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 73, issue C, 2024

Addressing the financial impact of natural disasters in the era of climate change

Michele Bufalo, Claudia Ceci and Giuseppe Orlando

Pricing exchange options under stochastic correlation

Enrique Villamor and Pablo Olivares

Non-zero-sum investment-reinsurance game with delay and ambiguity aversion

Yong He, Xueqi Luouyang, Lin He, Haiyan Chen and Sheng Li

Stock market pattern recognition using symbol entropy analysis

Jaime F. Lavín, Mauricio A. Valle and Nicolás S. Magner

Adjustable light robust optimization with second order stochastic dominance constraints

Xinzhi Ji, Ranran Guo and Wuyi Ye

How does node centrality in a financial network affect asset price prediction?

Yuhong Xu and Xinyao Zhao

Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis

Yi Zhang, Long Zhou, Baoxiu Wu and Fang Liu

Cross-category connectedness between Shanghai crude oil futures and Chinese stock markets related to the Belt and Road Initiative

Li Chai, Yuqi Wang and Xiaohong Qi

Exploring the asymmetric influence of economic policy uncertainty on the nonlinear relationship between exchange rate and carbon prices in China

Xinya Huang, Yufeng Wang and Houjian Li

Reassessing the inversion of the Treasury yield curve as a sign of U.S. recessions: Insights from the housing and credit markets

Ujjal K. Chatterjee, Aras Zirgulis, Maik Hüttinger and Joseph French

Valuing three-asset barrier options and autocallable products via exit probabilities of Brownian bridge

Hangsuck Lee, Hongjun Ha, Byungdoo Kong and Minha Lee

Connectedness among Chinese climate policy uncertainty, exchange rate, Chinese and international crude oil markets: Insights from time and frequency domain analyses of high order moments

Wan-Lin Yan and Adrian (Wai-Kong) Cheung

Impact of Off-Balance-Sheet Activities on the Effectiveness of Monetary Policy

Dan Wu, Rong Li and Yingting Li

Evaluation of volatility spillovers for asymmetric realized covariance

Daiki Maki

Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets

You-How Go and Wee Yeap Lau

Foreign ownership and M&A activity: Evidence from China

Hao Liu, Xiaofen Ye and Qun Zhang

Strategic information leakage with market supervision

Ningwei Li, Zhihua Li, Hong Liu and Qingshan Yang

Do enterprises adopting digital finance exhibit higher values? Based on textual analysis

Sishi Yue, Mo Yang and Dayong Dong

Life-cycle model with subsistence consumption constraint and state-dependent utilities

Hao Wang, Tak Kuen Siu, Shujie Hu and Ning Wang

Economic uncertainty and corporate cash holdings: Evidence from Taiwan

Chien-Wen Yang, Yi-Shan Hsieh and Chih-Yuan Hung

Seemingly manipulated anomaly: Evidence from corporate site visits

Jinyu Yang, Dayong Dong and Jiawei Cao

Quanto fund protection using partial lookback participation

Hangsuck Lee, Hongjun Ha, Eunchae Kim and Minha Lee

Oil price volatility and changes in corporate debt: An empirical study in the Indian landscape

Shawkat Hammoudeh, Nitya Nand Tripathi, Asha Binu Raj and Aviral Tiwari

Green credit, financing constraints, and corporate investment: From the perspectives of scale and efficiency

Jinlong Zhang, Mingyue Wu, Tingwei Chen and Bin Gao

A study on economic policy uncertainty, geopolitical risk and stock market spillovers in BRICS countries

Rong Li, Guangyuan Tang, Chen Hong, Sufang Li, Bingting Li and Shujian Xiang

Valuations of generalized variance swaps under the jump–diffusion model with stochastic liquidity risk

Ke Wang, Xun-xiang Guo and Hong-yu Zhang

The influence of CEO ethics on climate change policy from the perspective of utilitarianism and deontology

Ting-Hsuan Chen, Shih-Ching Liu and Chia-Hui Wu

Research on effect of extreme climates penalties local government debt pricing: Evidence from urban investment bonds in China

Xing Li, Yanli Zhou, Dixing Zhu and Xiangyu Ge

Financial stability policy and downside risk in stock returns

Jianlei Yang

Information content of option prices: Comparing analyst forecasts to option-based forecasts

Anthony Sanford

Unlocking portfolio resilient and persistent risk: A holistic approach to unveiling potential grounds

Pedro Nogueira Reis and António Pedro Soares Pinto

Volume 72, issue C, 2024

US banks efficiency after global financial crisis: Transient and persistent decomposition

Giancarlo Ferrara and Konstantinos E. Kounetas

Does swing pricing reduce investment funds’ liquidity risk in times of market stress? – Evidence from the March-2020 episode

Gabriel Shui-Tang Wu, Joe Ho-Yeung Wong and Tom Pak-Wing Fong

Corporate taxes, partisan politics, and stock returns

Javier Mella

Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis

Mobeen Ur Rehman, Neeraj Nautiyal, Rami Zeitun, Xuan Vinh Vo and Wafa Ghardallou

Conditional CAPM relationships in standard and accounting risk approaches

Rutkowska – Ziarko, Anna, Lesław Markowski and Hussein A. Abdou

Pricing vulnerable spread options with liquidity risk under Lévy processes

Chengyou Cai, Xingchun Wang and Baimin Yu

Non-executive employee stock ownership plans and corporate innovation efficiency: Evidence from China

Huili Zhang, Xuegang Cui, Lei Xu and Kaiyan Wang

Asymmetric dynamics between the Baltic Dry Index and financial markets during major global economic events

Emmanuel Abakah, Mohammad Abdullah, Boakye Dankwah and Chi-Chuan Lee

Hedging Bitcoin with commodity futures: An analysis with copper, gas, gold, and crude oil futures

Young C. Joo and Sung Y. Park

Time and frequency spillovers and drivers between rare earth and energy, metals, green, and agricultural markets

Yang Gao and Xiaoyi Liu

Inflation dynamics and persistence: The importance of the uncertainty channel

Alessandra Canepa

Market risk modeling with option-implied covariances and score-driven dynamics

Rodrigo Herrera and Marco Piña

Geopolitical risks, investor sentiment and industry stock market volatility in China: Evidence from a quantile regression approach

Peng Guo and Jing Shi

Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk

Cristian Rogério Foguesatto, Marcelo Righi and Fernanda Maria Müller

Systemic risk monitoring model from the perspective of public information arrival

Han Yan, Bin Liu, Xingting Zhu and Yan Wu

Green bonds and traditional and emerging investments: Understanding connectedness during crises

Danyang Xu, Yang Hu, Shaen Corbet, Hou, Yang (Greg) and Les Oxley

Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy

Hailong Wang and Duni Hu

Bank competition, government interest in green initiatives and carbon emissions reduction: An empirical analysis using city-level data from China

Xu Chen, Huilin Xu and Sajid Anwar

How do precious and industrial metals hedge oil in a multi-frequency semiparametric CVaR portfolio?

Dejan Živkov, Slavica Manić and Marina Gajić-Glamočlija

The effect of output and the real exchange rate on equity price dynamics

Sedjro Aaron Alovokpinhou and Christopher Malikane

Can real-time investor sentiment help predict the high-frequency stock returns? Evidence from a mixed-frequency-rolling decomposition forecasting method

Yi Cai, Zhenpeng Tang and Ying Chen

Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market

Yirong Huang and Yi Luo

Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?

Wenting Zhang, Tiantian Liu, Yulian Zhang and Shigeyuki Hamori

Official or unofficial? extreme bounds analysis on the determinants of sovereign default

Ailan Liu, Zhixuan Wang and Ping Wang

Network-Based prediction of financial cross-sector risk spillover in China: A deep learning approach

Pan Tang, Wei Xu and Haosen Wang

Financial connectedness in BRICS: Quantile effects and BRICS SUMMIT impacts

Xianfang Su and Meixia Chen

Variance and volatility swaps and options under the exponential fractional Ornstein–Uhlenbeck model

Hyun-Gyoon Kim, See-Woo Kim and Jeong-Hoon Kim

Has the COVID-19 pandemic shock transmitted to the u.s. stock market: Evidence using bootstrap (A)symmetric fourier granger causality test in quantiles

Yi-Ting Peng, Tsangyao Chang, Omid Ranjbar and Feiyun Xiang

Cross-regional connectedness of financial market: Measurement and determinants

Xin Yang, Xuya Wang, Jie Cao, Lili Zhao and Chuangxia Huang

Predicting financial distress in Latin American companies: A comparative analysis of logistic regression and random forest models

Flavio Barboza and Edward Altman

A comparison of bitcoin futures return and return volatility based on news sentiment contemporaneously or lead-lag

Yu-Sheng Kao, Min-Yuh Day and Ke-Hsin Chou