North American Journal of Economics and Finance最新文献_第10页

Impact of government’s support policy on decision-making of platform participants under ESG 政府支持政策对 ESG 平台参与者决策的影响

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-24 DOI: 10.1016/j.najef.2024.102303

Renzhong Li , Chen Fei , Weiyin Fei

{"title":"Impact of government’s support policy on decision-making of platform participants under ESG","authors":"Renzhong Li , Chen Fei , Weiyin Fei","doi":"10.1016/j.najef.2024.102303","DOIUrl":"10.1016/j.najef.2024.102303","url":null,"abstract":"<div><div>Blockchain-based token platform economy is a new branch of digital platform economics. Constructing a continuous time dynamic model of token platform economy, this paper analyzes what kind of ESG policy is appropriate for the government, meanwhile the token platform participants (developers, users and speculators) make optimal investments and decisions under ESG policy. Simulation result shows neutral ESG policy is optimal. Based on the given neutral ESG policy, we have done the research on ESG investment and decision strategies for platform participants. Our research shows that the tokens selling rate and efforts of green platform (ESG score greater than 0) developers are lower than the ones of brown platform (ESG score less than 0). Consequently, when developers’ token retention is about half of the initial amount, users should invest more brown tokens. Speculators should invest brown tokens for developers’ high token retention. Green token investments of speculators and users are needed in other cases. Next, the impact of the government’s three ESG policies on the maturity or termination of the platform also been analyzed. An important conclusion occurred: the government’s aggressive or conservative ESG policy cannot make the development of the green platform better; Therefore, we suggest a neutral ESG policy which means that the government could adopt high tax incentive and high tax burden on the green and brown platform while it is not necessary to implement the extra subsidy and punishment policy on the green and brown platform.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102303"},"PeriodicalIF":3.8,"publicationDate":"2024-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142658401","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 effect of consumer willingness to pay on enterprises’ decisions about adopting low-carbon technology 消费者支付意愿对企业采用低碳技术决策的影响

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-19 DOI: 10.1016/j.najef.2024.102301

Yantao Ling , Yan Han , Qingzhong Ren , Jing Xu , Mengqiu Cao , Xing Gao

{"title":"The effect of consumer willingness to pay on enterprises’ decisions about adopting low-carbon technology","authors":"Yantao Ling , Yan Han , Qingzhong Ren , Jing Xu , Mengqiu Cao , Xing Gao","doi":"10.1016/j.najef.2024.102301","DOIUrl":"10.1016/j.najef.2024.102301","url":null,"abstract":"<div><div>There is no ‘one size fits all’ product strategy for the ‘green’ market. Although prior studies have explored the influence of consumer environmental awareness on decisions pertaining to green production, further investigation is required regarding the impact of consumer willingness to pay (WTP) on green technology choices and product design, and the ongoing debate about the environmental consequences of both firm and consumer behaviour. This study aims to explore strategies adopted by an enterprise intending to introduce a green product. Utilising optimisation methodology, we investigate the strategies employed for introducing green products, considering pivotal factors such as consumers’ WTP, variable costs, the research costs associated with green technology, and the constraints imposed by the level of green technology. Our research investigates the strategies for introducing, and the optimal pricing of, green products, outlining the impact of the aforementioned factors on the market penetration of green products and company profits. Additionally, this research further explores the impact of consumers’ WTP and enterprises’ use of eco-friendly materials on environmental quality. The results indicate that the strategies for launching green products and the impact of eco-friendly materials on environmental quality depend on the enterprise’s technological parameters and consumers’ WTP. The findings suggest that the market penetration rate of green products increases in line with consumers’ WTP and the level of greenness of products, while higher research costs will decrease the penetration rate of green products. This research contributes to the field of green innovation by showcasing how enterprises make decisions about production and green technology innovation.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102301"},"PeriodicalIF":3.8,"publicationDate":"2024-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142587170","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

Stock market volatility and multi-scale positive and negative bubbles 股市波动与多尺度正负泡沫

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-16 DOI: 10.1016/j.najef.2024.102300

Rangan Gupta , Jacobus Nel , Joshua Nielsen , Christian Pierdzioch

{"title":"Stock market volatility and multi-scale positive and negative bubbles","authors":"Rangan Gupta , Jacobus Nel , Joshua Nielsen , Christian Pierdzioch","doi":"10.1016/j.najef.2024.102300","DOIUrl":"10.1016/j.najef.2024.102300","url":null,"abstract":"<div><div>We study whether booms and busts in the stock market of the United States (US) drives its volatility. Given this, first, we employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to identify both positive and negative bubbles in the short-, medium, and long-term. We successfully detect major crashes and rallies during the weekly period from January 1973 to December 2020. Second, we utilize a nonparametric causality-in-quantiles approach to analyze the predictive impact of our bubble indicators on daily data-based weekly realized volatility (<em>RV</em>). This econometric framework allows us to circumvent potential misspecification due to nonlinearity and instability, rendering the results of weak causal influence derived from a linear framework invalid. The MS-LPPLS-CIs reveal strong evidence of predictability for <em>RV</em> over its entire conditional distribution. We observe relatively stronger impacts for the positive bubbles indicators, with our findings being robust to an alternative metric of volatility, namely squared returns, and weekly realized volatilities derived from 5 (<em>RV5</em>)- and 10 (RV10)-minutes interval intraday data. Furthermore, we detect evidence of predictability for <em>RV5</em> and <em>RV10</em> of nine other developed and emerging stock markets. In addition, we also find strong evidence of causal feedbacks from <em>RV5</em> and <em>RV10</em> on to the MS-LPPLS-CIs of the 10 countries considered. Finally, time-varying connectedness of the <em>RV</em>s of the G7 stock markets is also shown to be strongly (positively) predicted by the connectedness of the six bubbles indicators. Our findings have significant implications for investors and policymakers.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102300"},"PeriodicalIF":3.8,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142535943","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

Unveiling asymmetric return spillovers with portfolio implications among Indian stock sectors during Covid-19 pandemic 揭示科维德-19 大流行病期间印度股票行业的非对称回报溢出效应及投资组合影响

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-16 DOI: 10.1016/j.najef.2024.102297

Aswini Kumar Mishra, Kamesh Anand K, Akhil Venkatasai Kappagantula

{"title":"Unveiling asymmetric return spillovers with portfolio implications among Indian stock sectors during Covid-19 pandemic","authors":"Aswini Kumar Mishra, Kamesh Anand K, Akhil Venkatasai Kappagantula","doi":"10.1016/j.najef.2024.102297","DOIUrl":"10.1016/j.najef.2024.102297","url":null,"abstract":"<div><div>This paper aims to provide a systematic inquiry into the return spillover dynamics between a network of Indian sectoral indices during the pre- and post-pandemic periods. To analyze the same, this paper uses the asymmetric time-varying parameter vector autoregressions (TVP-VAR) framework. Furthermore, in the spirit of Broadstock et al. (2020), we perform dynamic portfolio exercises based on common hedging techniques and the minimum connectedness portfolio approach to determine what better captures asymmetry. Our daily dataset includes 12 sectoral stocks spanning from January 01, 2017, to May 5, 2023. The findings reveal that negative connectedness dominates throughout the sample period, demonstrating that profit-maximizing agents and risk-averse investors are more likely to react negatively to news. We also show that in the network, the average net transmitters are the banking and other financial service sectors, whereas the net receivers are the information technology, pharmaceutical, and fast-moving consumer goods sectors throughout the period under consideration. Our results show that the minimum connectedness portfolio (MCoP) approach is a very useful method based on Sharpe ratios, as it is either the first or second most profitable among these three competing methods. These results, therefore, yield valuable insights for policymakers and investors.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102297"},"PeriodicalIF":3.8,"publicationDate":"2024-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142535942","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

Active portfolio management in the face of ESG uncertainty: An agile framework for adaptive investment strategies 面对环境、社会和治理不确定性的积极投资组合管理：适应性投资战略的敏捷框架

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-14 DOI: 10.1016/j.najef.2024.102295

Limin Wen , Junxue Li , Jiliang Sheng , Yi Zhang

{"title":"Active portfolio management in the face of ESG uncertainty: An agile framework for adaptive investment strategies","authors":"Limin Wen , Junxue Li , Jiliang Sheng , Yi Zhang","doi":"10.1016/j.najef.2024.102295","DOIUrl":"10.1016/j.najef.2024.102295","url":null,"abstract":"<div><div>This paper establishes an active portfolio model that considers corporate Environmental, Social, and Governance (ESG) ratings, examining the impact of ESG information on portfolio performance. Based on the exponential utility function, the paper incorporates ESG scores and ESG risk (uncertainty factors) into active portfolio management and derives the analytical solution of the model. Theoretical findings indicate that ESG risk adjusts the optimal portfolio, helping to mitigate losses due to ESG divergence. The paper conducts empirical research using ESG ratings from three well-known rating agencies and the CSI300 index. The empirical results demonstrate that ESG preferences enhance the ESG quality of the portfolio. Consistent with theoretical predictions, reliance on a single ESG rating may lead to adverse outcomes, especially when the selected rating agency’s standards deviate from market norms. In contrast, portfolios that include ESG uncertainty exhibit higher stability and lower loss risk, showing good robustness across different stages and industries.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102295"},"PeriodicalIF":3.8,"publicationDate":"2024-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142534928","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

Higher order expectations, learning, and sentiment pricing dynamics 高阶预期、学习和情绪定价动态

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-12 DOI: 10.1016/j.najef.2024.102298

Jinfang Li

{"title":"Higher order expectations, learning, and sentiment pricing dynamics","authors":"Jinfang Li","doi":"10.1016/j.najef.2024.102298","DOIUrl":"10.1016/j.najef.2024.102298","url":null,"abstract":"<div><div>We present a dynamic asset pricing model combining individual investor sentiment, higher order expectations with learning. In the basic model, the forward-looking expectation of individual investors is distorted by individual sentiment and higher order expectations, so prices react more sluggishly to changes in fundamentals of the asset. We find that investor sentiment plays a significant role in the effect of higher order expectations on asset pricing. Investor sentiment not only makes the price tightly anchor to the initial price, but also increases the sentiment drift of the price. Higher order expectations exhibit inertia, therefore aggravating the anchor to the initial price. With the increase of the order, more and more investor sentiment is integrated into the prices, amplifying the bias of pubic signal relative to fundamentals. When individual sentiment investors learn valuable public information through price system in the long term, the information component of the equilibrium price increases, thus drawing the asset price back toward the rational expected value. The model could offer a partial explanation to the inertia and drift in the price path.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102298"},"PeriodicalIF":3.8,"publicationDate":"2024-10-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142698311","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

Going Green: Effect of green bond issuance on corporate debt financing costs 走向绿色发行绿色债券对企业债务融资成本的影响

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-11 DOI: 10.1016/j.najef.2024.102299

Qingsong Ruan , Chengyu Li , Dayong Lv , Xiaokun Wei

引用次数: 0

Optimal control problem for hybrid pension plans under longevity risk for alpha-maxmin expected utility minimization 阿尔法-最大最小预期效用最小化的长寿风险下混合养老金计划的最优控制问题

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-09 DOI: 10.1016/j.najef.2024.102285

Ya Chen, Wei Liu, Zhen Zhao

{"title":"Optimal control problem for hybrid pension plans under longevity risk for alpha-maxmin expected utility minimization","authors":"Ya Chen, Wei Liu, Zhen Zhao","doi":"10.1016/j.najef.2024.102285","DOIUrl":"10.1016/j.najef.2024.102285","url":null,"abstract":"<div><div>This paper investigates the problem of portfolio selection and adjustment of hybrid pension plans under longevity risk. The longevity risk is described by a time-varying mortality rate, which is an extension of Markham’s law. Suppose that the financial market assets consist of a risk-free asset, a stock, and a defaultable bond. Specifically, the stock price is described by a constant elasticity of variance (CEV) model. The objective is to minimize interim adjustments to contributions and benefits under an exponential loss function, as well as the loss of terminal wealth. It is difficult for investors to fully understand the market information, so there is uncertainty in the financial market. By applying robust control theory to formulate investors’ aversion to uncertainty, we obtain the <span><math><mi>α</mi></math></span>-robust optimal investment strategies and the adjustment strategies. Finally, numerical analysis is presented to discuss the influence of the model parameters on the <span><math><mi>α</mi></math></span>-robust optimal control strategies.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102285"},"PeriodicalIF":3.8,"publicationDate":"2024-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142535941","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

Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system 中国原油期货与石化相关商品期货的多尺度动态相互依存关系：产业链体系的综合视角

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-04 DOI: 10.1016/j.najef.2024.102296

Jie Yang , Yun Feng , Hao Yang

{"title":"Multiscale dynamic interdependency between China’s crude oil futures and petrochemical-related commodity futures: An integrated perspective from the industry chain system","authors":"Jie Yang , Yun Feng , Hao Yang","doi":"10.1016/j.najef.2024.102296","DOIUrl":"10.1016/j.najef.2024.102296","url":null,"abstract":"<div><div>This paper examines the coupling of China’s petrochemical-related commodity futures from the perspective of an integrated system as well as the multiscale interdependency between this system and Shanghai crude oil futures (SCM) with two globally influential benchmarks, i.e., Brent and WTI, as comparisons. Our methods innovatively build on the multifractal theory and provide in-depth analysis across various time scales. The results show the dynamic coupling of China’s oil industry chain system (ICS) can reflect its level of systemic risk concentration well. The greater the time scale, the stronger the coupling. The abrupt deterioration of the external economic environment enhanced the impact of crude oil on the ICS, but the impact from SCM increased the most. Furthermore, the higher dependency preference of ICS for SCM confirms the effectiveness of this emerging futures market in reflecting domestic oil supply and demand but continuously weakens as the time scale increases, indicating the dominance of Brent and WTI in the long run.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102296"},"PeriodicalIF":3.8,"publicationDate":"2024-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425750","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

Momentum mechanisms under heterogeneous beliefs 异质信念下的动量机制

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-10-01 DOI: 10.1016/j.najef.2024.102262

Yu Yan , Yan Tong , Yiming Wang

引用次数: 0