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 67, issue C, 2023

Limited attention, salient anchor, and the modified MAX effect: Evidence from Taiwan’s stock market

Zi-Mei Wang and Donald Lien

Macroeconomic conditions and investment stimuli

Yingxian Tan, Zhihao Pan, Rui Wang and Chunhui Wen

Analytically pricing variance and volatility swaps under a Markov-modulated model with liquidity risks

Xin-Jiang He and Sha Lin

Information asymmetry, sentiment interactions, and asset price

Xuetong Zhang and Weiguo Zhang

Robust optimal reinsurance–investment for α-maxmin mean–variance utility under Heston’s SV model

Dengsheng Chen, Yong He and Ziqiang Li

Coordination and non-coordination risks of monetary and macroprudential authorities: A robust welfare analysis

Mariusz Górajski and Zbigniew Kuchta

Is a co-jump in prices a sparse jump?

Shijia Song and Handong Li

Interactions between investors’ fear and greed sentiment and Bitcoin prices

Brahim Gaies, Mohamed Sahbi Nakhli, Jean-Michel Sahut and Denis Schweizer

Upside/Downside spillovers between oil and Chinese stock sectors: From the global financial crisis to global pandemic

Walid Mensi, Waqas Hanif, Xuan Vinh Vo, Ki-Hong Choi and Seong-Min Yoon

Who speaks louder, financial instruments or credit rating agencies? Analyzing the effects of different sovereign risk measures on interest rates in Brazil

Gabriel Montes and João Pedro Neves Maia

Forecasting VIX using two-component realized EGARCH model

Xinyu Wu, An Zhao and Li Liu

Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels

Na Chen and Xiu Jin

Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method

Xiangning Wang, Qian Huang and Shuguang Zhang

The effect of interconnectivity on stock returns during the Global Financial Crisis

Thiago Silva, Paulo Victor Berri Wilhelm and Benjamin Tabak

Dynamic interaction of risk–return trade-offs between oil market and China’s stock market: An analysis from the risk preferences perspective

Zhifang He, Hao Sun, Jiaqi Chen, Xin Yang and Zhujia Yin

Peer effect on dividends and return comovement

Sung Won Seo and Jong Hwa Lee

Interactions between financial constraints and economic growth

J. Jerónimo, Assis Azevedo, P.C. Neves and Maria Thompson

Min–max multi-step barrier options and their variants

Hangsuck Lee, Gaeun Lee and Seongjoo Song

Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis

Zishan Huang, Huiming Zhu, Liya Hau and Xi Deng

Animal Behavior in Capital markets: Herding formation dynamics, trading volume, and the role of COVID-19 pandemic

Christos Alexakis, Antonios Chantziaras, Fotini Economou, Konstantinos Eleftheriou and Christos Grose

Geopolitical risks and investor sentiment: Causality and TVP-VAR analysis

Zhifang He

Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach

Xinyu Wu, Xuebao Yin, Zaghum Umar and Najaf Iqbal

Volume 66, issue C, 2023

Searching hedging instruments against diverse global risks and uncertainties

Md. Bokhtiar Hasan, M. Kabir Hassan, Zeynullah Gider, Humaira Tahsin Rafia and Mamunur Rashid

A description of the COVID-19 outbreak role in financial risk forecasting

Fernanda Maria Müller, Samuel Solgon Santos and Marcelo Righi

Forecasting the realized volatility of Energy Stock Market: A multimodel comparison

Houjian Li, Deheng Zhou, Jiayu Hu, Junwen Li, Mengying Su and Lili Guo

SMEs’ behavior under financial constraints: An empirical investigation on the legal environment and the substitution effect with tax arrears

Greta Falavigna and Roberto Ippoliti

The risk spillover between China’s economic policy uncertainty and commodity markets: Evidence from frequency spillover and quantile connectedness approaches

Yonghong Jiang, Zhiming Ao and Bin Mo

Do the differences in legal systems hinder international enterprises’ debt financing?

Jin-Meng Wang and Teng Yuan Cheng

Inflation-related tax distortions in business valuation models: A clarification

Nguyen Kim-Duc and Pham Khanh Nam

Contingent factors of the coinsurance function of internal capital markets: Evidence from the US nonlife insurance industry

Ching-Yuan Hsiao and Yung-Ming Shiu

Cross-sectional implications of dynamic asset pricing with stochastic volatility and ambiguity aversion

Rubén Lago-Balsalobre, Javier Rojo-Suárez and Ana B. Alonso-Conde

GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets

Can-Zhong Yao and Min-Jian Li

Digital finance and misallocation of resources among firms: Evidence from China

Laiqun Jin, Jiaying Dai, Weijie Jiang and Kairui Cao

Stablecoins as diversifiers, hedges and safe havens: A quantile coherency approach

Hanna Kołodziejczyk

Topological properties of reconstructed credit networks and banking systemic risk

Chao Wang, Xiaoxing Liu, Boyi Chen and Menyu Li

Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective

Rongyan Liu, Lingyun He, Yufei Xia, Yating Fu and Ling Chen

The fluctuation correlation between investor sentiment and stock index using VMD-LSTM: Evidence from China stock market

Zhenbin Gao and Jie Zhang

Cyclical capital structure decisions

Joan Llobet-Dalmases, Dolors Plana-Erta and Jorge Uribe

Spillover and connectedness among G7 real estate investment trusts: The effects of investor sentiment and global factors

Walid Mensi, Mariya Gubareva, Tamara Teplova and Sang Hoon Kang

Volume 65, issue C, 2023

How does inter-industry spillover improve the performance of volatility forecasting?

Bin Liu, Wen Xiao and Xingting Zhu

Structural break in different stock index markets in China

Boyan Li and Xundi Diao

Dynamic and asymmetric effects between carbon emission trading, financial uncertainties, and Chinese industry stocks: Evidence from quantile-on-quantile and causality-in-quantiles analysis

Jiatong Liu, Weifang Mao and Xingzhi Qiao

Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets

Eero Pätäri, Sheraz Ahmed, Pasi Luukka and Julian Scott Yeomans

Spillover shifts in the FX market: Implication for the behavior of a safe haven currency

Young Min Kim and Seojin Lee

Dissecting returns of non-fungible tokens (NFTs): Evidence from CryptoPunks

Jying-Nan Wang, Yen-Hsien Lee, Hung-Chun Liu and Yuan-Teng Hsu

Volume 64, issue C, 2023

Social trust and corporate innovation: An informal institution perspective

Xiaoliang Lyu, Jiameng Ma and Xiaochen Zhang

Building optimal regime-switching portfolios

Vito Ciciretti and Andrea Bucci

Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios

Antonio Díaz, Carlos Esparcia and Diego Huélamo

Low interest rates, bank’s search-for-yield behavior and financial portfolio management

Benjamin Lojak, Tomasz Makarewicz and Christian Proaño

Inter-regional dependence of J-REIT stock prices: A heteroscedasticity-robust time series approach

Kaiji Motegi and Yoshitaka Iitsuka

Monetary policy transmission modeling and policy responses

Xin Xu and Xiaoguang Xu

Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period

Imran Yousaf, Vasilios Plakandaras, Elie Bouri and Rangan Gupta

Forecasting stock return volatility in data-rich environment: A new powerful predictor

Zhifeng Dai, Xiaotong Zhang and Tingyu Li

Spillover effect of economic policy uncertainty on the stock market in the post-epidemic era

Rong Li, Sufang Li, Di Yuan, Hong Chen and Shilei Xiang

The impact of Twitter-based sentiment on US sectoral returns

Rami Zeitun, Mobeen Ur Rehman, Nasir Ahmad and Xuan Vinh Vo

Stock index direction forecasting using an explainable eXtreme Gradient Boosting and investor sentiments

Shangkun Deng, Xiaoru Huang, Yingke Zhu, Zhihao Su, Zhe Fu and Tatsuro Shimada

Private health insurance consumption and public health-care provision in OECD countries: Impact of culture, finance, and the pandemic

Cong Tam Trinh, Chi-Chur Chao and Nhut Quang Ho

Impact of serial entrepreneurs on IPO valuation: Evidence from U.S. IPOs

Shuai Wu

A study on equity home bias using vine copula approach

Jyoti Garg, Madhusudan Karmakar and Samit Paul

The British Stock Market, currencies, brexit, and media sentiments: A big data analysis

Gopal K. Basak, Pranab Das, Sugata Marjit, Debashis Mukherjee and Lei Yang

The RP-PCA factors and stock return predictability: An aligned approach

Qi Shi

CEO succession and corporate innovation: A managerial myopic perspective

Yuan Yuan, May Hu and Chen Cheng

Psychological barriers and option pricing in a local volatility model

Dan Li, Lixin Liu and Guangli Xu

How does economic policy uncertainty drive time–frequency connectedness across commodity and financial markets?

Hao Wu, Huiming Zhu, Fei Huang and Weifang Mao

Hedge fund performance persistence under different business cycles and stock market regimes

Dimitrios Stafylas, Athanasios Andrikopoulos and Konstantinos Tolikas

Stock index futures price prediction using feature selection and deep learning

Wan-Lin Yan

Can ignorance about the interest rate and macroeconomic surprises affect the stock market return? Evidence from a large emerging economy

Helder de Mendonça and Raime Rolando Rodríguez Díaz

Rushing through the clouds, or waiting to die? The effect of the green credit policy on heavily polluting firms

Qian Li, Ruodan Zhou, Jie Xiong and Yanxi Wang

Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data

Dong-hai Zhou, Xiao-xing Liu, Chun Tang and Guang-yi Yang

Partial quanto lookback options

Hangsuck Lee, Hongjun Ha and Minha Lee

US structural drivers of international portfolio returns

Bosung Jang, Inhwan So and Eric Tong

Financial development, financial instability, and fiscal policy volatility: International evidence

Yong Ma and Lin Lv

Money, payments systems, limited participation, and central banking

Hyung Sun Choi

The impact of COVID-19 on the tourism and hospitality Industry: Evidence from international stock markets

Yan Liu, Xian Cheng, Stephen Shaoyi Liao and Feng Yang

Which stock price component drives the Amihud illiquidity premium?

Jinyong Kim and Yongsik Kim

Identifying the true nature of price discovery and cross-market informational flow in the investment grade CDS and equity markets

William J. Procasky and Anwen Yin

How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach

Hao Wen Chang and Tsangyao Chang

Systemic risk of Chinese financial institutions and asset price bubbles

Xiaoming Zhang, Chunyan Wei, Chien-Chiang Lee and Yiming Tian

Analyzing quantile spillover effects among international financial markets

Jie Wang, Tangyong Liu and Na Pan