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US banks efficiency after global financial crisis: Transient and persistent decomposition The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-03-02 Giancarlo Ferrara, Konstantinos E. Kounetas
The Global Financial Crisis creates liquidity shocks, banks failures and a global economic downturn while led to significant supervisory and regulatory reforms affecting banks efficiency performance. We offer new insights investigating overall inefficiency and by decomposing into transient and persistent components. Using a panel data on 5698 US banks during the period 2010–2016, this study incorporates
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Asymmetric dependence between the baltic dry index and conventional financial markets under heterogeneous global economic events The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-03-01 Emmanuel Joel Aikins Abakah, Mohammad Abdullah, Boakye Dankwah, Chi-Chuan Lee
This research investigates the asymmetric dependence of the Baltic Dry Index on conventional financial markets during major global economic events in the period 1995–2023 using the rolling window wavelet correlation (RWWC) and time-varying parameter vector autoregression (TVP-VAR). The results of the RWWC reveal a considerable relationship between these markets over short- to medium-term investment
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Conditional CAPM relationships in standard and accounting risk approaches The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-28 Anna Rutkowska – Ziarko, Lesław Markowski, Hussein A. Abdou
The main aim of the work is to test new and non-standard versions of CAPM, based on accounting information and downside risk measures. Two innovative conditional CAPM models incorporating accounting information have been proposed. Average values of profitability ratios and accounting betas proved significant sources of systematic risk. In addition, the results confirm the legitimacy of the conditional
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Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-28 Mobeen Ur Rehman, Neeraj Nautiyal, Rami Zeitun, Xuan Vinh Vo, Wafa Ghardallou
This paper examines the multiscale comovement between the green bonds issued in developed countries and international oil-driven shocks. We extracted the oil shocks using a structural vector autoregressive model. The countries in our analysis comprised the UK, the US, Japan, Canada, Australia, and Europe, with the data being captured from November 28, 2008 to June 11, 2021. We applied the wavelet technique
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A sharing rule for multi-period interest-sensitive insurance contracts The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-25 Hangsuck Lee, Hongjun Ha, Minha Lee
As sales of interest-sensitive products grow in insurance markets, determining a sharing rule for allocating investment returns between a policyholder and an insurer is crucial. This paper discusses a theoretical sharing rule for a multi-period contract, reflecting that the insurer’s investment efforts are unobservable and that a stream of information inferring the quality of the efforts exists. Our
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Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-25 Zhi De Khoo, Kok Haur Ng, You Beng Koh, Kooi Huat Ng
This paper proposes an unbiased combined weighted (CW) volatility measure and weighted volatility indicators (WVI) that integrates the return- and range-based volatility measures to model the dynamics volatility of stock returns. The main feature of the CW measure is that it is formulated based on the weighted inter- and intra-price information to quantify the volatility directly, while the WVI effectively
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Investor sentiment response to COVID-19 outbreak-related news: A sectoral analysis of US firms The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-24 Anna Blajer-Gołębiewska, Lukas Honecker, Sabina Nowak
Capital markets literature has challenged the efficient market hypothesis, and one of the factors that explain unpredictable changes in stock prices is investor sentiment. In this study, we examine the investor sentiment index’s response to COVID-19 outbreak-related events in 2020, based on a sample of the S&P 500 companies from the sectors most severely affected by the pandemic: healthcare, industrials
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Corporate taxes, partisan politics, and stock returns The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-23 Javier Mella
This paper studies the effect of partisan politics on stock returns in the U.S. by exploring different measures of corporate taxes. The results support the partisan politics cycle effect on equity returns. The cross-sectional analysis shows that the measures of corporate taxes impact stock returns but only when interacting with partisanship. Moreover, the time-series analysis shows that an investment
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Does swing pricing reduce investment funds’ liquidity risk in times of market stress? – Evidence from the March-2020 episode The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-19 Gabriel Shui-Tang Wu, Joe Ho-Yeung Wong, Tom Pak-Wing Fong
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Dynamic volatility spillover and market emergency: Matching and forecasting The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-18 Wei Zhou, Yan Chen, Jin Chen
Volatility spillover can cause successive and similar volatilities in different markets even financial or economic crises. Many related studies have been presented to analyze it from theoretical and empirical perspectives. However, can this phenomenon show or forecast the important market emergency? How to match them and then provide valuable investment and management suggestions? This could be an
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The amplifying role of geopolitical Risks, economic policy Uncertainty, and climate risks on Energy-Stock market volatility spillover across economic cycles The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-17 Zinan Hu, Sumuya Borjigin
Volatility spillovers persist between energy and stock markets, significantly influenced by external uncertainties. Investigating the potential amplification of volatility spillovers among major global stock markets and international energy commodity markets, driven by geopolitical risks (GPR), economic policy uncertainty (EPU), and the Climate Risk Index (CRI), is of paramount importance. This study
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Editorial Board The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-15
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The volume-implied volatility relation in financial markets: A behavioral explanation The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-09 Massaporn Cheuathonghua, Chaiyuth Padungsaksawasdi
We examine the relation between trading volume and associated CBOE’s implied volatility in commodity ETF, stock market index, and stock market index ETF by employing a new approach, behavioral concepts. Availability, conservatism, and extrapolation biases work well in explaining the trading volume-implied volatility relations in all types of assets. Coefficients of contemporaneous and lagged trading
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Withdrawal notice to “Extreme risk contagion from the United States to BRICS stock markets: A multivariate quantile analysis”. [North Am. J. Econ. Financ. 70 (2024) 102067] The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-07 Yi Zhang, Long Zhou, Baoxiu Wu, Fang Liu
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Extreme connectedness and network across financial assets and commodity futures markets The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-07 Oguzhan Ozcelebi, Sang Hoon Kang
This study investigates the extreme connectedness across S&P 500 and commodity futures markets in various market conditions (bearish, normal, and bullish) using the TVP-VAR model and quantile VAR (QVAR) connectedness approach. Our empirical results provide important implications. First, the dynamic results of TVP-VAR model show an asymmetric and crisis-sensitive connectivity with the S&P 500 stock
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The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-06 Ahmed Bouteska, M. Kabir Hassan, Zeynullah Gider, Hassan Bataineh
By using the trading data and corporate financial data from 2010 to 2022 in Korean stock market, we combine the Bayesian learning process with the DSSW model to investigate the size and specific manifestations of the disposition effect when market belief is different from investors' irrational beliefs. We find that there is a significant negative correlation between investor sentiment and the investor
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Explosive behavior in historic NASDAQ market prices The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-02-01 Michael Demmler, Amilcar Orlian Fernández
Within recent years the technology market represented by the NASDAQ Composite Index showed astonishing price increases, especially during the COVID-19 pandemic. As extreme market price movements are nothing new to the technology sector, one can question the vulnerability of the market to frequent explosive behaviors in the form of asset price bubbles or financial crisis. Hence, the present paper aims
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Do fund managers’ performance rely on gender and team size? Evidence from India The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-29 Sudipta Majumdar, Ajay Kumar Mishra, Abhijeet Chandra
The study investigates how gender and team size impact mutual fund manager’s performance. Using comprehensive collected data of 1,207 manager-funds observations from January 1991 to March 2022, we analyse the performance of Indian fund managers. The study also examines whether the age and tenure of fund managers affect the association between gender and team size with performance. Our result shows
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Crypto havens during war Times? evidence from the Russian invasion of Ukraine The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-26 Filip Hampl, Dagmar Vágnerová Linnertová, Matúš Horváth
The Russian invasion of Ukraine on 24th February 2022 resulted in a steep increase in a geopolitical risk index and, with imposed economic and political sanctions, caused both commodity and financial markets turmoil. In this paper, we investigate whether Bitcoin and Ether (traditional cryptocurrencies), Tether (fiat-backed stablecoin), and Solana (utility token) can be considered safe havens against
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Measuring Market Volatility Connectedness to Media Sentiment The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-29 Hooman Abdollahi, Sturla L. Fjesme, Espen Sirnes
We examine directional connectedness patterns from news and social media to financial market volatility using textual analysis and high-frequency data. We find that media sentiment induces market volatility, but the magnitude of that connectedness is time-varying. In addition, news and social media sentiment pertinent to one market transmits volatility to other markets. Finally, we find that sentiment
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Asset pricing for the lottery-like security under probability weighting: Based on generalized Wang transform The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-23 Helen Hui Huang, Jianchun Sun, Shunming Zhang
We present a two-stage lottery model with the generalized Wang transform as a probability weighting function to formally derive investors’ demand for the lottery-like security. Probability overweight on higher expected payoffs accounts for investors’ overvaluation of the security with moderately lottery-like feature, raising the demand and driving up the price. Investors’ aggressive demand is enhanced
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Low interest rates and the predictive content of the yield curve The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-23 Michael D. Bordo, Joseph G. Haubrich
Does the yield curve’s ability to predict future output and recessions differ when interest rates and inflation are low, as was recently the case? We explore the issue using historical data going back to the 19th century for the US. This paper is similar in spirit to Ramey and Zubairy (2018), who look at the government spending multiplier in times of low interest rates. If anything, the yield curve
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Dependence structure between NFT, DeFi and cryptocurrencies in turbulent times: An Archimax copula approach The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-23 Mohamed Fakhfekh, Azza Bejaoui, Aurelio F. Bariviera, Ahmed Jeribi
This paper investigates the connectedness among eighteen cryptocurrency assets including NFT, DeFi, gold-backed cryptocurrencies, and traditional cryptocurrencies. We also compute the Optimal hedge ratio for each pair of (gold-backed) cryptocurrency-NFT/DeFi and assess their hedge effectiveness. To this end, we use a combination of econometric methods. Our sample period goes from 01/11/2021 to 21/02/2023
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The JOBS Act and IPO underpricing The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-20 Yuxiang Bian, Tiantian Hu, Haoran Liu, Wentao Su, Ren Wang
In the realm of Initial Public Offerings (IPOs), the initial day stock price return, known as underpricing, poses a considerable financial burden on capital issuers. This study scrutinizes two hypotheses regarding IPO underpricing: the general information asymmetry theory, positing that ‘underpricing’ compensates for investor uncertainty about firm quality, and the practical underwriter-institutional
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How macroeconomic conditions affect systemic risk in the short and long-run? The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-19 Zeynep O. Kurter
This study quantifies the effects of macroeconomic variables on various market-based systemic-risk measures in 24 European banks over the 2008–2019 period. In a first step, I measure daily systemic risk for banks based on ΔCoVaR, MES, and SRISK frameworks, and examine the contributions of individual banks to aggregate systemic risk during specific stress events. Systemic risk in European banks has
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Predicting systemic financial risk with interpretable machine learning The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-19 Pan Tang, Tiantian Tang, Chennuo Lu
Predicting systemic financial risk is essential for understanding the financial system's stability and early warning of financial crises. In this research, we use the financial stress index to measure systemic financial risk. We construct the stress index for five financial submarkets and composite stress index, employ the Markov regime switching model to identify the systemic financial risk stress
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Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-18 Samira Haddou
The objective of this paper is twofold. First, it aims to investigate the nexus between sovereign CDS spreads and its drivers, including behavioral drivers, during the different states of the CDS market activity (bullish, bearish and normal). Second, it purposes to explore the heterogeneity in the response of CDS spreads through episodes of calm and turmoil. To this end, we utilize a rich data set
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The impact of climate change on credit risk of rural financial institutions: A threshold effect based on agricultural insurance The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-14 Qianting Ma, Yueshu Zhou, Jiaji Wang
Climate change affects the stability of the rural financial system. This paper uses the multi-agent model to deduce the impact mechanism of climate change on the credit risk of rural financial institutions, and conducts a series of empirical tests. The results show that: (i) climate change has an adverse impact on the credit risk of rural financial institutions. (ii) agricultural insurance shows a
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Interplay of multifractal dynamics between shadow policy rates and energy markets The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2024-01-11 Faheem Aslam, Ahmed Imran Hunjra, Bilal Ahmed Memon, Mingda Zhang
This study examines the interconnections between short shadow rates (SSR) and energy markets. We conduct multifractal detrended cross-correlation analysis (MF-DXA) on the daily SSR from four major economies (USA, Eurozone, Japan, and UK) and the daily prices of four energy markets (WTI, Brent, Natural Gas, and Heating Oil) spanning January 1995 to March 2022. Our analysis shows that all energy market-short
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Did the Indian stock market overreact to Covid-19? The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-12-29 Pitabas Mohanty, Supriti Mishra
Several studies have used event studies to determine the impact of events such as war or pandemics on individual stocks. However, standard event study methodologies assume that the event does not affect the market index. Our study introduces a framework that aims to aid in interpreting event study findings, particularly in evaluating the effects of widespread factors such as pandemics or wars on individual
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CEO narcissism and asymmetric cost behavior The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-12-28 Heung-Jae Jeon
This research investigates the relationship between chief executive officer (CEO) narcissism and asymmetric cost behavior. Based on the expectation that CEOs’ narcissism leads to myopic management, I replicate the existence of cost stickiness in a large sample of U.S. public firms and find that narcissistic CEOs exhibit a lower degree of cost stickiness. Additionally, I find that the negative effect
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A non-zero-sum investment and reinsurance game between two mean–variance insurers with dynamic CVaR constraints The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-12-23 Xingchun Peng, Yushuang Wang
This paper is devoted to investigating a non-zero-sum game between two competing insurers. The insurers can diversify their insurance risks by purchasing proportional reinsurance and investing their collected premiums into a financial market composed of one risk-free asset and one stock. The reinsurance premiums charged by the reinsurer follow the generalized mean–variance premium principle. Moreover
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Analytical valuation of vulnerable chained options The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-12-15 Jiayi Zhang, Ke Zhou
In this paper, we present analytical pricing formulae for vulnerable chained options. To derive the price, we provide the joint probability that one of the two-dimensional Brownian motions hits multiple barriers sequentially before a fixed time and the positions of both Brownian motions. Using the derived formulae, we perform numerical analysis to investigate the impacts of counterparty risk on option
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Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-12-14 Qi Fu, Jacky Yuk-Chow So, Xiaotong Li
We study an asset pricing model with stable Paretian shocks to solve the equity premium puzzle. We extend the model with different return generating processes for consumption and dividends, relaxing the strong assumption made in previous studies that aggregate dividends are equal to consumption. The model derives solutions for asset prices and returns. Solutions are provided for the CRRA (constant
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Research on human dynamics characteristics under large-scale stock data perturbation The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-12-14 Yi Luo, Xiaoming Li, Wei Yu, Kun Huang, Yihe Yang, Yao Huang
The group behavior of financial and economic systems is the driving force behind many complex economic phenomena. A quantitative understanding of the behavior of the financial and economic systems is an important research topic in modern behavioral science. However, most of the existing research uses mathematical statistics and other traditional methods to mine the characteristics of financial data
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Do regulatory penalties reduce risk-taking of banks? The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-12-13 Konglin Ke, Wanting Xu, Yujie He
This paper analyzes the impact of regulatory penalties on risk-taking of Chinese commercial banks during the period of 2009–2019. Our results reveal that regulatory penalties significantly reduce bank risk-taking, and the results still hold after taking endogeneity and robust tests into consideration. As mechanism test uncovers, regulatory penalties exert much pronounced effect on banks with better
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Quantile connectedness of oil price shocks with socially responsible investments The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-12-02 Farooq Malik, Zaghum Umar
We use a new method to disentangle various sources of oil price shocks and find how these sources are connected to major global environmental, social, and governance (ESG) equity indices under extreme market movements using daily data from October 2007 to March 2022. Our quantile-based connectedness analysis shows that return connectedness considerably amplifies with the size of the shock for both
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Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-25 Huiming Zhu, Xi Huang, Fangyu Ye, Shuang Li
This study investigates the lead-lag nonlinear dependence relationship between crude oil and stock markets by employing a joint analysis of both frequency and cross-quantile perspectives. We propose a novel rolling window cross-quantile approach to capture the dynamic nonlinear dependencies across market conditions. Our empirical findings reveal that BRICS countries primarily receive net spillovers
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The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-30 Donghyun Kim, Yong Hyun Shin, Ji-Hun Yoon
Real options are a type of investment choice that supports decision-makers in making better strategic management decisions while simultaneously reducing uncertainty in investments. This study presents a new model to help investors flexibly handle uncertain investment environments. First, we adopt a hybrid stochastic and local volatility model to efficiently describe the uncertain effects of the external
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The valuation of arithmetic Asian options with mean reversion and jump clustering The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-28 Shiyu Song
It is known that the prices of many commodities exhibit mean reversion and are subject to jumps. Particularly, there is mounting empirical evidence that suggests the existence of clustered jumps. In this paper, we consider the valuation problem of arithmetic Asian options under a Hawkes jump diffusion model which captures both the mean reversion and jump clustering phenomena. We compute option prices
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Institutional monitoring on corporate earnings: Evidence from U.S. Cross-listed Firms The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-25 Chune Young Chung, Hye Seok Kim, Chang Liu
Existing research on the effectiveness of institutional monitoring internationally highlights the advantage domestic investors hold due to their geographic proximity to the invested firms. We revisit the topic by examining a unique setting: the U.S. cross-listing market. U.S. institutions as foreign investors may benefit from their market proximity because cross-listed firms are traded in the United
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Risk-neutral skewness and stock market returns: A time-series analysis The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-23 Xiaowei Li, Zhengyu Wu, Hao Zhang, Lu Zhang
This paper investigates whether the change of average risk-neutral skewness (RNS), which is the average of monthly risk-neutral skewness across firms, can predict subsequent aggregate stock returns. We find that average RNS positively and significantly predicts future aggregate stock returns, consistent with the firm-level evidence. Our findings are robust after controlling for other well-documented
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Procyclical variation margins in central clearing The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-22 YangKyu Jin, Sangwon Suh
This study analyzes the effect of asset prices on the daily exchange of profit and loss from derivatives contracts in central clearing, called variation margin (VM). It provides empirical evidence that the VM exhibits a high volatility and a significant relation to changes in market prices. The magnitude of VM procyclicality has significant implications for systemic risk. This study analytically shows
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Target rate factors in short rate models The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-15 Antti J. Harju
This study investigates the risk associated with the uncertainties in the central bank monetary policy targets in the context of short interest rate models. A class of models is proposed which admits two channels of interest rate risk. In a prototypical case, the short duration channel handles the uncertainties in the target rates decided in the forthcoming Federal Open Market Committee meetings. The
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Dynamic robust portfolio selection under market distress The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-04 Yifu Jiang, Jose Olmo, Majed Atwi
This article proposes a dynamic robust portfolio selection model that is based on minimizing portfolio’s worst case scenarios using the Conditional Value at Risk as relevant risk measure. Our proposed empirical model for the dynamics of portfolio constituents has three main features: i) accommodates tail dependence between assets by means of a mixture of copula functions; ii) conditional heteroscedasticity
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Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-03 Bin-xia Chen, Yan-lin Sun
Existing research pays less attention to the risk characteristics and connectedness of higher moments of cryptocurrencies. We dynamically analyze the risk characteristics of cryptocurrencies and their connectedness at four levels: return, volatility, skewness, and kurtosis. First, there are price bubbles in five popular cryptocurrencies, with long bubble periods during the COVID-19 epidemic. The volatility
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CEO overconfidence, risk-taking, and firm value: Influence of incentive compensation and financial constraints The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-03 Hui-Wen Tang, Chong-Chuo Chang
By using the data of firms listed on the three major US stock exchanges—the New York Stock Exchange, Nasdaq Stock Exchange, and American Stock Exchange—this study investigated (1) whether CEO overconfidence increases additional risk-taking and affects firm value, (2) whether high incentive compensation for overconfident CEOs increases additional risk-taking behavior and firm value, and (3) whether
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Dynamic volatility spillover among cryptocurrencies and energy markets: An empirical analysis based on a multilevel complex network The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-11-02 Xuetong Wang, Fang Fang, Shiqun Ma, Lijin Xiang, Zumian Xiao
Based on the DCC-GARCH-CONNECTEDNESS approach, this paper investigates the dynamic volatility spillover among ten cryptocurrency markets and three energy markets. This study constructed a volatility spillover network weighted by the spillover intensity index. The overall network topological properties, node characteristics, and spillover structure were then analyzed by applying the index quantification
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Asymmetries in the international spillover effects of monetary policy: Based on TGVAR model The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-10-29 Baisheng Cui, Jiaqi Li, Yi Zhang
Based on the TGVAR framework, this study examined the asymmetrical global spillover effects in the major areas and countries. Our analysis makes the case that the asymmetries in monetary policy are primarily caused by heterogeneity in monetary policy tool shocks, regional and macroeconomic target responses, and disparities in economic conditions and international position among nations. Our findings
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Energy, metals, market uncertainties, and ESG stocks: Analysing predictability and safe havens The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-10-30 Junhua Yang, Samuel Kwaku Agyei, Ahmed Bossman, Mariya Gubareva, Edward Marfo-Yiadom
To address ESG stock susceptibility to episodic shocks in financial markets, we use nonparametric quantile-based techniques applied to the 2014–2022 period. We (i) analyse the ability of traditional assets to predict ESG stocks returns, (ii) explore whether oil or gold serves as a safe haven for ESG stocks, and (iii) ascertain how ESG stocks respond to market sentiment, crypto-based uncertainty, and
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A hybrid approach of wavelet transform, ARIMA and LSTM model for the share price index futures forecasting The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-10-14 Junting Zhang, Haifei Liu, Wei Bai, Xiaojing Li
In this study, a novel hybrid model for share price index futures forecasting named WT-ARIMA-LSTM is proposed. In this hybrid model, share price index futures are decomposed to extract data characteristics at different time scales by the wavelet transform and the ARIMA-LSTM model are applied to predict the close price of futures. The findings of the study are as follows. 1) The DWT hybrid model and
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Socioemotional wealth and cash flow sensitivity of cash: Evidence from India The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-10-17 Swechha Chada, Palanisamy Saravanan, Gopal Varadharajan
This paper examines the controlling shareholders’ propensity to increase Cash flow sensitivity of cash in Indian firms. We hypothesize that the controlling shareholders’ tendency to preserve the socioemotional wealth increases cash flow sensitivity of cash in the Indian firms. Using a sample of Indian firms during 2001 – 2019, we find that controlling shareholders increase the cash flow sensitivity
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Are banks better money doctors? An analysis of mutual fund flows of bank and non-bank funds using Canadian data The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-10-14 Greg Hebb, Shannon Lin
This study uses Canadian mutual fund data from 2005-2020 to compare fund flows of bank managed mutual funds with those of non-bank managed mutual funds. We document that relative to non-bank funds, bank funds consistently exhibit lower flows on a monthly basis. Moreover, bank funds demonstrate lower flow-sensitivity to performance than non-bank funds. Further investigation reveals this effect is driven
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The green, the dirty and the stable: Diversifying equity portfolios by adding tokens of different nature The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-10-11 Carlos Esparcia, Tarek Fakhfakh, Francisco Jareño
In this study we propose to empirically assess the potential diversification benefits of three types of cryptocurrencies (traditional: Bitcoin, green: Cardano and stablecoins: Tether) by including them in equity-based asset allocation strategies. We build monthly rebalanced minimum VaR portfolios based on different wavelet scales or investment horizons. We use the ADCC-GARCH model to fit the dynamic
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Fractional Brownian motion in option pricing and dynamic delta hedging: Experimental simulations The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-10-10 Tamirat Temesgen Dufera
This research examines the impact of fractional Brownian motion (fBm) on option pricing and dynamic delta hedging. Through experimental simulations, we analyze the influence of the Hurst exponent on option price prediction. Our findings highlight the necessity for continuous calibration of the Hurst exponent for a specific market dataset. By estimating option prices using fBm, we evaluate price prediction
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Improving volatility forecasts: Evidence from range-based models The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-10-06 Marcin Fałdziński, Piotr Fiszeder, Peter Molnár
Volatility models based on the daily high-low range have become increasingly popular. The high and low prices are easily available, yet the range contains very useful information about volatility. It has been established in the literature that range-based volatility models outperform standard volatility models based on closing prices. However, little is known about which range-based model performs
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Copper-to-Gold Ratio as a Leading Indicator for the 10-Year Treasury Yield The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-09-28 Dror Parnes
Preliminary univariate and multivariate regressions, visual inspections, various relative entropy probes, and complementary Pearson correlation tests and Welch’s t-tests all suggest that the copper-to-gold ratio often embeds rather short-termed (up to a few days) yet credible information about the 10-year U.S. Treasury yield. This phenomenon has been more noticeable in recent years and in times where
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Constructing early warning indicators for banks using machine learning models The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-10-02 Coskun Tarkocin, Murat Donduran
This research contributes to bank liquidity risk management by employing supervised machine learning models to provide banks with early warnings of liquidity stress using market-based indicators. Identifying increasing levels of stress as early as possible provides management with a crucial window of time in which to assess and develop a potential response. This study uses publicly available data from
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The interactive impact of green supporting factors on bank credit creation: An agent-based stock-flow consistent approach The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-09-18 Xiaoyun Xing, Xuesong Gu, Kun Guo, Jing Deng
Low carbon transition requires prudential regulations to incentivize bank’s green financing behaviors. This paper performs a simple and original analysis on the impact of the green differentiated banking requirements on bank’s credit creation. Through a simplified bank balance sheet, this paper incorporates green supporting factors into the framework of prudential regulations, namely the risk-based
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Is the cash-returns relationship risk induced? The North American Journal of Economics and Finance (IF 3.136) Pub Date : 2023-09-07 Chenxi Liu, Mengyao Kang
Whether there is a cash anomaly and what drives the cash–returns relationship are unclear. By constructing a cash risk factor, this study explores the cash–returns relationship and the mechanisms underlying it. We find that the cash factor is pervasive and captures co-movement in stock returns, indicating a significant cash–returns relationship. The factor loading cannot predict returns after controlling