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Corrigendum to “The relief rally: a ninety-year event study of positive market reactions to U.S. Bank failures” [N. Am. J. Econ. Financ. 85 (2026) 102675] “缓解反弹：对美国银行倒闭的积极市场反应的90年事件研究”[N.]更正。点。j .经济学。金融。85 (2026)102675]
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-09-01 Epub Date: 2026-08-03 DOI: 10.1016/j.najef.2026.102696
Chris L. Manfre
{"title":"Corrigendum to “The relief rally: a ninety-year event study of positive market reactions to U.S. Bank failures” [N. Am. J. Econ. Financ. 85 (2026) 102675]","authors":"Chris L. Manfre","doi":"10.1016/j.najef.2026.102696","DOIUrl":"10.1016/j.najef.2026.102696","url":null,"abstract":"","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"86 ","pages":"Article 102696"},"PeriodicalIF":3.8,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148935068","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does overnight return predict the first half-hour return for U.S. market indices? 隔夜回报能否预测美国市场指数前半小时的回报？
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-09-01 Epub Date: 2026-08-30 DOI: 10.1016/j.najef.2026.102707
Yasuhiro Iwanaga, Ryuta Sakemoto
{"title":"Does overnight return predict the first half-hour return for U.S. market indices?","authors":"Yasuhiro Iwanaga,&nbsp;Ryuta Sakemoto","doi":"10.1016/j.najef.2026.102707","DOIUrl":"10.1016/j.najef.2026.102707","url":null,"abstract":"<div><div>This study investigates intraday time series reversal in U.S. market indices. We find that the high overnight return negatively predicts the first half-hour return for U.S. market indices. This pattern has not been observed in the time series reversal literature, which focuses on returns over past several years. Our findings also differ from those of studies on intraday time series momentum studies, which report that the first half-hour return predicts the last half-hour return. Furthermore, we find that our intraday reversal strengthens during periods of high volatility, including the global financial crisis and the early phase of the COVID-19 pandemic. In contrast, it weakened after the 2010s and during the later phase of the pandemic. These findings suggest that intraday reversal is associated with the presence of opposing investor clienteles—overnight buying by retail investors and daytime selling by arbitrageurs. Moreover, we do not observe intraday reversal for other ETFs that track international market indices. Finally, we propose investment strategies based on intraday reversal and present that they are profitable for U.S. market indices but not for international market indices.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"86 ","pages":"Article 102707"},"PeriodicalIF":3.8,"publicationDate":"2026-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148935067","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multifractal dynamics and policy uncertainty interactions in US banking equity market 美国银行股市场的多重分形动力学与政策不确定性相互作用
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-07-01 Epub Date: 2026-06-20 DOI: 10.1016/j.najef.2026.102674
Muhammad Muazzem Hossain, Mohammad Enamul Hoque, Huson Joher Ali Ahmed, Mabruk Billah, Faruk Balli
{"title":"Multifractal dynamics and policy uncertainty interactions in US banking equity market","authors":"Muhammad Muazzem Hossain,&nbsp;Mohammad Enamul Hoque,&nbsp;Huson Joher Ali Ahmed,&nbsp;Mabruk Billah,&nbsp;Faruk Balli","doi":"10.1016/j.najef.2026.102674","DOIUrl":"10.1016/j.najef.2026.102674","url":null,"abstract":"<div><div>This study examines multifractal dynamics and efficiency fluctuations in major U.S. banking stock indices across five crisis episodes: the Global Financial Crisis, the Shale Oil Revolution, the COVID-19 pandemic, the Russian-Ukrainian War, and the collapse of Silicon Valley Bank. Using Multifractal Detrended Fluctuation Analysis (MF-DFA), we assess the scaling characteristics of the KBW Nasdaq Regional Banking Index, the Dow Jones U.S. Select Regional Banks Index, the Nasdaq Bank Index and a newly developed U.S. Small Banks Index, denoted as US.SMB. We also apply a Wavelet-based Measure of Correlation (WLMC) to examine time–frequency co-movements between banking indices and monetary, fiscal, financial-regulatory, and sovereign-debt uncertainty. The findings show that all indices exhibit multifractality. The KBW Nasdaq Regional Banking Index and Nasdaq Bank Index show anti-persistent dynamics, whereas the Dow Jones U.S. Select Regional Banks Index and U.S. Small Banks Index exhibit persistent dynamics. Efficiency ratings reveal that the most efficient is the KBW Nasdaq Regional Banking Index, followed by the Nasdaq Bank Index, with patterns of efficiency varying across episodes of crisis, with regional and small banks performing better in severe downturns. Wavelet tests show that monetary policy uncertainty consistently responds negatively, and other types of uncertainty respond both positively and negatively. The research contributes to the literature by providing industry-specific data within the U.S. banking sector, scaling analysis with STL pre-filtering to narrow the scales, creating a new small-bank index, and using WLMC to account for the time–frequency aspects of various sources of uncertainty in the policies.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"85 ","pages":"Article 102674"},"PeriodicalIF":3.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148523626","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Corrigendum to “Environmental performance and institutions quality in Europe: A Bayesian model averaging approach” [N. Am. J. Econ. Financ. 83 (2026) 102591] “环境绩效与制度质量：贝叶斯模型平均方法”[j]。点。j .经济学。金融。83 (2026)102591]
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-07-01 Epub Date: 2026-06-06 DOI: 10.1016/j.najef.2026.102666
Alessandra Canepa, Bogdan Dima
{"title":"Corrigendum to “Environmental performance and institutions quality in Europe: A Bayesian model averaging approach” [N. Am. J. Econ. Financ. 83 (2026) 102591]","authors":"Alessandra Canepa,&nbsp;Bogdan Dima","doi":"10.1016/j.najef.2026.102666","DOIUrl":"10.1016/j.najef.2026.102666","url":null,"abstract":"","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"85 ","pages":"Article 102666"},"PeriodicalIF":3.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148523633","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Good and bad cojump dynamics: A network modeling perspective 好的和坏的共跳动力学：一个网络建模的视角
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-07-01 Epub Date: 2026-06-13 DOI: 10.1016/j.najef.2026.102669
Wenjing Xia, Wuyi Ye, Yi Zhou
{"title":"Good and bad cojump dynamics: A network modeling perspective","authors":"Wenjing Xia,&nbsp;Wuyi Ye,&nbsp;Yi Zhou","doi":"10.1016/j.najef.2026.102669","DOIUrl":"10.1016/j.najef.2026.102669","url":null,"abstract":"<div><div>This study examines cojump dynamics through network modeling, analyzing both positive and negative cojumps using 5-min high-frequency data from 194 stocks within the CIS 300 index. We apply eigenvector centrality to identify key stocks within these networks and utilize community detection method to classify clusters of stocks exhibiting similar cojump patterns. The findings indicate that negative cojump network demonstrates stronger inter-stock linkages, identifies the most influential stocks in finance and real estate sectors, and exhibits greater community intensity compared to the positive cojump network. Portfolios constructed using negative cojump rankings achieve higher Sharpe ratios than those based on positive cojump networks, and the integrating of negative cojump community information further improves return predictions. Overall, these insights underscore the vital role of negative cojump dynamics in optimizing investment strategies and strengthening risk management.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"85 ","pages":"Article 102669"},"PeriodicalIF":3.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148523728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Spillover and predictability of volatility of 50 major cryptocurrencies: Evidence from a LASSO-regularized Quantile VAR 50种主要加密货币波动性的外溢性和可预测性：来自lasso正则化分位数VAR的证据
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-07-01 Epub Date: 2026-06-19 DOI: 10.1016/j.najef.2026.102668
Giovanni Bonaccolto, Sayar Karmakar, Elie Bouri, Rangan Gupta
{"title":"Spillover and predictability of volatility of 50 major cryptocurrencies: Evidence from a LASSO-regularized Quantile VAR","authors":"Giovanni Bonaccolto,&nbsp;Sayar Karmakar,&nbsp;Elie Bouri,&nbsp;Rangan Gupta","doi":"10.1016/j.najef.2026.102668","DOIUrl":"10.1016/j.najef.2026.102668","url":null,"abstract":"<div><div>Previous studies examine spillover effects across the volatility of several cryptocurrencies in the mean or across quantiles without addressing the issue of high dimensionality. Using a large dataset of 50 cryptocurrencies, we employ a LASSO-regularized Quantile VAR framework and show that spillover effects differ across low, medium, and high volatility regimes, especially when evaluated dynamically over time, with sharp increases around tail events such as the war in Ukraine. Importantly, we demonstrate that the LASSO-QVAR model delivers statistically significant forecasting improvements over its univariate counterpart, underscoring the role of interconnectedness in enhancing volatility prediction across cryptocurrencies.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"85 ","pages":"Article 102668"},"PeriodicalIF":3.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148523731","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The relief rally: A ninety-year event study of positive market reactions to U.S. Bank failures 缓解反弹：对美国银行倒闭后市场积极反应的90年事件研究
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-07-01 Epub Date: 2026-06-20 DOI: 10.1016/j.najef.2026.102675
Chris L. Manfre
{"title":"The relief rally: A ninety-year event study of positive market reactions to U.S. Bank failures","authors":"Chris L. Manfre","doi":"10.1016/j.najef.2026.102675","DOIUrl":"10.1016/j.najef.2026.102675","url":null,"abstract":"<div><div>This paper examines equity market reactions to U.S. bank failures over a 90-year horizon (1934–2024). Utilizing event study methodology on the Dow Jones Industrial Average and S&amp;P 500, we analyze the transition from historical contagion patterns to modern systemic risks. Our findings reveal a historical “relief rally” phenomenon, where bank failure announcements were followed by counterintuitively positive cumulative abnormal returns, despite significant increases in market volatility. However, cross-sectional regression analysis demonstrates a structural shift in the modern era: market sensitivity has evolved significantly, with recent failures precipitating more severe and persistent negative drags on the broader indices. By controlling for bank funding structures, event clustering, and broader market momentum, this research identifies a measurable increase in systemic interconnectivity. These results offer a nuanced understanding of how regulatory shifts and investor psychology have transformed the impact of bank failures on the modern financial landscape.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"85 ","pages":"Article 102675"},"PeriodicalIF":3.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148523629","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Judicial uncertainty and the cost of debt: evidence from Italian SMEs 司法不确定性与债务成本：来自意大利中小企业的证据
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-07-01 Epub Date: 2026-06-24 DOI: 10.1016/j.najef.2026.102670
G. Falavigna, R. Ippoliti, G.B. Ramello
{"title":"Judicial uncertainty and the cost of debt: evidence from Italian SMEs","authors":"G. Falavigna,&nbsp;R. Ippoliti,&nbsp;G.B. Ramello","doi":"10.1016/j.najef.2026.102670","DOIUrl":"10.1016/j.najef.2026.102670","url":null,"abstract":"<div><div>This study investigates the relationship between judicial quality and firms’ cost of debt in the Italian SME sector. Drawing on firm-level data from 2015 to 2019, we estimate interest expense ratios for manufacturing SMEs and assess how they are influenced by the efficiency of local courts in enforcing credit rights.</div><div>Controlling firm-level risk factors — including financial health, innovation activity, and internationalization — we find a robust positive relation between judicial inefficiency and higher borrowing costs. Specifically, a 10% increase in judicial delay is associated with an increase of approximately 0.024 percentage points in the interest expense ratio. Further analysis reveals that the effect varies across debt maturity structures, with longer-term financing mitigating the impact of judicial inefficiency.</div><div>Overall, these findings highlight the role of institutional quality in shaping firms’ access to external finance and underscore the importance of judicial efficiency for financial market outcomes.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"85 ","pages":"Article 102670"},"PeriodicalIF":3.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148523630","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Predictive influence of Reddit sentiment on AI and tech moguls for digital financial assets: evidence from KAN and DES methodology Reddit情绪对人工智能和科技巨头对数字金融资产的预测影响：来自KAN和DES方法的证据
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-07-01 Epub Date: 2026-06-21 DOI: 10.1016/j.najef.2026.102672
Indranil Ghosh, Esteban Alfaro-Cortés, Matías Gámez, Noelia García-Rubio
{"title":"Predictive influence of Reddit sentiment on AI and tech moguls for digital financial assets: evidence from KAN and DES methodology","authors":"Indranil Ghosh,&nbsp;Esteban Alfaro-Cortés,&nbsp;Matías Gámez,&nbsp;Noelia García-Rubio","doi":"10.1016/j.najef.2026.102672","DOIUrl":"10.1016/j.najef.2026.102672","url":null,"abstract":"<div><div>The underlying research aims to uncover the predictive influence of Reddit sentiment on technological frontiers and leaders on the market outlook and volatility of cryptocurrency, nonfungible tokens, and metaverse assets. To accomplish the endeavors, the present study extracts relevant sentiment dimensions of user discussions on the Reddit platform on six keywords, ’Chat GPT’, ’Google Gemini’, ’Microsoft Copilot’, ’Elon Musk’, ’Mark Zuckerberg’, and ’Jeff Bezos’. The impact of the said indicators on the daily closing prices of Bitcoin, Decentraland, and Enjin and German-Klass volatility estimate of the same is mined through the methodological lens of predictive analytics. The Kolmogorov-Arnold Neural Network and Dynamic Ensemble Selection-based regression models are utilized to critically introspect the predictive dependence. Finally, Explainable Artificial Intelligence tools are invoked to interpret the prediction model to infer the relative influence of extracted sentiment features. Overall, the findings suggest that Reddit sentiment indicators, especially those linked to “Google Gemini” and “Elon Musk,” contain comparatively stronger predictive information for the selected digital financial assets during a period overlapping with major geopolitical conflicts.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"85 ","pages":"Article 102672"},"PeriodicalIF":3.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148523628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The effects of interbank market on central bank digital currency and transmission of monetary policy 银行间市场对央行数字货币及货币政策传导的影响
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-07-01 Epub Date: 2026-06-22 DOI: 10.1016/j.najef.2026.102671
Bayarmaa Adiya, Yuan Dong
{"title":"The effects of interbank market on central bank digital currency and transmission of monetary policy","authors":"Bayarmaa Adiya,&nbsp;Yuan Dong","doi":"10.1016/j.najef.2026.102671","DOIUrl":"10.1016/j.najef.2026.102671","url":null,"abstract":"<div><div>In this paper, we examine the transmission mechanism of central bank digital currency (CBDC) in an economy with heterogeneous banks and an interbank market, using a New Keynesian DSGE framework. Our findings show that the interbank market amplifies monetary policy shocks compared to a baseline scenario where the interbank market is absent or non-functional. Within the interbank setting, whether CBDC acts as a substitute for, or a complement to bank deposits plays a crucial role in either dampening or amplifying the transmission of monetary policy shocks in the presence of liquidity shocks and interbank market. Furthermore, we find that the presence of liquidity shocks is critical in shaping outcomes in the presence of an interbank market.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"85 ","pages":"Article 102671"},"PeriodicalIF":3.8,"publicationDate":"2026-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"148523627","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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