North American Journal of Economics and Finance最新文献_第4页

Risk spillovers among oil, gold, stock, and foreign exchange markets: Evidence from G20 economies 石油、黄金、股票和外汇市场之间的风险溢出效应：来自 20 国集团经济体的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-30 DOI: 10.1016/j.najef.2024.102249

引用次数: 0

Yield curve trading strategies exploiting sentiment data 利用情绪数据的收益率曲线交易策略

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-26 DOI: 10.1016/j.najef.2024.102226

引用次数: 0

The comovement of bubbles’ responses to monetary policy shocks 泡沫对货币政策冲击反应的一致性

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-24 DOI: 10.1016/j.najef.2024.102244

{"title":"The comovement of bubbles’ responses to monetary policy shocks","authors":"","doi":"10.1016/j.najef.2024.102244","DOIUrl":"10.1016/j.najef.2024.102244","url":null,"abstract":"<div><p>In this paper, we present a two-step methodology designed to elucidate the extent of co-movement in the behavior of asset bubbles across a selected group of developed and emerging economies, with observations extending from the year 2000 onwards. We characterize the behavior of these bubbles, conceptualized as the disparity between fundamental and market values, by examining their responses to monetary policy shocks. Our investigation into their co-movement dynamics post-2000 involves the estimation of a Bayesian Dynamic Factor Model that incorporates the reactions of asset bubbles to monetary policy shocks, both in the short term and the long term. Notably, our findings reveal a convergence in short-term responses among these bubbles prior to the onset of the financial crisis. However, as the crisis unfolded, our results indicate a shift towards divergence. Concerning the long-term response of bubbles to monetary policy, divergence was observed before the crisis, but once the crisis had taken hold, there was a noticeable trend towards convergence. An influential idiosyncratic factor was identified for countries like the United States, South Korea, and Japan, impacting both short-term and long-term behavior. Conversely, the long-term behavior of bubbles in most emerging economies appears to be influenced by idiosyncratic factors. Furthermore, our results largely maintain their robustness even when utilizing an alternative measure of monetary policy stance during the period of the zero lower bound. Nevertheless, this secondary analysis suggests heightened volatility in the factors affecting both emerging and advanced markets.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141780314","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

Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets 动态联系和传染效应：分析原油价格、美国市场行业指数和能源市场之间的联系

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-19 DOI: 10.1016/j.najef.2024.102247

{"title":"Dynamic linkages and contagion effects: Analyzing the linkages between crude oil prices, US market sector indices and energy markets","authors":"","doi":"10.1016/j.najef.2024.102247","DOIUrl":"10.1016/j.najef.2024.102247","url":null,"abstract":"<div><p>This paper aims to assess the dynamic linkages between crude oil futures contracts, renewable energy indices, carbon credit futures indices and several US sector market indices by applying the DECO-GARCH model and the connectedness index of Diebold and Yilmaz (2012). The analysis is conducted on a daily data sample from August 2014 to February 2024 and performed at both the aggregated and disaggregated levels. The disaggregated analysis revealed that the correlation between the variables was lower before periods of stress, such as the COVID-19 crisis and the Russian–Ukrainian conflict as well as a complex correlation structure with a diverse mix of positive and negative values between different pairs of variables. Moreover, the static connectedness results in terms of returns underscore a significant degree of interconnection and transmission of shocks between oil prices and sector markets, renewable energy, and carbon credit futures indices. In addition, the results highlight the responsiveness of the clean energy and carbon credit sectors to global circumstances and economic conditions. The study concludes with a dynamic connectedness analysis, highlighting once again the intricate connections and interactions between all the variables, which are exacerbated during periods of market instability and key events. The net interconnectedness analysis demonstrated that changes in crude oil prices have a significant impact on most of the variables analyzed. The findings of this study have clear implications for a wide range of market participants, policy-makers, and individuals managing portfolios, particularly in terms of diversification opportunities.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062940824001724/pdfft?md5=32b278db1e87cb759e33d1c8f030077b&pid=1-s2.0-S1062940824001724-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141846918","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Forecasting crude oil volatility and stock volatility: New evidence from the quantile autoregressive model 预测原油波动和股票波动：来自量子自回归模型的新证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-18 DOI: 10.1016/j.najef.2024.102235

引用次数: 0

Size and ESG premiums: Evidence from Chinese A-share market 规模与ESG溢价：中国 A 股市场的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-15 DOI: 10.1016/j.najef.2024.102246

引用次数: 0

Optimistic or pessimistic: How do investors impact the green bond market? 乐观还是悲观：投资者如何影响绿色债券市场？

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-14 DOI: 10.1016/j.najef.2024.102248

引用次数: 0

ETFs amidst the COVID-induced technological transformation: Sectoral insights from time-varying dynamics of tail risk transmissions COVID引发的技术变革中的ETF：从尾部风险传递的时变动态中洞察行业发展

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-14 DOI: 10.1016/j.najef.2024.102243

{"title":"ETFs amidst the COVID-induced technological transformation: Sectoral insights from time-varying dynamics of tail risk transmissions","authors":"","doi":"10.1016/j.najef.2024.102243","DOIUrl":"10.1016/j.najef.2024.102243","url":null,"abstract":"<div><p>This study investigates the tail risk transmissions across a diverse range of US commodity & tech-driven sector ETFs and the underlying US stock market by employing the CAViaR-based TVP-VAR methodology on daily data from January 01, 2019, to August 17, 2023. Findings reveal that Covid-19 triggered a notable surge in the total connectedness, consequently amplifying the tail risk transmissions within the system. Moreover, the S&P 500, AI&Robotics and fintech sector ETFs stand out as the primary risk transmitters, while cybersecurity and blockchain sector ETFs are risk receivers within the system, except for a notable shift during the peak of the pandemic. The pairwise results reveal limited risk transmissions between the S&P 500, AI&Robotics and fintech sector ETFs; however, both sector ETFs stand out as potential risk transmitters for the VIX index. In contrast to energy, agriculture and base metals sector ETFs, which are persistent risk receivers for both stock market indices and tech-driven sector ETFs, precious metals sector ETFs appear somewhat isolated and therefore offer a potential source of diversification among commodity sector ETFs. In sum, our findings offer valuable sectoral insights for effective risk management and portfolio diversification strategies in dynamic market conditions.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-07-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141623219","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

Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model 赫尔-怀特利率模型下离散抽样算术亚洲期权的定价

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-13 DOI: 10.1016/j.najef.2024.102239

Bara Kim , Jeongsim Kim , Hyungkuk Yoon , Jinyoung Lee

{"title":"Pricing of discretely sampled arithmetic Asian options, under the Hull–White interest rate model","authors":"Bara Kim , Jeongsim Kim , Hyungkuk Yoon , Jinyoung Lee","doi":"10.1016/j.najef.2024.102239","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102239","url":null,"abstract":"<div><p>This paper studies the pricing of discrete arithmetic Asian options (AAOs) with fixed strikes under the Hull–White interest rate model. For the pricing of AAOs, we first investigate the stochastic dynamics of the price of the underlying asset under the <span><math><mi>T</mi></math></span>-forward measure, and then study the distribution of the discrete arithmetic average of the underlying asset price. Specifically, we provide the first three moments of the discrete arithmetic average under the <span><math><mi>T</mi></math></span>-forward measure. Then, we derive approximate pricing formulas for AAOs using the three-moment matching method. Furthermore, we calculate the first three conditional moments of the discrete arithmetic average, given the final value of the underlying asset, under the <span><math><mi>T</mi></math></span>-forward measure. These conditional moments can be used to improve the accuracy of the approximation of the AAO prices. The numerical results show that our three-moment matching approximations are very accurate. Additionally, the accuracy can be further improved by combining the conditioning approach with the three-moment matching method. Our procedure is also applied to the computation of deltas of AAOs.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141606629","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

Valuing American options using multi-step rebate options 利用多步骤回扣期权对美式期权进行估值

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-13 DOI: 10.1016/j.najef.2024.102227

Hangsuck Lee , Hongjun Ha , Gaeun Lee , Minha Lee

引用次数: 0