North American Journal of Economics and Finance最新文献

Impact of climate change on dynamic tail-risk connectedness among stock market social sectors: Evidence from the US, Europe, and China

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-26 DOI: 10.1016/j.najef.2024.102319

Yufei Cao

{"title":"Impact of climate change on dynamic tail-risk connectedness among stock market social sectors: Evidence from the US, Europe, and China","authors":"Yufei Cao","doi":"10.1016/j.najef.2024.102319","DOIUrl":"10.1016/j.najef.2024.102319","url":null,"abstract":"<div><div>This paper studies the impact of climate change risk (including physical and transition risk) on the tail-risk connectedness among ten stock market social sectors in the US, Europe and China. To this end, we first combine ARMA-GJR-GARCH models with a time-varying parameter autoregression (TVP-VAR) approach to examine the transmission of tail-risk among sectors. Then, we use predictive regression models to examine the contribution of climate change to tail-risk spillovers. Over the sample period from January 2013 to September 2023, we obtain two main results. First, the COVID-19 epidemic has resulted in significantly greater losses for social sectors in the US and Europe than for those in China. Additionally, the industrial sector is a common source of tail-risk shocks across all three economies. Second, physical risk contributes to higher overall and directional tail-risk connectedness, while an increase in transition risk has the opposite effect on both. However, the impact of physical and transition risk on the net tail-risk connectedness for each sector shows both positive and negative effects. Our findings indicate that physical and transition risk have different effects on tail-risk connectedness among social sectors.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102319"},"PeriodicalIF":3.8,"publicationDate":"2024-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142746644","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

Financial regulatory policy uncertainty: An informative predictor for financial industry stock returns

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-26 DOI: 10.1016/j.najef.2024.102321

Yaojie Zhang , Xinyi Zhao , Zhikai Zhang

引用次数: 0

A multifaceted graph-wise network analysis of sector-based financial instruments’ price-based discrepancies with diverse statistical interdependencies

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-22 DOI: 10.1016/j.najef.2024.102316

Insu Choi, Woo Chang Kim

引用次数: 0

Which opinion is more trustworthy: An analysts’ earnings forecast quality assessment framework based on machine learning 哪种观点更值得信赖？基于机器学习的分析师盈利预测质量评估框架

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-22 DOI: 10.1016/j.najef.2024.102318

Yingying Song , Xinxin Chen

{"title":"Which opinion is more trustworthy: An analysts’ earnings forecast quality assessment framework based on machine learning","authors":"Yingying Song , Xinxin Chen","doi":"10.1016/j.najef.2024.102318","DOIUrl":"10.1016/j.najef.2024.102318","url":null,"abstract":"<div><div>Analysts’ Earnings Forecast (AEF) is a crucial reference in investment decision-making and significantly impact capital market efficiency. While much research has focused on the factors influencing AEF, the variability and disparity in its quality have often been overlooked. This study presents a machine learning (ML)-based framework for assessing and forecasting AEF quality, including multi-perspective feature generation, rank aggregation-based heterogeneous ensemble feature selection, and quality forecasting. We validate this framework on a real-world dataset and use an explainable approach to identify the key features affecting AEF quality from a data-driven perspective. Our analyses reveal the unique characteristics of the China’s A-share market in terms of AEF quality forecasting and investigate the sensitivity of feature combinations from the perspectives of state ownership and industry. On the basis of our assessment, we develop an investment strategy to demonstrate economic value. Our findings offer insights for regulators and brokerage houses, helping investors mitigate the risks associated with low-quality opinions.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102318"},"PeriodicalIF":3.8,"publicationDate":"2024-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142723841","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

Volatility estimation through stochastic processes: Evidence from cryptocurrencies 通过随机过程估算波动率：加密货币的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-21 DOI: 10.1016/j.najef.2024.102320

Murad Harasheh , Ahmed Bouteska

引用次数: 0

Does economic policy uncertainty matter to corporate default probability? findings from theoretic analyses and China’s listed firms 经济政策的不确定性对企业违约概率有影响吗？来自理论分析和中国上市公司的结论

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-16 DOI: 10.1016/j.najef.2024.102313

Junrong Liu , Guoying Deng , Jingzhou Yan , Shibo Ma

{"title":"Does economic policy uncertainty matter to corporate default probability? findings from theoretic analyses and China’s listed firms","authors":"Junrong Liu , Guoying Deng , Jingzhou Yan , Shibo Ma","doi":"10.1016/j.najef.2024.102313","DOIUrl":"10.1016/j.najef.2024.102313","url":null,"abstract":"<div><div>This paper conducts a theoretical–empirical study to investigate the nexus between economic policy uncertainty (EPU) and corporate default probability (CDP) and documents a significant and positive impact of EPU on CDP, which is validated through rigorous robustness tests and local project estimations. The study also reports that the increasing term structure of bond maturity aggravates the impact of EPU on CDP systematically. Our findings pronounce that EPU brings about the erosion of firm financing capacity, management quality deterioration, lowered stock liquidity, and corporate sentimental depression, providing an effective conducting mechanism to breed an increase in CDP. Additionally, state ownership, high technology, and internationalization curtail the CDP-increasing effect of EPU, and the same in the manufacturing sector. Whereas, this effect is intensified in non-state-owned, low-tech, service, and non-internationalized enterprises. We also highlight that EPU can robustly predict in the subsequent 2 years. This study suggests that the corporate financial position well reflects EPU and the relevant stakeholders, both governments and firms, may improve financial risk management by considering EPU and the attribute of its impacting CDP.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102313"},"PeriodicalIF":3.8,"publicationDate":"2024-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142698315","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

Spatial linkages of positive feedback trading among the stock index futures markets 股指期货市场间正反馈交易的空间联系

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-15 DOI: 10.1016/j.najef.2024.102315

Shuxi Tian , Shuyi Liu , Lijie Mu

引用次数: 0

ESG rating and default risk: Evidence from China ESG评级与违约风险：来自中国的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-15 DOI: 10.1016/j.najef.2024.102314

Huihui Li, Yonghong Hu

{"title":"ESG rating and default risk: Evidence from China","authors":"Huihui Li, Yonghong Hu","doi":"10.1016/j.najef.2024.102314","DOIUrl":"10.1016/j.najef.2024.102314","url":null,"abstract":"<div><div>Based on the data of Chinese A-share listed companies from 2009 to 2022, this study constructs a bivariate panel vector autoregression (PVAR) model to examine the dynamic equilibrium relationship between default risk and environmental, social, and governance (ESG) performance and its individual dimensions. Results indicate that ESG performance and corporate stability exhibit growth inertia and self-reinforcing mechanisms, with overall ESG performance significantly mitigating default risk. Although no bidirectional causality was found between environmental and governance performance and default risk, corporate stability positively impacts both over time. The findings indicate a synergistic relationship between social performance and default risk, in which strong social performance helps mitigate default risk. Financial stability encourages companies to engage in social responsibility initiatives. Heterogeneity analysis demonstrates that the mitigating effects of ESG performance on default risk are more pronounced for non-state-owned enterprises (non-SOEs) and small- and medium-sized enterprises (SMEs). Social responsibility and corporate governance are more significant in enhancing financial stability in manufacturing firms. These findings provide valuable insights for investors and policymakers in mitigating default risks while promoting the development of green finance.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102314"},"PeriodicalIF":3.8,"publicationDate":"2024-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142658406","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

Decoding the stock market dynamics in the banking sector: Short versus long-term insights 解密银行业的股市动态：短期与长期见解

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-13 DOI: 10.1016/j.najef.2024.102311

Barbara Čeryová, Peter Árendáš

{"title":"Decoding the stock market dynamics in the banking sector: Short versus long-term insights","authors":"Barbara Čeryová, Peter Árendáš","doi":"10.1016/j.najef.2024.102311","DOIUrl":"10.1016/j.najef.2024.102311","url":null,"abstract":"<div><div>The severity of extreme fluctuations and crises within the global banking sector is escalating. Conventional models, operating on a single time scale, may misinterpret any shift as a change in the long-term trend, distorting market insights. To address this issue, the present paper introduces a hierarchical structure into the standard hidden Markov model, enabling the differentiation of short and long-term trends within the U.S. banking industry. Using NASDAQ Bank stock market index data from January 1, 2007, to July 31, 2023 at two different frequencies, we construct and evaluate different calibrations of the hierarchical hidden Markov model. Results reveal two long-term regimes: turbulent periods with high volatility, instability, and negative returns, and prevalent stable markets. Within each of them, two distinct states representing short-term trends are identified, exhibiting significant differences in persistence, likelihood, expected returns, and risk profiles. The results show that an investor should carefully differentiate between regimes on both hierarchies to make informed investment decisions.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102311"},"PeriodicalIF":3.8,"publicationDate":"2024-11-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142658405","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

Static and dynamic return and volatility connectedness between transportation tokens and transportation indices: Evidence from quantile connectedness approach 交通代币与交通指数之间的静态和动态收益率与波动率关联性：量化关联性方法的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-11-10 DOI: 10.1016/j.najef.2024.102312

Erkan Ustaoglu

{"title":"Static and dynamic return and volatility connectedness between transportation tokens and transportation indices: Evidence from quantile connectedness approach","authors":"Erkan Ustaoglu","doi":"10.1016/j.najef.2024.102312","DOIUrl":"10.1016/j.najef.2024.102312","url":null,"abstract":"<div><div>The aim of the study is to examine the return and volatility connectedness between transportation tokens and transportation stock indices. Since the QVAR model is used in the study, we can obtain information about the return and volatility connectedness between assets not only under normal market conditions but also under extreme market conditions. The return and volatility spillovers between transportation tokens and transportation stock indices are time-varying and also vary under different market conditions. Under normal market conditions, transportation tokens and transportation indices are largely unconnected. The return connectedness between the assets increases significantly during extreme market downturns and upturns, with similar increases in volatility connectedness during periods of extreme volatility. Return and volatility connectedness between assets are affected by extreme events such as COVID-19, the Russia–Ukraine war, and the collapse of the cryptocurrency market. The study investigates the determinants of total return and volatility connectedness between transportation tokens and transportation stock indices. It is found that EPU, GVZ, VIX, and crises are significant determinants affecting the return and volatility connectivity between transportation tokens and transportation stock indices across all market conditions. The results are significant for strategies to be implemented by investors and portfolio managers.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102312"},"PeriodicalIF":3.8,"publicationDate":"2024-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142658402","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