North American Journal of Economics and Finance最新文献_第2页

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

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

Multiscale tail risk integration between safe-haven assets and Africa’s emerging equity market 避险资产与非洲新兴股票市场之间的多尺度尾部风险整合

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-09-30 DOI: 10.1016/j.najef.2024.102294

Dan Owusu Amponsah , Mohammad Abdullah , Emmanuel Joel Aikins Abakah , Joshua Yindenaba Abor , Chi-Chuan Lee

{"title":"Multiscale tail risk integration between safe-haven assets and Africa’s emerging equity market","authors":"Dan Owusu Amponsah , Mohammad Abdullah , Emmanuel Joel Aikins Abakah , Joshua Yindenaba Abor , Chi-Chuan Lee","doi":"10.1016/j.najef.2024.102294","DOIUrl":"10.1016/j.najef.2024.102294","url":null,"abstract":"<div><div>This study examines the multiscale tail risk integration between safe-haven assets and top equity markets in Africa (South Africa, Kenya, Egypt, Ghana, Nigeria, Botswana, Zambia, and Morocco) as well as portfolio implications. We further investigate the role of global economic factors in these relationships by employing Conditional Autoregressive Value at Risk and Complete Ensemble Empirical Mode Decomposition with Adaptive Noise-based TVP-VAR with data spanning from January 2010 to September 2024. Our findings show that while the equity market in South Africa is a net transmitter of tail risk spillovers, the rest of the equity markets are net receivers. They also reveal that while gold and silver transmit significant shocks to the other assets, Bitcoin receives considerable shocks from the other assets. We conclude that global economic factors and spillovers from safe-haven assets significantly affect the tail risk exposures of Africa’s equity markets. Our findings have significant implications for investment decision-making.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102294"},"PeriodicalIF":3.8,"publicationDate":"2024-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425749","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

Introducing a novel fragility index for assessing financial stability amid asset bubble episodes 引入新的脆弱性指数，评估资产泡沫事件中的金融稳定性

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-09-24 DOI: 10.1016/j.najef.2024.102291

Radu Lupu , Adrian Cantemir Călin , Dan Gabriel Dumitrescu , Iulia Lupu

{"title":"Introducing a novel fragility index for assessing financial stability amid asset bubble episodes","authors":"Radu Lupu , Adrian Cantemir Călin , Dan Gabriel Dumitrescu , Iulia Lupu","doi":"10.1016/j.najef.2024.102291","DOIUrl":"10.1016/j.najef.2024.102291","url":null,"abstract":"<div><div>This paper is devoted to the development of an innovative fragility index designed to capture comprehensively the dynamics of financial stability during periods characterized by asset bubbles. Utilizing a multifaceted methodological framework, the study begins by identifying bubble occurrences and calculating the delta CoVaR systemic risk metric. Building on established macroeconomic methodologies, we then propose an indicator to quantify the impact of financial bubbles on the stability of an emerging market. Specifically, we construct two coincident indicators based on daily observations of financial stability for the twenty most liquid Romanian companies. The first indicator is derived from the delta CoVaR values of these companies, while the second is computed using the residuals of a model that employs the same financial stability metric as the dependent variable, with a binary variable representing the presence of asset bubbles as the explanatory factor. This second coincident indicator tracks financial stability in the absence of bubble effects. The disparity between these two indicators forms the basis for the creation of an index, termed the “bubble fragility index,” which measures the overall susceptibility of financial stability to asset bubbles. In the context of the Romanian market, this study demonstrates that periods marked by asset bubbles are associated with elevated systemic risks. Our findings indicate that the presence of bubbles significantly intensifies financial risk factors, creating conditions conducive to severe market corrections and economic downturns. We identify specific intervals during which fragility reaches peak levels, including June to September 2018, December 2018 to March 2019, March 2020, and March 2022.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"75 ","pages":"Article 102291"},"PeriodicalIF":3.8,"publicationDate":"2024-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142425748","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

ESG risk, economic policy uncertainty, and the downside risk: Evidence from US firms 环境、社会和公司治理风险、经济政策不确定性和下行风险：来自美国公司的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-09-24 DOI: 10.1016/j.najef.2024.102293

Chia-Hsien Tang , Hung-Chun Liu , Yen-Hsien Lee , Yuan-Teng Hsu

引用次数: 0