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

The diminishing marginal effect of the capital adequacy ratio on the control of bank risk-taking 资本充足率对银行风险承担控制的边际效应递减

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-27 DOI: 10.1016/j.najef.2025.102495

Wenlong Miao, Yuxian Ma, Haoran Xu

{"title":"The diminishing marginal effect of the capital adequacy ratio on the control of bank risk-taking","authors":"Wenlong Miao, Yuxian Ma, Haoran Xu","doi":"10.1016/j.najef.2025.102495","DOIUrl":"10.1016/j.najef.2025.102495","url":null,"abstract":"<div><div>Capital adequacy ratio is a crucial instrument for curbing bank risk-taking and plays a pivotal role in maintaining the stability of bank operations and protecting them against unanticipated losses. However, banks are institutions that operate with risk and may have an incentive to take risks in pursuit of high returns, irrespective of their true capital adequacy ratios. To verify the relationship between capital adequacy ratio and bank risk-taking, this study analyzes the actual impact of capital adequacy ratio on bank risk-taking based on data from 330 Chinese commercial banks from 2009 to 2023. The study found that the capital adequacy ratio exhibits a diminishing marginal effect on bank risk-taking. When the capital adequacy ratio is low, increasing the capital adequacy ratio can inhibit bank risk-taking. However, as the capital adequacy ratio increases, its inhibitory effect gradually diminishes. The impact is predominantly observed in banks with higher risk management capabilities, convenient capital expansion, higher liquidity, and weak profitability. Furthermore, we analyze the asset and risk expansion mechanisms of the capital adequacy ratio controlling bank risk-taking. The analysis demonstrates that the increase in the capital adequacy ratio will promote the expansion of bank assets and risks, thereby weakening its restraining effect on bank risk-taking.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102495"},"PeriodicalIF":3.8,"publicationDate":"2025-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144557388","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

Risky finance, riskier climate: when financial instability meets climate risks on the bridge of sustainability uncertainty 风险金融，风险气候：当金融不稳定在可持续性不确定性的桥梁上遇到气候风险

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-18 DOI: 10.1016/j.najef.2025.102492

Brahim Gaies

{"title":"Risky finance, riskier climate: when financial instability meets climate risks on the bridge of sustainability uncertainty","authors":"Brahim Gaies","doi":"10.1016/j.najef.2025.102492","DOIUrl":"10.1016/j.najef.2025.102492","url":null,"abstract":"<div><div>This study bridges two critical literatures: climate-related finance theory, which focuses on the destabilizing effects of climate risks on financial markets, and corporate social responsibility (CSR) theory, rooted in the shareholder-stakeholder debate. In doing so, it provides one of the first attempts to explore the systemic interactions between financial instability, sustainability uncertainty, and climate risks. Leveraging the novel U.S. ESG-based Sustainability Uncertainty Index (ESGUI; Ongan et al., 2025) and employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) connectedness framework, we analyze how shocks stemming from financial market stress, ESG investment and policy uncertainty, and climate-related risks propagate and interact across major financial, political, and environmental events in the U.S. economy from 2003 to 2024. The main findings reveal that credit market stress and volatility-driven financial uncertainty act as the major transmitters of instability in the system, with connectedness peaking during 2008–2009 and 2020–2022. However, the transmission of financial instability to climate risks is nonlinear and contingent on sustainability uncertainty. Interestingly, regulatory responses, such as post-Global Financial Crisis reforms and the Paris Agreement, help temporarily mitigate but fail to fully eliminate risk spillovers. These results are robust to the application of the time-varying robust Granger causality test, which serves as an alternative validation approach.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102492"},"PeriodicalIF":3.8,"publicationDate":"2025-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144364736","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

Happiness and stock market participation 幸福感与股市参与度

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-18 DOI: 10.1016/j.najef.2025.102491

Huang Wenyan

{"title":"Happiness and stock market participation","authors":"Huang Wenyan","doi":"10.1016/j.najef.2025.102491","DOIUrl":"10.1016/j.najef.2025.102491","url":null,"abstract":"<div><div>This study investigates the underexplored relationship between stock market participation and household happiness by analyzing microdata from the China Household Finance Survey (CHFS 2013, 2015, 2017). Our findings reveal a robust inverted U-shaped relationship between happiness and stock market participation, offering novel resolutions to three persistent puzzles in behavioral finance: the stock market participation puzzle, the happiness-income paradox, and the interplay between happiness and risk. Mechanism analysis further uncovers the multidimensional moderating role of risk through perceived risk, risk identification (social interaction, financial interest, and financial literacy), and background risk (urban–rural disparities and health status). The perceived risk significantly moderates the relationship between happiness and stock market participation. Risk identification factors operate distinctively with social interaction, amplify participation for moderately happy households, financial interest modulates participation nonlinearly, and financial literacy affects portfolio diversification. Background risks moderate the relationship between happiness and participation decisions and depth. These results provide critical empirical foundations for designing targeted financial policies that address heterogeneity in household risk dynamics and psychological well-being.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102491"},"PeriodicalIF":3.8,"publicationDate":"2025-06-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144481002","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

Real estate as an inflation hedge: new evidence from an international analysis 房地产作为通胀对冲：来自国际分析的新证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-15 DOI: 10.1016/j.najef.2025.102488

Jan Muckenhaupt , Martin Hoesli , Bing Zhu

{"title":"Real estate as an inflation hedge: new evidence from an international analysis","authors":"Jan Muckenhaupt , Martin Hoesli , Bing Zhu","doi":"10.1016/j.najef.2025.102488","DOIUrl":"10.1016/j.najef.2025.102488","url":null,"abstract":"<div><div>Assets’ capability to hedge against inflation has again come to the forefront given the recent surge in inflation. This paper investigates the inflation-hedging capability of an important asset class, i.e., real estate, using data from 1990 to the end of 2023 across six countries. By using a Panel Markov switching vector error correction model (MS-VECM), we identify the hedging ability of real estate in crisis and non-crisis periods, both in the short and long term. Real estate provides an effective hedge against inflation in the long run, both in crisis and non-crisis periods. In the short term, real estate securities only hedge against inflation in stable periods, but direct real estate also shows desirable inflation hedging in crisis periods. Real estate (both direct and securitized) effectively serves as a hedge against inflation shocks, particularly protecting against unexpected inflation and against energy inflation during stable periods. While stocks surpass real estate (both direct and securitized) in long-term inflation protection and real estate has short-term benefits, gold distinguishes itself by offering reliable long-run protection, but only in economic downturns. The results should provide important insights to investors seeking to allocate resources more efficiently in those turbulent times, both over the short and long term.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102488"},"PeriodicalIF":3.8,"publicationDate":"2025-06-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144322182","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

Institutional opening of capital market and stock price Bubble: Evidence from China 资本市场制度开放与股价泡沫：来自中国的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-14 DOI: 10.1016/j.najef.2025.102489

Shaojun Zhang, Xuerui Ping

{"title":"Institutional opening of capital market and stock price Bubble: Evidence from China","authors":"Shaojun Zhang, Xuerui Ping","doi":"10.1016/j.najef.2025.102489","DOIUrl":"10.1016/j.najef.2025.102489","url":null,"abstract":"<div><div>Speculative behaviors by retail investors in China’s capital markets, such as herding behaviors (e.g., momentum trading and panic selling), have led to persistent stock price bubbles. These accumulated bubbles severely undermine the healthy development of the equity market. As a critical institutional reform for high-level capital market openness, the inclusion of A-shares in the MSCI Emerging Markets Index provides a quasi-natural experiment to examine the effects of opening policies. This study employs a difference-in-differences (DID) model to analyze the impact of MSCI inclusion on stock price bubbles and its underlying mechanisms. The findings reveal that inclusion in the MSCI Index significantly exacerbates the degree of stock price bubbles, a conclusion robust to alternative bubble metrics, extended sample periods, and placebo tests. The mechanism analysis demonstrates that MSCI inclusion intensifies bubble accumulation through elevating investor attention and enhancing stock liquidity. Specifically, index constituent stocks attract heightened media coverage and investor searches (proxied by the Baidu Search Index), improve stock liquidity, and amplify irrational trading behavior, driving stock prices to deviate from intrinsic values. Heterogeneity analysis further identifies information transparency and corporate governance as key moderating channels: The bubble-aggravating effect is concentrated in firms with lower information transparency and poorer corporate governance, as these firms are more vulnerable to investor sentiment fluctuations and the market’s failure to disclose negative information. This study contributes to the literature on financial risks associated with capital market liberalization, uncovers the formation pathways of such risks, and provides novel insights for policymakers to mitigate financial vulnerabilities, reduce stock price bubbles, and foster the high-quality development and further opening of China’s capital markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102489"},"PeriodicalIF":3.8,"publicationDate":"2025-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144314540","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

Superiority of ESG-oriented portfolios in Taiwan stock market: Quantile-on-quantile with GARCH approach 台湾股市esg导向投资组合之优势：基于GARCH方法的分位数对分位数分析

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-13 DOI: 10.1016/j.najef.2025.102485

Hao-Wen Chang , Pei-Yu Chi , Chin-Ho Lin

引用次数: 0

Geopolitical risk, herd behavior, and cryptocurrency market 地缘政治风险、羊群行为和加密货币市场

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-11 DOI: 10.1016/j.najef.2025.102487

Phasin Wanidwaranan , Jutamas Wongkantarakorn , Chaiyuth Padungsaksawasdi

引用次数: 0

Geography of corporate networks and housing price spillovers: evidence from U.S. States 企业网络与房价溢出效应的地理关系：来自美国各州的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-11 DOI: 10.1016/j.najef.2025.102490

Jeongseop SONG

引用次数: 0

Portfolio diversification amid economic uncertainty in Pakistan: empirical evidence from the quantile-on-quantile approach 巴基斯坦经济不确定性下的投资组合多元化：来自分位数对分位数方法的经验证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-07 DOI: 10.1016/j.najef.2025.102486

Hassan Zada , Naveed Khan , Mobeen Ur Rehman , Xuan Vinh Vo , Wafa Ghardallou

{"title":"Portfolio diversification amid economic uncertainty in Pakistan: empirical evidence from the quantile-on-quantile approach","authors":"Hassan Zada , Naveed Khan , Mobeen Ur Rehman , Xuan Vinh Vo , Wafa Ghardallou","doi":"10.1016/j.najef.2025.102486","DOIUrl":"10.1016/j.najef.2025.102486","url":null,"abstract":"<div><div>Over the past few decades, Economic Policy Uncertainty (EPU) has become a key driver of financial market dynamics, which influences investment decisions, risk perceptions, and overall economic stability. Therefore, our objective is to examine the impact of EPU on sectoral stocks in Pakistan. For the empirical analysis, we take monthly data from August 2010 to December 2023, and employ quantile-on-quantile regression approach (QQR) for the empirical analysis. This approach captures nonlinear and asymmetric relationships across different market conditions, thus making it ideal to analyze sectoral heterogeneity in response to changes in EPU. Our results highlight the negative effect of EPU on the returns in the Automobile & Assembler, Oil and Gas, and Refinery sectors at higher quantiles, whereas Banking and Power & Distribution sectors across all quantiles. However, in the Cement, Insurance, and Technology & Communication sectors, EPU positively affects returns at lower quantiles, whereas it negatively affects returns across higher quantiles. Policymakers should prioritize enhancing transparency and maintaining consistency in economic policies to minimize market disruptions caused by uncertainty. For portfolio managers, understanding the asymmetric impact of EPU can facilitate more effective risk management and asset allocation strategies, thus providing better diversification and hedging opportunities against uncertainty.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"80 ","pages":"Article 102486"},"PeriodicalIF":3.8,"publicationDate":"2025-06-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144261444","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

Foreign exchange option pricing with a three-factor Heston model with regime switching and stochastic interest rate 具有制度切换和随机利率的三因素赫斯顿模型的外汇期权定价

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2025-06-06 DOI: 10.1016/j.najef.2025.102470

Xin-Jiang He , Sha Lin

引用次数: 0