North American Journal of Economics and Finance

Article	Citations
Tail risk and investors’ concerns: Evidence from Brazil	112
Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments: An agent-based modeling approach	92
Multi-step double barrier options under time-varying interest rates	80
A penalized U-MIDAS multinomial logit model with applications to corporate credit ratings	77
Does corporate digital transformation improve capital market transparency? Evidence from China	68
Comparison of the interdependence relationship between crude oil futures and spot in China and international crude oil markets − evidence from time-frequency and quantile perspectives	66
Are ESG factors truly unique?	64
A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures	61
Economic Nexus among the Belt and Road Initiative participating countries	60
The Big Mac index: An exact multilateral clarification	60
Monetary policy expectations and financial Markets: A Quantile-on-Quantile connectedness approach	57
The impact of Twitter-based sentiment on US sectoral returns	57
Unveiling hidden connections: Spillover among BRICS' cryptocurrency-implied exchange rate discounts and US financial markets	56
ESG rating divergence and stock price crash risk	52
Estimating yield spreads volatility using GARCH-type models	52
Exploring the dynamic spillover of cryptocurrency environmental attention across the commodities, green bonds, and environment-related stocks	52
Stability and risk contagion in the global sovereign CDS market under Russia-Ukraine conflict	50
Beyond death: The impact of a population-wide health shock on life insurance	50
Infectious diseases tracking and sectoral stock market returns: A quantile regression analysis	50
Market risks that change domestic diversification benefits	47
Contingent factors of the coinsurance function of internal capital markets: Evidence from the US nonlife insurance industry	45
US structural drivers of international portfolio returns	45
Editorial Board	45
Accelerated depreciation of fixed assets and cash dividend distribution	44
Financial cycle comovement with monetary and macroprudential policy and global factors: Evidence from India	43

Effect of sectoral holdings on the flow-performance sensitivity of mutual funds	42
Robust optimal reinsurance–investment for α-maxmin mean–variance util	41
Editorial Board	40
CEO narcissism and asymmetric cost behavior	39
Pecking order of convertible security financing for start-up ventures and overinvestment	39
Optimal incentives for managerial innovation	38
Does pension fund ownership reduce market manipulation? Evidence from China	37
Downside risk and profitability ratios: The case of the New York Stock Exchange	37
Editorial Board	35
Interdependent capital structure choices and the macroeconomy	35
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors	34
Modeling the unintended consequences of short selling for innovation investment	33
An analytical solution for the robust investment-reinsurance strategy with general utilities	32
Further evidence on financial information and economic activity forecasts in the United States	31
Multi-step barrier products and static hedging	31
Editorial Board	31
Tax policy and interregional competition for mobile venture capital by the creative class	31
Are the profitability and investment factors valid ICAPM risk factors? Pre-1963 evidence	30
Reassessing the inversion of the Treasury yield curve as a sign of U.S. recessions: Insights from the housing and credit markets	30
Investor co-attention and stock return co-movement: Evidence from China’s A-share stock market	29
Dispersion in analysts’ target prices and stock returns	29
Asymmetric information and inside management trading in the Chinese market	29
Risk spillover analysis of China’s financial sectors based on a new GARCH copula quantile regression model	28
Board internationalization and corporate social responsibility	28
Spillover and connectedness among G7 real estate investment trusts: The effects of investor sentiment and global factors	28
Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information	28
Bank liquidity supply and corporate investment during the 2008–2009 financial crisis	28
How does news-driven monetary policy frictions affect nonperforming loans?--Taking Chinese commercial banks as an example	28
Does the Central Bank of Peru respond to exchange rate movements? A Bayesian estimation of a New Keynesian DSGE model with FX interventions	28
COVID-19 stringency measures and foreign investment: An early assessment	27
Investor sentiment and energy futures predictability: Evidence from Feasible Quasi Generalized Least Squares	27
The COVID-19 Pandemic and Sovereign Bond Risk	26
Green bonds and traditional and emerging investments: Understanding connectedness during crises	26
Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies	26
Forecasting risk measures using intraday and overnight information	25
Sources of CEO power and firm mergers & acquisitions——Evidence from Chinese listed family firms	25
The transition of the global financial markets' connectedness during the COVID-19 pandemic	25
Macro topology structure and evolution of Chinese Public Funds’ Co-holding Network	25
House price synchronization across the US states: The role of structural oil shocks	24
Unveiling the gold-oil whirl amidst market uncertainty shocks in China	24
Long-term wealth growth portfolio allocation under parameter uncertainty: A non-conservative robust approach	23
The US debt–growth nexus along the business cycle	23
Trade friction and price discovery in the USD–CAD spot and forward markets	22
Cross-region risk spillover between the stock and stock index futures markets under exogenous shocks	22
Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market	22
Network analysis of local currency Asian government bond markets: Assessments of the ABFI and the ABMI	22
How does investor attention matter for crude oil prices and returns? Evidence from time-frequency quantile causality analysis	22
Bank ownership and governance quality in India: Evolution and detection of convergence clubs	21
The effects of financial openness and financial efficiency on Chinese macroeconomic volatilities	21
A unified entropic pricing framework of option: Using Cressie-Read family of divergences	21

A non-zero-sum investment and reinsurance game between two mean–variance insurers with dynamic CVaR constraints	21
Ambiguity, limited commitment, and the q theory of investment	21
Life-cycle model with subsistence consumption constraint and state-dependent utilities	21
Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system	20
The economic value of Bitcoin: A volatility timing perspective with portfolio rebalancing	20
Dynamic credit risk transmissions among global major industries: Evidence from the TVP-VAR spillover approach	20
Multiperiod portfolio allocation: A study of volatility clustering, non-normalities and predictable returns	20
The role of investor sentiment and market belief in forecasting V-shaped disposition effect: Evidence from a Bayesian learning process with DSSW model	20
Active portfolio management in the face of ESG uncertainty: An agile framework for adaptive investment strategies	20
Herding in Open-end Funds: Evidence from China	19
Yield curve trading strategies exploiting sentiment data	19
Time–frequency quantile dependence between Bitcoin and global equity markets	19
Forecasting stock return volatility in data-rich environment: A new powerful predictor	19
Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective	19
Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market	19
Geopolitical risk hedging or timing: Evidence from hedge fund strategies	19
Closed-form approximations for basket option pricing under normal tempered stable Lévy model	19
Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis	18
Valuation of callable accreting interest rate swaps: Least squares Monte-Carlo method under Hull-White interest rate model	18
Regime switches and commonalities of the cryptocurrencies asset class	18
The interrelationship between order flow, exchange rate, and the role of American economic news	18
The effects of oil price shocks on inflation in the G7 countries	18
Risk spillover mechanism among commercial banks and FinTech institutions throughout public health emergencies	17
Did small or large US banks transmit more risk during the Subprime crisis?	17
Intraday return predictability in the cryptocurrency markets: Momentum, reversal, or both	17
Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan	17
A kind of new time-weighted nonnegative lasso index-tracking model and its application	17
ESG and Stock Price Volatility Risk: Evidence from Chinese A-share Market	17
The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB	17
How do precious and industrial metals hedge oil in a multi-frequency semiparametric CVaR portfolio?	16
Does liquidity connectedness affect stock price crash risk? Evidence from China	16
Narcissistic leaders and corporate cash Holdings: Evidence in China	16
Can hybrid model improve the forecasting performance of stock price index amid COVID-19? Contextual evidence from the MEEMD-LSTM-MLP approach	16
How does economic policy uncertainty drive time–frequency connectedness across commodity and financial markets?	16
Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration	16
Research on the time-varying effects among green finance markets in China: A fresh evidence from multi-frequency scale perspective	16
Investor sentiment and stock price jumps: A network analysis based on China’s carbon–neutral sectors	15
Can digital financial inclusion promote female entrepreneurship? Evidence and mechanisms	15
The power of market: Venture capital and enterprise digital transformation	15
The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic	14
A common component of Fama and French factor variances	14
Recent evidence on the short-term and long-term performance persistence of emerging-market mutual fund returns	14
Does the Confucianism in audit firms enhance the corporate ESG Disclosure?	14
Stablecoins as the cornerstone in the linkage between the digital and conventional financial markets	14
Monetary policy and bank performance: The role of business models	14
Optimal reinsurance-investment game for two insurers with SAHARA utilities under correlated markets	14
Impact of government’s support policy on decision-making of platform participants under ESG	14
Pricing options on the maximum or the minimum of several assets with default risk	14
Hedge and safe-haven properties of FAANA against gold, US Treasury, bitcoin, and US Dollar/CHF during the pandemic period	14
Re-examining China and the u.s.’s respective green bond markets in extreme conditions: Evidence from quantile connectedness	14
Going Green: Effect of green bond issuance on corporate debt financing costs	14
Unveiling asymmetric return spillovers with portfolio implications among Indian stock sectors during Covid-19 pandemic	14
The influence and predictive powers of mixed-frequency individual stock sentiment on stock returns	13
Hand in hand or left behind: The dual impact of leading firms’ digital technologies on industry digital transformation	13
Economic policy uncertainty and industry risk on China’s stock market	13
Pricing of vulnerable exchange options with early counterparty credit risk	13
Economic policy uncertainty and stock market returns: New evidence	13
Digital finance and misallocation of resources among firms: Evidence from China	13
The impact of the shutdown policy on the asymmetric interdependence structure and risk transmission of cryptocurrency and China’s financial market	13
Impact of green finance on low-carbon transformation: Spatial spillover effects in China	13
Investor sentiment or information content? A simple test for investor sentiment proxies	13
Forecasting the realized volatility of Energy Stock Market: A multimodel comparison	13
Time-frequency connectedness of crude oil, economic policy uncertainty and Chinese commodity markets: Evidence from rolling window analysis	12
Economic policy uncertainty and cost of debt financing: International evidence	12
Asymmetric dynamics between the Baltic Dry Index and financial markets during major global economic events	12
Is there one safe-haven for various turbulences? The evidence from gold, Bitcoin and Ether	12
Financial development and economic growth in a microfounded small open economy model	12
Which uncertainty measure better predicts gold prices? New evidence from a CNN-LSTM approach	12
Dissecting returns of non-fungible tokens (NFTs): Evidence from CryptoPunks	12
Geopolitical risk and stock market volatility in emerging markets: A GARCH – MIDAS approach	12
Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity	12
Diversified behavioral portfolio as an alternative to Modern Portfolio Theory	12
Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis	12
Do real estate investors trade on momentum?	12
Dynamic time series momentum of cryptocurrencies	12
Dynamic volatility spillovers between industries in the US stock market: Evidence from the COVID-19 pandemic and Black Monday	11
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	11
Impact of climate change on dynamic tail-risk connectedness among stock market social sectors: Evidence from the US, Europe, and China	11
International oil shocks and the volatility forecasting of Chinese stock market based on machine learning combination models	11
Does Chinese mixed-ownership reform improve innovation quality in privately-owned enterprises? A dual-perspective evidence from managerial myopia and resource-based view	11

Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak	11
Spillover of fear among the US and BRICS equity markets during the COVID-19 crisis and the Russo-Ukrainian conflict	11
Time-frequency co-movement and network connectedness between green bond and financial asset markets: Evidence from multiscale TVP-VAR analysis	11
The time-varying relationship between climate uncertainty, low-carbon stocks and green bonds	11
Volatility forecasting in the Bitcoin market: A new proposed measure based on the VS-ACARR approach	10
US banks efficiency after global financial crisis: Transient and persistent decomposition	10
Temporal and spatial heterogeneity of resource misallocation in Chinese banks and its influential factors	10
Information asymmetry, sentiment interactions, and asset price	10
The effect of output and the real exchange rate on equity price dynamics	10
Who speaks louder, financial instruments or credit rating agencies? Analyzing the effects of different sovereign risk measures on interest rates in Brazil	10
Finance and collusion in oligopolistic markets	10
Fintech, strategic incentives and investment to human capital, and MSEs innovation	10
Downside liquidity risk premium: From the perspective of higher moment	10
Network analysis on Bitcoin arbitrage opportunities	10
The impact of revenue diversification on profitability, capital, and risk in US banks by size	10
Extreme risk spillovers between crude palm oil prices and exchange rates	10
Predictability of tail risks of Canada and the U.S. Over a Century: The role of spillovers and oil tail Risks☆	10
Is the cash-returns relationship risk induced?	10
Analytical valuation of vulnerable chained options	9
Valuation of piecewise linear barrier options	9
Editorial Board	9
The default contagion of contingent convertible bonds in financial network	9
Economic fundamentals, policy responses, and state-level municipal bond sensitivity to COVID-19 prevalence	9
What are the determinants and managerial motivations for employee ownership in retirement pension plans?	9
The effects of formal and informal CEO power on debt policy persistence	9
How does the money market development impact the bank lending channel of emerging Countries? A case from China	9
How macroeconomic conditions affect systemic risk in the short and long-run?	9
Democracy and dividend policy around the world	9
Models of optimal contract in lending: Evaluating the impact of diversified versus focused policies on riskiness of borrower base	9
Economic uncertainty and corporate cash holdings: Evidence from Taiwan	9
Editorial Board	9
Investor sentiment response to COVID-19 outbreak-related news: A sectoral analysis of US firms	9
Liquidity and asset pricing: Evidence from the Chinese stock markets	9
Investor protection, hedge fund leverage and valuation	9
Multi-player dynamic game model for Bitcoin transaction bidding prediction	9
Terms of trade or market power? Further evidence from dynamic spillovers in return and volatility between Malaysian crude palm oil and foreign exchange markets	9
Interactions between financial constraints and economic growth	8
Rushing through the clouds, or waiting to die? The effect of the green credit policy on heavily polluting firms	8
Optimal investment under high-water mark contracts with model ambiguity	8
Official or unofficial? extreme bounds analysis on the determinants of sovereign default	8
Evaluation of volatility spillovers for asymmetric realized covariance	8
Modeling mispricing risk of defined contribution pension plan with a mean–variance criteria	8
Impact of Off-Balance-Sheet Activities on the Effectiveness of Monetary Policy	8
The threshold effect of political connection on the green innovation of businesses: Evidence from China	8
Peer effect on dividends and return comovement	8
Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis	8
Stock-level sentiment contagion and the cross-section of stock returns	8
Cross-border ESG rating dynamics: An in-depth connectedness analysis of portfolio returns and volatilities in the USA and Canada	8
The liquidity timing ability of mutual funds	8
Valuing three-asset barrier options and autocallable products via exit probabilities of Brownian bridge	8
Can NFTs hedge the risk of traditional assets after the COVID-19 pandemic?	8
A new approach to capital control for emerging market economies	8
Contagion testing in frontier markets under alternative stressful S&P 500 market scenarios	8
Topological properties of reconstructed credit networks and banking systemic risk	8
Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model	8
Application of the LPPL model in the identification and measurement of structural bubbles in the Chinese stock market	8
Cryptocurrency market spillover in times of uncertainty	8
The time-varying risk–return trade-off and its explanatory and predictive factors	7
The dark side of stock market liberalization: Perspectives from corporate R&D activities in China	7
Analysis of the cross-region risk contagion effect in stock market based on volatility spillover networks: Evidence from China	7
Searching for informed traders in stock markets: The case of Banco Popular	7
Deregulation of short selling and corporate cash dividend policy: A quasi-natural experiment from China	7
Pricing European continuous-installment currency options with mean-reversion	7
Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods	7
Is a co-jump in prices a sparse jump?	7
The valuation of real options for risky barrier to entry with hybrid stochastic and local volatility and stochastic investment costs	7
Heterogeneous beliefs with herding behaviors and asset pricing in two goods world	7
Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?	7
How do technological innovations affect corporate investment and hiring?	7
The intermediating role of the Chinese renminbi in Asian currency markets: Evidence from partial wavelet coherence	7
CEO optimism, CEO selection, compensation, and corporate investment decision: The case of CEOs who were rehired as CEOs by another firms after turnover	7
Strategic information leakage with market supervision	7
Dynamic spillovers and linkages between gold, crude oil, S&P 500, and other economic and financial variables. Evidence from the USA	7
A novel estimation of time-varying quantile correlation for financial contagion detection	7
Dynamic spillover and connectedness between oil futures and European bonds	7
Optimal consumption and portfolio choices in the stochastic SIS model	7
Does organization capital matter? An analysis of the performance implications of CEO power	7
Impacts of COVID-19 on global stock sectors: Evidence from time-varying connectedness and asymmetric nexus analysis	7
Predicting financial distress in Latin American companies: A comparative analysis of logistic regression and random forest models	7
Twitter-based market uncertainty and global stock volatility predictability	7
Quantifying China’s financial reach up through the pandemic: The African experience	6
Systemic financial risk early warning of financial market in China using Attention-LSTM model	6
Factors affecting institutional investors to add crypto-currency to asset portfolios	6
Does the international oil market interact with China’s financial market? New evidence from time-varying higher moments	6
Risk spillovers between Chinese new energy futures and carbon-intensive assets: Asymmetric effect, time–frequency dynamics, and portfolio strategies	6
Reaction of the U.S. Treasury market to economic news when intrapersonal uncertainty and interpersonal disagreement are high	6
ESG investment performance and global attention to sustainability	6
Systemic risk of Chinese financial institutions and asset price bubbles	6
Unraveling the multiscale comovement of green bonds and structural shocks: An oil-driven analysis	6
Does environmental law enforcement matter for financial reporting quality?	6
Strategic cooperation in fintech field and efficiency of commercial banks	6
The effect of interconnectivity on stock returns during the Global Financial Crisis	6
Addressing the financial impact of natural disasters in the era of climate change	6
Market volatility and illiquidity during the COVID-19 outbreak: Evidence from the Saudi stock exchange through the wavelet coherence approaches	6
Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets	6