North American Journal of Economics and Finance最新文献

Spillover effects of clean energy risks and the impacts of economic policy uncertainty on the stability of the equity market: A dependence dynamics analysis 清洁能源风险溢出效应与经济政策不确定性对股票市场稳定性的影响：依赖动态分析

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-24 DOI: 10.1016/j.najef.2025.102475

Ching-Chi Hsu , Wei-Che Tsai

{"title":"Spillover effects of clean energy risks and the impacts of economic policy uncertainty on the stability of the equity market: A dependence dynamics analysis","authors":"Ching-Chi Hsu , Wei-Che Tsai","doi":"10.1016/j.najef.2025.102475","DOIUrl":"10.1016/j.najef.2025.102475","url":null,"abstract":"<div><div>This study investigates the spillover effects of clean energy risks and economic policy uncertainty on the stability of the equity market. We use dependence dynamics through copulas with regime switching to analyze the dependence pattern of the spillover effects and the stability of the equity market. The dependence dynamics model results reveal the existence of asymmetric dependence between these factors, with the impact of the spillover effect on the stability of the equity market being more pronounced in the high-dependence regime. To test our findings, we formulate an investment strategy to facilitate an investigation of investment efficiency and profitability. Our performance test results confirm that our investment strategy outperforms, producing a high ratio of investment efficiency. Our research indicates that an unstable economic policy environment can increase clean energy risks, ultimately having spillover effects on the stability of the equity market. Our study provides references for policy regulators to design or adjust their energy policies and a guide for investors to make strategic investment decisions to avoid clean energy risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102475"},"PeriodicalIF":3.8,"publicationDate":"2025-05-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144178756","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

Tail risk spillover and systemic importance among fossil energy markets: Evidence from china 化石能源市场尾部风险溢出与系统性重要性：来自中国的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-23 DOI: 10.1016/j.najef.2025.102461

Huike Zheng, Chiyuan Gao, Jing Deng

引用次数: 0

Strategic information asymmetry in tail-risk markets 尾部风险市场中的战略信息不对称

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-22 DOI: 10.1016/j.najef.2025.102460

Omid M. Ardakani

引用次数: 0

Calendar effects on returns, volatility and higher moments: Evidence from crypto markets 日历对回报、波动性和更高时刻的影响：来自加密市场的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-22 DOI: 10.1016/j.najef.2025.102441

Bernardina Algieri , Kokulo K. Lawuobahsumo , Arturo Leccadito , Iliess Zahid

引用次数: 0

The impact of audit fees and auditor tenure on company valuation: An analysis of large U.S. audit firms 审计费用和审计师任期对公司估值的影响：对美国大型审计公司的分析

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-21 DOI: 10.1016/j.najef.2025.102467

José Manuel Santos-Jaén , María del Carmen Valls Martínez , Gema Martín de Almagro Vázquez , Ana León-Gómez

{"title":"The impact of audit fees and auditor tenure on company valuation: An analysis of large U.S. audit firms","authors":"José Manuel Santos-Jaén , María del Carmen Valls Martínez , Gema Martín de Almagro Vázquez , Ana León-Gómez","doi":"10.1016/j.najef.2025.102467","DOIUrl":"10.1016/j.najef.2025.102467","url":null,"abstract":"<div><div>This study aims to investigate the impact of audit fees and auditor tenure on company valuation, focusing on large U.S. audit firms. It examines how these factors influence firm value as measured by Tobin’s Q, providing insights into the broader implications of financial governance practices on investor perceptions and market dynamics. The research employs a panel data regression methodology and the generalized method of moments (GMM) to analyze data from companies included in the S&P 500 index over the period 2012 to 2021. This approach allows for robust statistical analysis and controls for potential autocorrelation and heteroscedasticity issues in the dataset. The findings indicate that auditor tenure does not have a statistically significant impact on corporate value. This suggests that the length of the audit engagement, in isolation, may not materially influence how investors perceive the reliability of financial reports. However, lower audit fees may indicate efficient cost management, which is positively perceived by the market. This study contributes to the auditing literature by providing empirical evidence on the relationship between auditor tenure, audit fees, and company valuation. It highlights the importance of implementing efficient audit fee structures to enhance firm value, offering practical implications for corporate governance and policy formulation. By demonstrating the positive impact of audit practices on firm value, this study underscores the broader social benefit of financial transparency and integrity, fostering a trustworthy investment environment and contributing to the overall health of the economy. Auditing is increasingly essential in company valuation as it underpins financial integrity and transparency, creating a trustworthy and secure environment for investors that improves the company’s value in the market.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"79 ","pages":"Article 102467"},"PeriodicalIF":3.8,"publicationDate":"2025-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144125204","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

Network volatility, contagion, and two-pillar policies: Insights from Chinese financial sector data 网络波动、传染和双支柱政策：来自中国金融部门数据的见解

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-21 DOI: 10.1016/j.najef.2025.102449

Xiaoyuan Zhang, Hang You

引用次数: 0

The effect of compound heat-drought risk on municipal corporate bonds pricing: Evidence from China 复合热旱风险对市政公司债券定价的影响：来自中国的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-19 DOI: 10.1016/j.najef.2025.102462

Ziqi Lei , Ping Li , Yujing Wang

引用次数: 0

Hedging downside risk for REITs 对冲房地产投资信托基金的下行风险

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-18 DOI: 10.1016/j.najef.2025.102463

Jian Zhou

引用次数: 0

Multidimensional risk contagions in commodity markets: A multi-layer information networks method 商品市场的多维风险传染：一个多层信息网络方法

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-16 DOI: 10.1016/j.najef.2025.102457

Zongrun Wang, Huan Zhu, Yunlong Mi

{"title":"Multidimensional risk contagions in commodity markets: A multi-layer information networks method","authors":"Zongrun Wang, Huan Zhu, Yunlong Mi","doi":"10.1016/j.najef.2025.102457","DOIUrl":"10.1016/j.najef.2025.102457","url":null,"abstract":"<div><div>To explore multidimensional risk contagion in the commodity futures markets, this study constructs a multilayer information spillover network that includes the extreme risk spillover layer, the volatility spillover layer, and the return spillover layer. This multilayer network is constructed based on the LASSO-VAR-DY model. The topological characteristics of multi-layer networks are measured to examine both system and market levels from static and dynamic perspectives. This study finds that the risk transmission patterns in the commodity markets exhibit dynamic characteristics and experience significant fluctuations under the influence of major economic events. Structural differences exist in the risk spillover patterns across different layers. In the long term, the return layer demonstrates greater uniqueness, whereas in the short term, the volatility layer serves as a key channel for risk transmission. The propagation of extreme risk is likely driven by the combined effects of returns and volatility. Furthermore, Brent crude oil, WTI, fuel oil consistently act as major risk transmitters and receivers across all layers. The global financial crisis and the COVID-19 pandemic had the most pronounced impact on the multilayer risk spillover network in the commodity markets, leading to increased network homogenization. In addition to traditional safe-haven assets such as gold and natural gas, certain agricultural commodities—including orange juice, lean hogs, rough rice, coffee, and cocoa—also exhibited independence during these crises.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"79 ","pages":"Article 102457"},"PeriodicalIF":3.8,"publicationDate":"2025-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144089886","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

Risk transmission between oil price shocks and major equity indices across bull and bear markets over various time horizons 不同时期牛市和熊市中油价冲击与主要股指之间的风险传导

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-05-14 DOI: 10.1016/j.najef.2025.102459

Walid Mensi , Mariya Gubareva , Tamara Teplova

{"title":"Risk transmission between oil price shocks and major equity indices across bull and bear markets over various time horizons","authors":"Walid Mensi , Mariya Gubareva , Tamara Teplova","doi":"10.1016/j.najef.2025.102459","DOIUrl":"10.1016/j.najef.2025.102459","url":null,"abstract":"<div><div>Interrelations among oil shocks and equity markets at extreme and median quantiles are examined by means of the cross-spectral quantile technique and quantile vector auto-regression analysis. It is shown that the developed markets (oil shocks and emerging markets) are consistent net transmitters (receivers) across all quantiles, whereas the intensity of the interlinkages depends upon bearish, bullish, or side trending market states and, also, upon short, intermedium-, or long-run investment perspectives. Oil shock connectedness with stocks is strong at extreme market states but diminishes for medium quantiles corresponding to normal market conditions. However, our pairwise connectedness analysis reveals that the network topology of the oil-stock connectedness is resilient to the changes in market conditions, implying that the hedging strategies, designed for normal markets, are supposed to be workable during the boom and bust phases too. Moreover, the results show that spillovers vary substantially along the time and highlight the COVID-19-triggered alteration in the diversification potential of international stocks. Our research provides guiding implications to investors, portfolio managers, and market regulators regarding identification of diversification opportunities and intensity of contagion in financial markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"79 ","pages":"Article 102459"},"PeriodicalIF":3.8,"publicationDate":"2025-05-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144089885","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