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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 ().

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Volume 58, issue C, 2021

Forecasting the Value-at-Risk of REITs using realized volatility jump models Downloads
Babatunde O Odusami
Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks Downloads
Zhang-HangJian Chen, Sai-Ping Li, Mei-Ling Cai, Li-Xin Zhong and Fei Ren
Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis Downloads
Darko Vuković, Kseniya A. Lapshina and Moinak Maiti
Identifying states of global financial market based on information flow network motifs Downloads
Wen-Jie Xie, Yang Yong, Na Wei, Peng Yue and Wei-Xing Zhou
Are the profitability and investment factors valid ICAPM risk factors? Pre-1963 evidence Downloads
Qi Lin and Xi Lin
The US debt–growth nexus along the business cycle Downloads
Luis Martins
Does government funding promote or inhibit the financialization of manufacturing enterprises? Evidence from listed Chinese enterprises Downloads
Yong Qi, Yudi Yang, Shuo Yang and Simeng Lyu
Valuing technological synergies in mergers Downloads
Shi Li, James S. Ang, Chaopeng Wu and Shijie Yang
Hedging futures performance with denoising and noise-assisted strategies Downloads
Chengli Zheng, Kuangxi Su and Yinhong Yao
Oil price shocks and credit spread: Structural effect and dynamic spillover Downloads
Yong Jiang, Cenjie Liu and Rui Xie
The effects of employee stock ownership on stock liquidity: Evidence from the Korean market Downloads
Hail Jung and Sanghak Choi
Valuation of piecewise linear barrier options Downloads
Hangsuck Lee, Hongjun Ha and Minha Lee
A filtered currency carry trade Downloads
Jin Ho Choi and Sangwon Suh
A truly global crisis? Evidence from contagion dependence across international REIT markets Downloads
MeiChi Huang, Chu-Hua Wu and I-Shan Cheng
COVID-19 and asymmetric volatility spillovers across global stock markets Downloads
Wenqi Li
Loss from the chasing of MAX stocks: Evidence from China Downloads
Ya Gao, Xing Han and Xiong Xiong
Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak Downloads
Bana Abuzayed and Nedal Al-Fayoumi
Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market Downloads
Huai-Long Shi and Wei-Xing Zhou
Who is more important, parents or children? Economic and environmental factors and health insurance purchase Downloads
Qian Wang, Jun Wang and Feng Gao
Using your regular contacts as collateral: The information value of call logs Downloads
Yunwen He
Private conversation matters: Evidence from sell-side analyst reports after private meetings Downloads
Huan Cai and Zhen Qi
Tax aggressiveness and idiosyncratic volatility Downloads
Neeru Chaudhry
A study on the incentive compensation structure with payroll tax: A continuous-time principal-agent model Downloads
Huan Wang, Chong Lai and Shaoyong Lai
The interrelationship between order flow, exchange rate, and the role of American economic news Downloads
Shahrokh Firouzi and Xiangning Wang
What drives dynamic connectedness of the U.S equity sectors during different business cycles? Downloads
Geoffrey M. Ngene
Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market? Downloads
Kuang-Liang Chang
A unified entropic pricing framework of option: Using Cressie-Read family of divergences Downloads
Xisheng Yu
Fractal statistical measure and portfolio model optimization under power-law distribution Downloads
Xu Wu, Linlin Zhang, Jia Li and Ruzhen Yan
The ‘COVID’ crash of the 2020 U.S. Stock market Downloads
Min Shu, Ruiqiang Song and Wei Zhu
The dark side of stock market liberalization: Perspectives from corporate R&D activities in China Downloads
Qiaoyu Jia and Jia'nan Zhou
Factors affecting institutional investors to add crypto-currency to asset portfolios Downloads
Wei Sun, Alisher Tohirovich Dedahanov, Ho Young Shin and Wei Ping Li
How can investors build a better portfolio in small open economies? Evidence from Asia’s Four Little Dragons Downloads
Xiyong Dong, Changhong Li and Seong-Min Yoon
Global convergence of inflation rates Downloads
Tie-Ying Liu and Chien-Chiang Lee
Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market Downloads
Qifa Xu, Mengting Li and Cuixia Jiang
Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis Downloads
Md. Bokhtiar Hasan, Masnun Mahi, M. Kabir Hassan and Abul Bashar Bhuiyan
Exploring the development trend of internet finance in China: Perspective from club convergence Downloads
Caiquan Bai, Hong Yan, Shanggang Yin, Chen Feng and Qian Wei
President’s Tweets, US-China economic conflict and stock market Volatility: Evidence from China and G5 countries Downloads
Yusaku Nishimura and Bianxia Sun
Stock returns and carry trades Downloads
Zilin Chen, Jianhua Gang and Zongxin Qian
Diversified behavioral portfolio as an alternative to Modern Portfolio Theory Downloads
Yeny E. Rodríguez, Juan M. Gómez and Javier Contreras
The effects of FX-interventions on forecasters disagreement: A mixed data sampling view Downloads
Mark Holmes, Ana Iregui and Jesus Otero
Forecasting stock market volatility: Can the risk aversion measure exert an important role? Downloads
Zhifeng Dai and Xiaoming Chang
Multiscale financial risk contagion between international stock markets: Evidence from EMD-Copula-CoVaR analysis Downloads
Changqing Luo, Lan Liu and Da Wang
Extreme risk spillovers between crude palm oil prices and exchange rates Downloads
You-How Go and Wee Yeap Lau
The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market Downloads
Cao Guangxi and Wenhao Xie
Region-wide connectedness of Asian equity and currency markets Downloads
Takuji Kinkyo
Stock Market’s responses to intraday investor sentiment Downloads
Sang Ik Seok, Hoon Cho and Doojin Ryu
A study of the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on an asymmetric multifractal scaling behavior analysis Downloads
Can-Zhong Yao, Yi-Na Mo and Ze-Kun Zhang
Tail risk and investors’ concerns: Evidence from Brazil Downloads
Gustavo Freire
Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches Downloads
Kais Tissaoui, Besma Hkiri, Mariem Talbi, Waleed Alghassab and Khaled Issa Alfreahat
The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns Downloads
Ruina Wang and Jinfang Li
Spillovers of U.S. market volatility and monetary policy uncertainty to global stock markets Downloads
Thomas C. Chiang
Can individual investors learn from experience in online P2P lending? Evidence from China Downloads
ZhouPing Li, RuYi Ge, XiaoShuang Guo and Lingfei Cai
Economic policy uncertainty and stock market returns: New evidence Downloads
Yongan Xu, Jianqiong Wang, Zhonglu Chen and Chao Liang
The impact of COVID-19 on the G7 stock markets: A time-frequency analysis Downloads
Mobeen Ur Rehman, Sang Hoon Kang, Nasir Ahmad and Xuan Vinh Vo
The COVID-19 Pandemic and Sovereign Bond Risk Downloads
Alin Marius Andrieș, Steven Ongena and Nicu Sprincean
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors Downloads
Piero Quatto, Gianmarco Vacca and Maria Zoia
Analysis of the impact of COVID-19 pandemic on G20 stock markets Downloads
Yanshuang Li, Xintian Zhuang, Jian Wang and Zibing Dong
Herding in the bad times: The 2008 and COVID-19 crises Downloads
Sandra Ferreruela and Tania Mallor
A closed-form exact solution for pricing fixed-income variance swaps with affine-jump model Downloads
Shaoyu Li, Yuanyuan Zhang and Chunhui Zhu
Inflation targeting and expectation anchoring: Evidence from developed and emerging market economies Downloads
Sangwon Suh and Daehwan Kim
COVID-19 stringency measures and foreign investment: An early assessment Downloads
Maela Giofre'
Moral hazard, debt overhang and capital structure Downloads
Bo Yang, Liu Gan and Chunhui Wen
Applications of machine learning for corporate bond yield spread forecasting Downloads
Jong-Min Kim, Dong H. Kim and Hojin Jung
A novel profit cutting mechanism for Chinese Banks: Theory and Multi-dimensional evidence Downloads
Chao Guan, Bo Yu and Sheng Bi
A model of dynamic tail dependence between crude oil prices and exchange rates Downloads
Ranran Guo and Wuyi Ye
Financial development and economic growth in a microfounded small open economy model Downloads
Bo Zhang and Peng Zhou
The granularity of the Brazilian banking market Downloads
Adriano Maia, Guilherme De Oliveira, Raul Matsushita and Sergio Da Silva
How have the dependence structures between stock markets and economic factors changed during the COVID-19 pandemic? Downloads
Xiyong Dong, Li Song and Seong-Min Yoon
Assessing the reversal of investor sentiment Downloads
Cherng G. Ding, Hung-Jui Wang, Meng-Che Lee, Wen-Chi Hung and Ten-Der Jane
Investor co-attention and stock return co-movement: Evidence from China’s A-share stock market Downloads
Fei Su and Xinyi Wang
Extendible stock loan Downloads
Wei-Hwa Wu
Time-varying impact of monetary policy shocks on US stock returns: The role of investor sentiment Downloads
Oguzhan Cepni and Rangan Gupta
Information transmission between large shareholders and stock volatility Downloads
Jie Li, Yongjie Zhang and Lidan Wang
Lottery-like momentum in the cryptocurrency market Downloads
Chiao-Han Lin, Kuang-Chieh Yen and Hui-Pei Cheng
Measuring real–financial connectedness in the U.S. economy Downloads
Erhan Uluceviz and Kamil Yilmaz
Currency news and international bond markets Downloads
Moustafa Abuelfadl and Ehab Yamani
Is insurance normal or inferior? -A regret theoretical approach- Downloads
Yoichiro Fujii, Mahito Okura and Yusuke Osaki
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