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 (repec@elsevier.com).

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Volume 33, issue C, 2015

Forecasting copper prices with dynamic averaging and selection models pp. 1-38

Daniel Buncic and Carlo Moretto

Accruals, growth, accounting distortions and stock returns: The case of FRS3 in the UK pp. 39-54

Georgios A. Papanastasopoulos

Temporal causality between house prices and output in the US: A bootstrap rolling-window approach pp. 55-73

Wendy Nyakabawo, Stephen Miller, Mehmet Balcilar, Sonali Das and Rangan Gupta

Time-varying dependence between stock and government bond returns: International evidence with dynamic copulas pp. 74-93

Rania Jammazi, Aviral Tiwari, Román Ferrer and Pablo Moya

Organization of innovation and capital markets pp. 94-114

Cuneyt Orman

State-dependent jump risks for American gold futures option pricing pp. 115-133

Yu-Min Lian, Szu-Lang Liao and Jun-Home Chen

Momentum strategies with stock index exchange-traded funds pp. 134-148

Yiuman Tse

Does the bank risk concentration freeze the interbank system? pp. 149-166

Marcella Lucchetta

Capital control and exchange rate volatility pp. 167-177

Shikuan Chen and Ming-Jen Chang

Multiple directorships and the performance of mergers & acquisitions pp. 178-198

Li-Yu Chen, Jung-Ho Lai and Carl R. Chen

An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets pp. 199-216

Fearghal Kearney, Finbarr Murphy and Mark Cummins

Reactions of US government bond yields to explicit FOMC forward guidance pp. 217-233

Richhild Moessner

The effect of managerial overconfidence on the market timing ability and post-buyback performance of open market repurchases pp. 234-251

Anlin Chen and Cheng-Shou Lu

The impact of corporate governance on state-owned and non-state-owned firms efficiency in China pp. 252-277

Yan He, Yung-Ho Chiu and Bin Zhang

A new measure for heated negotiation in the IPO syndicate pp. 278-304

Jin Q. Jeon and Cheolwoo Lee

The network effects of publishing in finance pp. 305-316

Kam C. Chan, Chih-Hsiang Chang and Yuanchen Chang

Static hedging of chained-type barrier options pp. 317-327

Doobae Jun and Hyejin Ku

Volatility spillover dynamics and relationship across G7 financial markets pp. 328-365

Kim Liow

Reciprocal brokered deposits, bank risk, and recent deposit insurance policy pp. 366-384

Guo Li and Sherrill Shaffer

Volume 32, issue C, 2015

A retrospective evaluation of The North American Journal of Economics and Finance (1990–2014) pp. 1-11

Mingshan Zhou, Chih-Hsiang Chang and Kam C. Chan

Securitization and credit risk: Empirical evidence from an emerging economy pp. 12-28

Helder de Mendonça and Vívian Íris Barcelos

The internationalisation of financial crises: Banking and currency crises 1883–2008 pp. 29-47

Mardi Dungey, Jan Jacobs and Lestano Lestano

Property rights and the stock market-growth nexus pp. 48-63

Adam Ng, Ginanjar Dewandaru and Mansor Ibrahim

Improving international diversification benefits for US investors pp. 64-76

José Luis Miralles-Marcelo, María del Mar Miralles-Quirós and José Luis Miralles-Quirós

Option pricing under truncated Gram–Charlier expansion pp. 77-97

Shin-Hung Lin, Hung-Hsi Huang and Sheng-Han Li

A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector pp. 98-123

Juan Reboredo and Andrea Ugolini

Interdependence between the bond markets of CEEC-3 and Germany: A wavelet coherence analysis pp. 124-138

Lu Yang and Shigeyuki Hamori

The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach pp. 139-154

Julia Auckenthaler, Alexander Kupfer and Rupert Sendlhofer

Pollution, health and economic growth pp. 155-161

Meng-Yi Tai, Chi-Chur Chao and Shih Wen Hu

Volume 31, issue C, 2015

Implied volatility and the risk-free rate of return in options markets pp. 1-26

Marcelo Bianconi, Scott MacLachlan and Marco Sammon

Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances pp. 27-51

E. Ortas, M. Salvador and Jose Moneva

Policy interest rate, loan portfolio management and bank liquidity pp. 52-74

Gianfranco Giulioni

Offshoring, globalization, and welfare pp. 75-93

Yiming Zhou and Dao-Zhi Zeng

Firm leverage decisions: Does industry matter? pp. 94-107

Silvia Z. Islam and Sarod Khandaker

Option pricing under GARCH models with Hansen's skewed-t distributed innovations pp. 108-125

Yanxin Liu, Johnny Siu-Hang Li and Andrew Cheuk-Yin Ng

Moment matching versus Bayesian estimation: Backward-looking behaviour in a New-Keynesian baseline model pp. 126-154

Reiner Franke, Tae-Seok Jang and Stephen Sacht

Pricing American options: RNMs-constrained entropic least-squares approach pp. 155-173

Xisheng Yu and Xiaoke Xie

The nature and impact of the market forecasting errors in the Federal funds futures market pp. 174-192

Kwamie Dunbar and Abu S. Amin

Bubbles in health care: Evidence from the U.S., U.K., and German stock markets pp. 193-205

Mei-Ping Chen, Yu-Hui Lin, Chun-Yao Tseng and Wen-Yi Chen

Tackling the over-dispersion of operational risk: Implications on capital adequacy requirements pp. 206-221

José Manuel Feria-Domínguez, Enrique Jiménez-Rodríguez and Ola Sholarin

Predictability dynamics of Islamic and conventional equity markets pp. 222-248

Ahmet Sensoy, Guler Aras and Erk Hacihasanoglu

Banks’ pooling of corporate debt: An application of the restated diversification theorem pp. 249-263

Frederik Lundtofte

To sigmoid-based functional description of the volatility smile pp. 264-291

Andrey Itkin

International long-term yields and monetary policy in a small open economy: The case of Canada pp. 292-310

Ronald H. Lange

Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries pp. 311-329

Chaker Aloui, Shawkat Hammoudeh and Hela ben Hamida

Volume 30, issue C, 2014

Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates pp. 1-39

Jung-Bin Su

The real effects of inflation in a developing economy with external debt and sovereign risk pp. 40-55

Mark Assibey-Yeboah and Mohammed Mohsin

Optimal corporate hedging using options with basis and production risk pp. 56-71

Emanuele Bajo, Massimiliano Barbi and Silvia Romagnoli

US dollar exchange rate and food price dependence: Implications for portfolio risk management pp. 72-89

Juan Reboredo and Mikel Ugando

Unlevered betas and the cost of equity capital: An empirical approach pp. 90-105

Julio Sarmiento-Sabogal and Mehdi Sadeghi

The potential effect of US baby-boom retirees on stock returns pp. 106-121

Haim Kedar-Levy

The conditional dependence structure of insurance sector credit default swap indices pp. 122-132

Go Tamakoshi and Shigeyuki Hamori

An update on EMU sovereign yield spread drivers in times of crisis: A panel data analysis pp. 133-153

Marta Gómez-Puig, Simon Sosvilla-Rivero and María del Carmen Ramos-Herrera

Smart money or dumb money? A study on the selection ability of mutual fund investors in China pp. 154-170

Xunan Feng, Mingshan Zhou and Kam C. Chan

The term structure of sentiment effect in stock index futures market pp. 171-182

Chunpeng Yang and Bin Gao

Non-linear volatility dynamics and risk management of precious metals pp. 183-202

Sercan Demiralay and Veysel Ulusoy

Do institutional investors monitor management? Evidence from the relationship between institutional ownership and capital structure pp. 203-233

Chune Young Chung and Kainan Wang