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 71, issue C, 2024

Asset pricing for the lottery-like security under probability weighting: Based on generalized Wang transform

Helen Hui Huang, Jianchun Sun and Shunming Zhang

Low interest rates and the predictive content of the yield curve

Michael D. Bordo and Joseph G. Haubrich

The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model

Ahmed Bouteska, M. Kabir Hassan, Zeynullah Gider and Hassan Bataineh

Interplay of multifractal dynamics between shadow policy rates and energy markets

Faheem Aslam, Ahmed Hunjra, Bilal Ahmed Memon and Mingda Zhang

The impact of climate change on credit risk of rural financial institutions: A threshold effect based on agricultural insurance

Qianting Ma, Yueshu Zhou and Jiaji Wang

Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods

Samira Haddou

Predicting systemic financial risk with interpretable machine learning

Pan Tang, Tiantian Tang and Chennuo Lu

Unveiling hidden connections: Spillover among BRICS' cryptocurrency-implied exchange rate discounts and US financial markets

Jianjian Liu, Shuhan Wang, Lijin Xiang, Shiqun Ma and Zumian Xiao

Measuring market volatility connectedness to media sentiment

Hooman Abdollahi, Sturla Fjesme and Espen Sirnes

Accelerated depreciation of fixed assets and cash dividend distribution

Huaming Zhong, Yaoting Guo and Zinb Abduljabbar Mohamed Al-Duais

Crypto havens during war times? Evidence from the Russian invasion of Ukraine

Filip Hampl, Dagmar Vágnerová Linnertová and Matúš Horváth

Do fund managers’ performance rely on gender and team size? Evidence from India

Sudipta Majumdar, Ajay Kumar Mishra and Abhijeet Chandra

Explosive behavior in historic NASDAQ market prices

Michael Demmler and Amilcar Orlian Fernández

The volume-implied volatility relation in financial markets: A behavioral explanation

Massaporn Cheuathonghua and Chaiyuth Padungsaksawasdi

Extreme connectedness and network across financial assets and commodity futures markets

Oguzhan Ozcelebi and Sang Hoon Kang

Dynamic volatility spillover and market emergency: Matching and forecasting

Wei Zhou, Yan Chen and Jin Chen

A sharing rule for multi-period interest-sensitive insurance contracts

Hangsuck Lee, Hongjun Ha and Minha Lee

Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators

Zhi De Khoo, Kok Haur Ng, You Beng Koh and Kooi Huat Ng

Asymmetric information correlation in financial markets

Ying Jiang, Hong Liu and Qingshan Yang

The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles

Zinan Hu and Sumuya Borjigin

Financial cycle comovement with monetary and macroprudential policy and global factors: Evidence from India

Sruti Mundra and Motilal Bicchal

Investor sentiment response to COVID-19 outbreak-related news: A sectoral analysis of US firms

Anna Blajer-Gołębiewska, Lukas Honecker and Sabina Nowak

Volume 70, issue C, 2024

Target rate factors in short rate models

Antti J. Harju

Procyclical variation margins in central clearing

YangKyu Jin and Sangwon Suh

Risk-neutral skewness and stock market returns: A time-series analysis

Xiaowei Li, Zhengyu Wu, Hao Zhang and Lu Zhang

Risk spillover from international crude oil markets to China’s financial markets: Evidence from extreme events and U.S. monetary policy

Changqing Luo, Yi Qu, Yaya Su and Liang Dong

Collateral policy of the central bank and corporate financing costs: Evidence from China

Guangjie Geng, Zhixuan Han, Hongli Wu, Miao Cheng, Ran Wang and Huan Liu

Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan

Jianhui Ni and Jia Ruan

The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs

Donghyun Kim, Yong Hyun Shin and Ji-Hun Yoon

The valuation of arithmetic Asian options with mean reversion and jump clustering

Shiyu Song

Application of the LPPL model in the identification and measurement of structural bubbles in the Chinese stock market

Hongyun Ji and Han Zhang

Institutional monitoring on corporate earnings: Evidence from U.S. Cross-listed Firms

Chune Young Chung, Hye Seok Kim and Chang Liu

Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries

Huiming Zhu, Xi Huang, Fangyu Ye and Shuang Li

Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle

Qi Fu, Jacky Yuk-Chow So and Xiaotong Li

Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective

Yangyang Zhuang, Ditian Zhang, Pan Tang and Hongjuan Peng

International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models

Jia Wang, Xinyi Wang and Xu Wang

Quantile connectedness of oil price shocks with socially responsible investments

Farooq Malik and Zaghum Umar

WITHDRAWN: Extreme risk contagion from the United States to BRICS stock markets: A multivariate quantile analysis

Yi Zhang, Long Zhou, Baoxiu Wu and Fang Liu

Revisit the impact of exchange rate on stock market returns during the pandemic period

Hao-Wen Chang, Tsangyao Chang and Mei-Chih Wang

Analytical valuation of vulnerable chained options

Jiayi Zhang and Ke Zhou

Research on human dynamics characteristics under large-scale stock data perturbation

Yi Luo, Xiaoming Li, Wei Yu, Kun Huang, Yihe Yang and Yao Huang

Individual investment adaptations to COVID-19 lockdowns

Bin Huang, Bin Wang and Zixuan Chen

Did the Indian stock market overreact to Covid-19?

Pitabas Mohanty and Supriti Mishra

Do regulatory penalties reduce risk-taking of banks?

Konglin Ke, Wanting Xu and Yujie He

A non-zero-sum investment and reinsurance game between two mean–variance insurers with dynamic CVaR constraints

Xingchun Peng and Yushuang Wang

Influence of a wider trading range on stock price efficiency: Evidence from ChiNext stocks in China

Ping-Wen Sun and Yingying Cai

CEO narcissism and asymmetric cost behavior

Heung-Jae Jeon

Monetary policy spillovers among five systemic economies: Evidence from the time and frequency domains

Junjie Guo, Xuelian Li, Weiran Zhang and Youshu Li

Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach

Mohamed Fakhfekh, Azza Bejaoui, Aurelio Fernandez Bariviera and Ahmed Jeribi

The JOBS Act and IPO underpricing

Yuxiang Bian, Tiantian Hu, Haoran Liu, Wentao Su and Ren Wang

Who has mastered exchange rate ups and downs: China or the United States?

Tie-Ying Liu and Ye Lin

How macroeconomic conditions affect systemic risk in the short and long-run?

Zeynep O. Kurter

Oil price uncertainty and corporate inefficient investment: Evidence from China

Baochen Yang, Haokai An and Xinyu Song