pp. 37-47

Petri Kuosmanen, Jaana Rahko and Juuso Vataja

Insider trading, representativeness heuristic insider, and market regulation pp. 48-64

Hong Liu, Lina Qi and Zaili Li

International implied volatility risk indexes and Saudi stock return-volatility predictabilities pp. 65-84

Kais Tissaoui and Jamel Azibi

International trade, exchange rate regimes, and financial crises pp. 85-95

Maria Santana-Gallego and Jorge Pérez-Rodríguez

Vietnam: The next asian Tiger? pp. 96-118

Tom Barker and Murat Üngör

The role of stock price synchronicity on the return-sentiment relation pp. 119-131

Lanlan Rao and Liyun Zhou

The demand for banking and shadow banking services pp. 132-146

Apostolos Serletis and Libo Xu

Competitive or recession gains? On the recent macroeconomic rebalances in the EMU pp. 147-167

Piero Esposito and Marcello Messori

International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where? pp. 168-183

Guoli Mo, Chunzhi Tan, Weiguo Zhang and Fang Liu

Liquidity shocks and institutional investors pp. 184-209

Tung Dang, Fariborz Moshirian and Bohui Zhang

Sentiment trading, informed trading and dynamic asset pricing pp. 210-222

Jinfang Li

Measuring the aggregate effects of the Brazilian Development Bank on investment pp. 223-236

Ricardo Barboza and Gabriel F.R. Vasconcelos

Extreme dependence and risk spillovers across north american equity markets pp. 237-251

Evan Warshaw

Does idiosyncratic volatility matter at the global level? pp. 252-268

Mehmet Umutlu

Financial contagion in the subprime crisis context: A copula approach pp. 269-282

Imen Zorgati, Faten Lakhal and Elmoez Zaabi

Positive trend inflation and the Phillips curve – A tale of two slopes and various impulse responses pp. 283-307

Katrin Heinrichs and Helmut Wagner

The role of leverage in quantitative easing decisions: Evidence from the UK pp. 308-324

Dionisis Philippas, Stephanos Papadamou and Iuliana Tomuleasa

Asymmetries in exchange rate pass-through and monetary policy principle: Some Caribbean empirical evidence pp. 325-335

Edward E. Ghartey

Institutional investors and cost stickiness: Theory and evidence pp. 336-350

Chune Young Chung, Seok-Kyun Hur and Chang Liu

Geographical spillovers on the relation between risk-taking and market power in the US banking sector pp. 351-364

Gabriel Pino, Rodrigo Herrera and Alejandro Rodríguez

Investor trading behavior on agricultural future prices pp. 365-379

Liyun Zhou, Rixin Zhang and Jialiang Huang

Credit markets under asymmetric information regarding the law pp. 380-390

J-P. Niinimäki

The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data pp. 391-405

Rangan Gupta, Marian Risse, David A. Volkman and Mark Wohar

Sovereign bond markets when auctions take place: Evidence from Italy pp. 406-430

Gianluca Cafiso

Idiosyncratic volatility, the VIX and stock returns pp. 431-441

Mahmoud Qadan, Doron Kliger and Nir Chen

Does managerial ability matter for the choice of seasoned equity offerings? pp. 442-460

Premkanth Puwanenthiren, Man Dang, Darren Henry, Pratheepkanth Puwanenthiren and Md. Al Mamun

The value of corporate governance: Evidence from the Chinese anti-corruption campaign pp. 461-476

Yishu Fu

Audit committees and systematic risk: Evidence from Taiwan’s regulatory change pp. 477-491

Hsu-Huei Huang

Multi-period and tri-objective uncertain portfolio selection model: A behavioral approach pp. 492-504

Xiu Jin, Na Chen and Ying Yuan

An outperforming investment strategy under fractional Brownian motion pp. 505-515

Qiang Liu, Yun Xiang and Yonghong Zhao

Network-based asset allocation strategies pp. 516-536

Tomáš Výrost, Štefan Lyócsa and Eduard Baumohl

Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data pp. 537-551

Shay-Kee Tan, Kok Haur Ng, Jennifer Chan and Ibrahim Mohamed

Predicting the direction of stock market prices using tree-based classifiers pp. 552-567

Suryoday Basak, Saibal Kar, Snehanshu Saha, Luckyson Khaidem and Sudeepa Roy Dey

Evaluation of multivariate GARCH models in an optimal asset allocation framework pp. 568-596

Nor Syahilla Abdul Aziz, Spyridon Vrontos and Haslifah M. Hasim

Hedge fund returns and uncertainty pp. 597-601

Timothy A. Krause

Efficient control variate methods with applications to exotic options pricing under subordinated Brownian motion models pp. 602-621

Ling Zhang, Yongzeng Lai, Shuhua Zhang and Lin Li

The impacts of overseas market shocks on the CDS-option basis pp. 622-636

Yuen Jung Park, Ali Kutan and Doojin Ryu

Strategic leakage of private information pp. 637-644

Xia Liu, Wenli Huang, Bo Liu and Xiaohong Zhang

Pricing of vulnerable options with early counterparty credit risk pp. 645-656

Junkee Jeon and Geonwoo Kim

Information in mispricing factors for future investment opportunities pp. 657-668

Hankil Kang and Doojin Ryu

The effects of the fossil fuel divestment campaign on stock returns pp. 669-674

Dennis Halcoussis and Anton D. Lowenberg

Does the Malaysian Sovereign sukuk market offer portfolio diversification opportunities for global fixed-income investors? Evidence from wavelet coherence and multivariate-GARCH analyses pp. 675-687

Rubaiyat Ahsan Bhuiyan, Maya Puspa Rahman, Buerhan Saiti and Gairuzazmi Bin Mat Ghani

Volume 46, issue C, 2018

Self-attribution of overconfident CEOs and asymmetric investment-cash flow sensitivity pp. 1-14

Paul Moon Sub Choi, Chune Young Chung and Chang Liu

The asymmetric effects of U.S. large-scale asset purchases on the volatility of the Canadian dollar futures market pp. 15-28

Jui-Chuan Della Chang and Kuang-Liang Chang

Investment and financing choices by time-inconsistent managers pp. 29-48

Liu Gan, Xin Xia and Yifei Chen

Credit risk of subsidiaries of foreign banks in CEE countries: Impacts of the parent bank and home country economic environment pp. 49-69

Blanka Skrabic Peric, Ana Rimac Smiljanić and Zdravka Aljinović

Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach pp. 70-88

Rodrigo Herrera, Sergio González and Adam Clements

Liquidity, bank runs, and fire sales under local thinking pp. 89-102

Hyun Woong Park and Thomas Bernardin

Information spillover across international real estate investment trusts: Evidence from an entropy-based network analysis pp. 103-113

Qiang Ji, Hardik Marfatia and Rangan Gupta

Betas V characteristics: Do stock characteristics enhance the investment opportunity set in U.K. stock returns? pp. 114-129

Jonathan Fletcher

Liquidity skewness premium pp. 130-150

Giho Jeong, Jangkoo Kang and Kyung Yoon Kwon

Volatility smiles when information is lagged in prices pp. 151-165

Gianluca Marcato, Tumellano Sebehela and Carlos Heitor Campani

Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets pp. 168-186

Kin-Yip Ho, Yanlin Shi and Zhaoyong Zhang

Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis pp. 187-201

Donald Lien, Geul Lee, Li Yang and Yuyin Zhang

Global and regional financial integration in East Asia and the ASEAN pp. 202-221

Renee Fry-McKibbin, Cody Yu-Ling Hsiao and Vance Martin

The transmission of US economic policy uncertainty shocks to Asian and global financial markets pp. 222-231

Yosuke Kido

Regional or global shock? A global VAR analysis of Asian economic and financial integration pp. 232-248

Sheue Li Ong and Kiyotaka Sato

Capital market integration in ASEAN: A non-stationary panel data analysis pp. 249-260

Kenneth Chan, Vinh Q.T. Dang and Jennifer Lai

Exchange rate pass-through at the individual product level: Implications for financial market integration pp. 261-271

Kai Po Jenny Law, Eiji Satoh and Taiyo Yoshimi

Credit constraints and firm market entry decision: Firm-level evidence from internationalizing Chinese multinationals pp. 272-285

Jianhong Qi, Zhaoyong Zhang and Hui Liu

International use of the renminbi for invoice currency and exchange risk management: Evidence from the Japanese firm-level data pp. 286-301

Kiyotaka Sato and Junko Shimizu