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 63, issue C, 2022

Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA

Petros Golitsis, Pavlos Gkasis and Sotirios K. Bellos

Optimal consumption and portfolio choices in the stochastic SIS model

Shilin Li, Tongtong Li and Jinqiang Yang

An analytical solution for the robust investment-reinsurance strategy with general utilities

Yong He, Xia Zhou, Peimin Chen and Xiaoyang Wang

Multivariate risk aversion utility, application to ESG investments

Marcos Escobar-Anel

Searching for informed traders in stock markets: The case of Banco Popular

Jorge V. Pérez-Rodríguez, Simon Sosvilla-Rivero, Julián Andrada-Felix and Emilio Gómez-Déniz

Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity

Guohui Guan and Xiang Hu

Modelling international sovereign risk information spillovers: A multilayer network approach

Peipei Liu and Wei-Qiang Huang

A novel estimation of time-varying quantile correlation for financial contagion detection

Wuyi Ye, Mingge Li and Yuehua Wu

CEO optimism, CEO selection, compensation, and corporate investment decision: The case of CEOs who were rehired as CEOs by another firms after turnover

Po-Jung Chen and Ching-Yu Hsu

Fractional cointegration and price discovery in Canadian commodities

Ke Xu, Kenneth Stewart and Zeyang Cao

Can digital financial inclusion promote female entrepreneurship? Evidence and mechanisms

Xiaolan Yang, Yidong Huang and Mei Gao

The macroeconomic impact of economic uncertainty and financial shocks under low and high financial stress

Mehmet Balcilar, Zeynel Abidin Ozdemir, Huseyin Ozdemir, Gurcan Aygun and Mark Wohar

Models of optimal contract in lending: Evaluating the impact of diversified versus focused policies on riskiness of borrower base

Fathali Firoozi and Donald Lien

Deregulation of short selling and corporate cash dividend policy: A quasi-natural experiment from China

Xingquan Yang, Zheng Yang and Xiaoyi Ren

The sentiment pricing dynamics with short-term and long-term learning

Jinfang Li

Hedging the extreme risk of cryptocurrency

Kwamie Dunbar and Johnson Owusu-Amoako

Dynamic volatility connectedness between industrial metal markets

Xu Gong, Jun Xu, Tangyong Liu and Zicheng Zhou

Irreversible investment and capacity choice with Bayesian learning

Fan Hu, Yaoyao Wu and Lei Zhou

The transition of the global financial markets' connectedness during the COVID-19 pandemic

Paravee Maneejuk, Nuttaphong Kaewtathip, Peemmawat Jaipong and Woraphon Yamaka

Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model

Maoxi Tian, Fei Guo and Rong Niu

A novel two-stage method for well-diversified portfolio construction based on stock return prediction using machine learning

Wei Chen, Haoyu Zhang and Lifen Jia

The effects of financial openness and financial efficiency on Chinese macroeconomic volatilities

Shenguo Yuan, Zhouheng Wu and Lanfeng Liu

Board internationalization and corporate social responsibility

Yi Luo, Jian Ma, Yu Wang and Aishan Ye

A time-varying copula approach for constructing a daily financial systemic stress index

Sook Rei Tan, Changtai Li and Xiu Wei Yeap

Fund immunity to the COVID-19 pandemic: Evidence from Chinese equity funds

Aifan Ling, Xinrui Huang and Ling, Boya (Vivye)

Beyond death: The impact of a population-wide health shock on life insurance

Chunli Cheng

Heterogenous beliefs with sentiments and asset pricing

Hailong Wang and Duni Hu

Looking for a safe haven against American stocks during COVID-19 pandemic

Agata Kliber

Impact of Basel III liquidity regulations on U.S. Bank performance in different conditional profitability spectrums

Sathiavanee Veeramoothoo and Shawkat Hammoudeh

Bond markets integration in the EU: New empirical evidence from the Eastern non-euro member-states

Nikolaos Stoupos and Apostolos Kiohos

Market risks that change domestic diversification benefits

Ghulam Sarwar

Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares

Ismail Fasanya, Oluwasegun Adekoya, Oluwatomisin Oyewole and Soliu Adegboyega

The impact of VIX on China’s financial market: A new perspective based on high-dimensional and time-varying methods

Bin-xia Chen and Yan-lin Sun

Common analyst links and predictable returns: Evidence from China

Biao Yi and Shuxin Guo

Quantifying China’s financial reach up through the pandemic: The African experience

Richard C.K. Burdekin, Dawson Reckers and Ran Tao

Learning, disagreement and inflation forecasting

Ji Chen, Xinglin Yang and Xiliang Liu

Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility

Xenxo Vidal-Llana and Montserrat Guillén

The effect of board independence on dividend payouts: A quasi-natural experiment

Pandej Chintrakarn, Pornsit Jiraporn, Sirimon Treepongkaruna and Sang Mook Lee

Dynamic connectedness of China’s green bonds and asset classes

Xiaohong Qi and Guofu Zhang

Time-frequency transmission mechanism of EPU, investor sentiment and financial assets: A multiscale TVP-VAR connectedness analysis

Xingzhi Qiao, Huiming Zhu, Zhongqingyang Zhang and Weifang Mao

Volume 62, issue C, 2022

Contagion effects in ASEAN-5 exchange rates during the Covid-19 pandemic

Nur Ain Shahrier

Director co-option and future market share growth

Oneil Harris and Trung Nguyen

Investor protection, hedge fund leverage and valuation

Yuxiang Bian, Xiong Xiong and Jinqiang Yang

Heterogeneity dependence between oil prices and exchange rate: Evidence from a parametric test of Granger causality in quantiles

Yong Jiang, Yi-Shuai Ren, Seema Narayan, Chao-Qun Ma and Xiao-Guang Yang

The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements

Saumya Ranjan Dash and Debasish Maitra

Democracy and dividend policy around the world

Thi Tuyet Mai Nguyen and Quoc Trung Tran

Commonality, macroeconomic factors and banking profitability

Orlando Joaqui-Barandica, Diego F. Manotas-Duque and Jorge Uribe

Spillovers and directional predictability between international energy commodities and their implications for optimal portfolio and hedging

Nader Trabelsi, Aviral Tiwari and Shawkat Hammoudeh

Jump dynamics, spillover effect and option valuation

Zhiyuan Pan, Jiangyu Shuai, Zhilei Liang and Xianchao Sun

Winds of tapering, financial gravity and COVID-19

Alper Kirik and Veysel Ulusoy

Robust drivers of Bitcoin price movements: An extreme bounds analysis

Walid Ahmed

Network analysis of local currency Asian government bond markets: Assessments of the ABFI and the ABMI

Tatsuyoshi Miyakoshi and Junji Shimada

Bank ownership and governance quality in India: Evolution and detection of convergence clubs

Rachita Gulati

Out-of-sample prediction of Bitcoin realized volatility: Do other cryptocurrencies help?

Yongsheng Yi, Mengxi He and Yaojie Zhang

Liquidity indicators, early warning signals in banks, and financial crises

Ting-Hsuan Chen, Chien-Chiang Lee and Chung-Hua Shen

Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both

Zhuzhu Wen, Elie Bouri, Yahua Xu and Yang Zhao

The outbreak of COVID-19 and stock market liquidity: Evidence from emerging and developed equity markets

Aviral Tiwari, Emmanuel Abakah, Nana Kwasi Karikari and Luis Gil-Alana

Entrepreneurial optimism and creative destruction

Lars Persson and Thomas Seiler

On the exercise of American quanto options

Anna Battauz, Marzia De Donno and Alessandro Sbuelz

Scheduled macroeconomic news announcements and intraday market sentiment

Sangik Seok, Hoon Cho and Doojin Ryu

Regulation and crises: A concave story

Francesco Marchionne, Beniamino Pisicoli and Michele Fratianni

News and intraday jumps: Evidence from regularization and class imbalance

Massimiliano Caporin and Francesco Poli

Order Choices: An Intraday Analysis of the Taiwan Stock Exchange

Donald Lien, Pi-Hsia Hung and Hsiang-Yu Lo

IPO performance and the size effect: Evidence for the US and Canada

Lorne Switzer, Nabil El Meslmani and Xinkai Zhai

Economic policy uncertainty and stock market sector time-varying spillover effect: Evidence from China

Zhifeng Dai and Yongxin Peng

Do real estate investors trade on momentum?

Kuang Kuang Deng, Siu Kei Wong, Ka Shing Cheung and Kwok Sang Tse

Is Bitcoin a better hedging and safe-haven investment than traditional assets against currencies? Evidence from the time-frequency domain approach

Cai Yang, Xinyi Wang and Wang Gao

The effects of formal and informal CEO power on debt policy persistence

Zhen Huang and Weiwei Gao

Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility

Nima Nonejad

Interdependent capital structure choices and the macroeconomy

Jose Gomez-Gonzalez, Jorge Hirs-Garzon and Jorge Uribe

Herding behavior in the cryptocurrency market during COVID-19 pandemic: The role of media coverage

Mouna Youssef and Sami Sobhi Waked

Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis

Zibing Dong, Yanshuang Li, Xintian Zhuang and Jian Wang

Multiscale features of extreme risk spillover networks among global stock markets

Yinghua Ren, Wanru Zhao, Wanhai You and Huiming Zhu

Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach

Afees Salisu, Ahamuefula Ogbonna, Lukman Lasisi and Abeeb Olaniran

Asymmetric information and inside management trading in the Chinese market

May Hu, Mataiasi Tuilautala, Jingjing Yang and Qian Zhong

Venture capital firms’ lead orientation, network position, and selection of familiar syndicate partners

Xiao Hu, Jiayi Wang and Banggang Wu

How do technological innovations affect corporate investment and hiring?

Ying Liu, Steve Liu, Ziqi Wu and Yi Xiao

Political sentiment and MAX effect

Shuyang Huang and Ming Zeng

Risk-shifting: Evidence from the 2007 credit crisis

Eric McKee

Modeling the unintended consequences of short selling for innovation investment

Juan Peng, Wenli Huang, Han Gao and Hongli Wang

Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors

Spyros Papathanasiou, Ioannis Dokas and Drosos Koutsokostas

Idiosyncratic volatility puzzle exists at the country level

Zhongzhi He and Wenjun Xue

Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes

Xu Zhang, Xian Yang and Qizhi He

Economic policy uncertainty and industry risk on China’s stock market

Jie Wang, Weina Xue and Jiashan Song

Dynamic credit contagion and aggregate loss in networks

Xiaoyuan Zhang and Tianqi Zhang

Option pricing with the control variate technique beyond Monte Carlo simulation

Chun-Yuan Chiu, Tian-Shyr Dai, Yuh-Dauh Lyuu, Liang-Chih Liu and Yu-Ting Chen

Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis

Walid Mensi, Ahmet Sensoy, Xuan Vinh Vo and Sang Hoon Kang

Measuring liquidity with return volatility: An analytical approach based on heavy-tailed Censored-GARCH model

Wandi Zhao, Yang Gao and Mingjin Wang

Economic policy uncertainty, oil price volatility and stock market returns: Evidence from a nonlinear model

Xiaojun Liu, Yunyuan Wang, Wanying Du and Yong Ma

Do cryptocurrencies provide better hedging? Evidence from major equity markets during COVID-19 pandemic

Debasish Maitra, Mobeen Ur Rehman, Saumya Ranjan Dash and Sang Hoon Kang

Time-varying cyclicality of fiscal policy: The case of the Euro area

Antonio Afonso and Francisco Tiago Carvalho

The effect of oil price uncertainty on corporate investment in the presence of growth options: Evidence from listed companies in China (1998–2019)

Lingtao Chen, Yongna Yuan and Na Zhao

Impact of network investor sentiment and news arrival on jumps

Wenwen Liu, Chang Zhang, Gaoxiu Qiao and Lei Xu

Sensitivity-based Conditional Value at Risk (SCVaR): An efficient measurement of credit exposure for options

Ruoshi Shi, Yanlong Zhao, Ying Bao and Cheng Peng

Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns

Miloš Božović

Twitter’s daily happiness sentiment, economic policy uncertainty, and stock index fluctuations

Wen-Yi Chen and Mei-Ping Chen

Hard to arbitrage, hard for analysts to forecast

Yanran Wu and Chao Zhang