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 61, issue C, 2022

Determining hedges and safe havens for stocks using interval analysis

Meng-Shiuh Chang, Peijie Ju, Yilei Liu and Shao-Chieh Hsueh

Multi-step barrier products and static hedging

Hangsuck Lee, Yang Ho Choi and Gaeun Lee

Revisiting the safe haven role of Gold across time and frequencies during the COVID-19 pandemic

Carlos Esparcia, Francisco Jareño and Zaghum Umar

COVID-19 related media sentiment and the yield curve of G-7 economies

David Y. Aharon, Zaghum Umar, Mukhriz Izraf Azman Aziz and Xuan Vinh Vo

Market insurance and endogenous saving with multiple loss states

S. Hun Seog and Jimin Hong

Does diversification promote systemic risk?

Chao Wang, Xiaoxing Liu and Jianmin He

The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

Yi Zhang, Long Zhou, Yajiao Chen and Fang Liu

Government intervention in European mergers and acquisitions

Nuria Alcalde and Ronan Powell

Tax policy and interregional competition for mobile venture capital by the creative class

Amitrajeet Batabyal and Seung Jick Yoo

Only words matter? The effects of cognitive abilities on commercial insurance participation

Tingting Zhang, Wenquan Li, Kaixin Li and Zhifeng Liu

Ownership concentration, modified audit opinion, and auditor switch: New evidence and method

May Hu, Abdul Muhammad and Jingjing Yang

Economic fundamentals, policy responses, and state-level municipal bond sensitivity to COVID-19 prevalence

Babatunde O. Odusami and Iqbal Mansur

Instability spillovers in the banking sector: A spatial econometrics approach

Jan Acedański and Renata Karkowska

A new approach to capital control for emerging market economies

Fernando Garcia-Barragan and Guangling Liu

How does FinTech affect the development of the digital economy? Evidence from China

Xiaohui Chen, Lei Teng and Wen Chen

Time-frequency causality and dependence structure between crude oil, EPU and Chinese industry stock: Evidence from multiscale quantile perspectives

Huiming Zhu, Yiwen Chen, Yinghua Ren, Zhanming Xing and Liya Hau

Pricing catastrophe equity puts with counterparty risks under Markov-modulated, default-intensity processes

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

Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities, green bonds, and environment-related stocks

M. Kabir Hassan, Md. Bokhtiar Hasan, Zairihan Abdul Halim, Neal Maroney and Md. Mamunur Rashid

Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model

Xinyu Wu, Haibin Xie and Huanming Zhang

A semi-analytic valuation of two-asset barrier options and autocallable products using Brownian bridge

Hangsuck Lee, Minha Lee and Bangwon Ko

Forecasting solar stock prices using tree-based machine learning classification: How important are silver prices?

Perry Sadorsky

Seasonality and momentum across national equity markets

Jian Song and Ronald Balvers

Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis

Huiming Zhu, Dongwei Yu, Liya Hau, Hao Wu and Fangyu Ye

Volume 60, issue C, 2022

Optimal insurance under moral hazard in loss reduction

Hangsuck Lee, Minha Lee and Jimin Hong

Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios

Scott Mahadeo, Reinhold Heinlein and Gabriella Legrenzi

Multi-player dynamic game model for Bitcoin transaction bidding prediction

Guanghui Yan, Shan Wang, Shikui Li and Binwei Lu

Optimal growth under model uncertainty

Yuhong Xu

Pricing vulnerable options with stochastic liquidity risk

Xingchun Wang

Ambiguity, limited commitment, and the q theory of investment

Wei Wu, Yingjie Niu, Yaoyao Wu and Hongru Xu

Exchange rate misalignments, capital flows and volatility

Axel Grossmann and Alexei G. Orlov

Return and volatility spillovers across the Western and MENA countries

Hamidreza Habibi and Hassan Mohammadi

The risk–return relation in the corporate loan market

Miguel Duran

Partial cross-quantilogram networks: Measuring quantile connectedness of financial institutions

Biyu Qian, Gang-Jin Wang, Yusen Feng and Chi Xie

Further evidence on financial information and economic activity forecasts in the United States

Qi Shi and Bin Li

Connectedness of commodity, exchange rate and categorical economic policy uncertainties — Evidence from China

Lu Song, Gengyu Tian and Yonghong Jiang

Investor sentiment and Bitcoin relationship: A quantile-based analysis

Khaled Mokni, Ahmed Bouteska and Mohamed Sahbi Nakhli

Asymmetric positive feedback trading and stock pricing in China

Xufeng Liu and Die Wan

Valuing lookback options with barrier

Hangsuck Lee, Eunchae Kim and Bangwon Ko

The default contagion of contingent convertible bonds in financial network

Ping Li, Yanhong Guo and Hui Meng

Does investor sentiment affect fund crashes? Evidence from Chinese open-end funds

Hu Wang, Shouwei Li, Yuyin Ma and Shuyang Jiang

Insider trading, overconfidence, and private information flow

Ying Jiang and Hong Liu

Evolving United States stock market volatility: The role of conventional and unconventional monetary policies

Vasilios Plakandaras, Rangan Gupta, Mehmet Balcilar and Qiang Ji

Forecasting risk measures using intraday and overnight information

Douglas G. Santos, Osvaldo Candido and Paula V. Tófoli

The dynamic connectedness and hedging opportunities of implied and realized volatility: Evidence from clean energy ETFs

İsmail Çelik, Ahmet Furkan Sak, Arife Özdemir Höl and Gizem Vergili

How do stock price indices absorb the COVID-19 pandemic shocks?

Xu Zhang, Zhijing Ding, Jianqin Hang and Qizhi He

Convertible bond issuance volume, capital structure, and firm value

Yulu Liao, Paoyu Huang and Yensen Ni

Commodity financialization and funding liquidity in China

Xiangfu Jia, Wenting Liao and Chengsi Zhang

Volume 59, issue C, 2022

Does organization capital matter? An analysis of the performance implications of CEO power

Junmao Chiu, Yi-Hua Li and Tsai-Hsuan Kao

Liquidity and asset pricing: Evidence from the Chinese stock markets

Tianyang Zhang and Sergio Lence

Credit rating changes and debt structure

Joseph M. Goebel and Kristopher J. Kemper

What are the determinants and managerial motivations for employee ownership in retirement pension plans?

Heejin Park, Jung-Hee Noh, Melissa Pedersen and Sora Lee

Catering to investors through capital expenditures: Testing assets substitution problem around financing

Ching-Hsiang Chao, Chih-Jen Huang, Ruey-Jenn Ho and Hsin-Yi Huang

Network analysis on Bitcoin arbitrage opportunities

Rasa Bruzgė and Alfreda Šapkauskienė

Group penalized logistic regressions predict up and down trends for stock prices

Yanlin Yang, Xuemei Hu and Huifeng Jiang

Time and frequency connectedness and portfolio diversification between cryptocurrencies and renewable energy stock markets during COVID-19

Zijian Li and Qiaoyu Meng

Narcissistic leaders and corporate cash Holdings: Evidence in China

Penghua Qiao, Yang Long, Hung-Gay Fung and Erin Hui-Chuan Kao

Central bank policy announcements and changes in trading behavior: Evidence from bond futures high frequency price data

Koichiro Kamada, Tetsuo Kurosaki, Ko Miura and Tetsuya Yamada

Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence

Guoli Mo, Weiguo Zhang, Chunzhi Tan and Xing Liu

Rigid payment breaking, default spread and yields of Chinese treasury bonds

Xiaoyong Huang, Cong Yu, Yunping Chen, Fei Jia and Xiangyun Xu

Price effects after one-day abnormal returns in developed and emerging markets: ESG versus traditional indices

Alex Plastun, Elie Bouri, Rangan Gupta and Qiang Ji

Disclosure quality, price efficiency, and expected returns

Kung-Cheng Ho, Shih-Cheng Lee and Ping-Wen Sun

Risk reporting and stock return in the UK: Does market competition Matter?

Ahmed Hassanein

Contagion effect of systemic risk among industry sectors in China’s stock market

Qiuhua Xu, Haoyang Yan and Tianyu Zhao

Optimal time-consistent reinsurance and investment strategies for a jump–diffusion financial market without cash

Caibin Zhang and Zhibin Liang

Exchange options for catastrophe risk management

Guanying Wang, Xingchun Wang and Xinjian Shao

How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis

Qitong Chen, Huiming Zhu, Dongwei Yu and Liya Hau

Lessons from naïve diversification about the risk-reward trade-off

Paul J. Haensly

An information diffusion model for momentum effect based on investor wealth

Haijun Yang, Hengshun Ge and Xinpeng Gao

Infectious diseases tracking and sectoral stock market returns: A quantile regression analysis

Mohammad Alomari, Abdel Razzaq Al Rababa'a, Mobeen Ur Rehman and David M. Power

Impact of the COVID-19 outbreak and its related announcements on the Chinese conventional and Islamic stocks’ connectedness

Chaker Aloui, Alam Asadov, Lama Al-kayed, Besma Hkiri and Nevi Danila

Impact of CEO narcissism and hubris on corporate sustainability and firm performance

Fengyi Lin, Sheng-Wei Lin and Wen-Chang Fang

Did small or large US banks transmit more risk during the Subprime crisis?

Gabriel Pino

The influence of international oil price fluctuation on the exchange rate of countries along the “Belt and Road”

Yijing Wang, Xueqing Geng and Kun Guo

Hedging local currency risk with precious metals

Michael Kunkler

Multidimensional noise and non-fundamental information diversity

David Russ

Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction

Qunxing Pan, Xiaowen Mei and Tianqing Gao

Price impact, strategic interaction and portfolio choice

Giuliano Curatola

Pricing basket spread options with default risk under Heston–Nandi GARCH models

Xingchun Wang and Han Zhang

The influence of private equity and venture capital on the post-IPO performance of newly-public acquirers

Natalia Matanova, Tanja Steigner, Ninon Sutton and Linh Thompson

The intermediating role of the Chinese renminbi in Asian currency markets: Evidence from partial wavelet coherence

Takuji Kinkyo

Belief-driven growth slowdowns and zero-bounded risk-free rate

Xiaoge Zhang

A kind of new time-weighted nonnegative lasso index-tracking model and its application

Qi-an Chen, Qingyu Hu, Hu Yang and Kai Qi

Monetary policy and bank performance: The role of business models

Van Dan Dang and Japan Huynh

Pricing European continuous-installment currency options with mean-reversion

Junkee Jeon and Geonwoo Kim

Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday

Sun-Yong Choi

Risk spillover analysis across worldwide ESG stock markets: New evidence from the frequency-domain

Yang Gao, Yangyang Li, Chengjie Zhao and Yaojun Wang

Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks☆

Afees Salisu, Rangan Gupta and Christian Pierdzioch

Two new mean–variance enhanced index tracking models based on uncertainty theory

Tingting Yang and Xiaoxia Huang

Pricing of vulnerable exchange options with early counterparty credit risk

Donghyun Kim, Geonwoo Kim and Ji-Hun Yoon

Economic uncertainty and national bitcoin trading activity

Jan Wüstenfeld and Teo Geldner

Trade friction and price discovery in the USD–CAD spot and forward markets

Meng Yan, Jian Chen, Victor Song and Ke Xu

Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China

Zhihong Jian, Xupei Li and Zhican Zhu

Dependence dynamics of Islamic and conventional equity sectors: What do we learn from the decoupling hypothesis and COVID-19 pandemic?

Syed Jawad Hussain Shahzad and Nader Naifar