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Simultaneous inference in testing conditional alphas of momentum portfolios 同时推理在动量组合条件阿尔法检验中的应用
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-04 DOI: 10.1016/j.najef.2025.102557
Jinyong Kim , Yongsik Kim , Seunghyun Lee
{"title":"Simultaneous inference in testing conditional alphas of momentum portfolios","authors":"Jinyong Kim ,&nbsp;Yongsik Kim ,&nbsp;Seunghyun Lee","doi":"10.1016/j.najef.2025.102557","DOIUrl":"10.1016/j.najef.2025.102557","url":null,"abstract":"<div><div>We evaluate the conditional performance of intermediate and recent past momentum portfolios using nonparametric estimation and simultaneous inference. The outperformance of intermediate past momentum is driven by the relative performance of winners. The largest contributors to the outperformance are negative and positive exposures of the intermediate and recent past momentum to the value factor, respectively, which are strengthened when the market risk premium is high and coincide with the significant outperformance of the intermediate momentum. These contrasting signs of exposures are robust to a sub-period analysis and controls for the January effect. The outperformance disappears when prior Months 12 and 2 are excluded from constructing the momentum portfolios, due to changes in losers’ returns. However, the opposing exposures to the value factor remain consistent.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102557"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145686029","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
Physical climate risk and banks’ credit risk: Worldwide evidence 物理气候风险与银行信用风险：全球证据
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-11-13 DOI: 10.1016/j.najef.2025.102550
Isabel Abinzano, Pilar Corredor, José Manuel Mansilla-Fernández
{"title":"Physical climate risk and banks’ credit risk: Worldwide evidence","authors":"Isabel Abinzano,&nbsp;Pilar Corredor,&nbsp;José Manuel Mansilla-Fernández","doi":"10.1016/j.najef.2025.102550","DOIUrl":"10.1016/j.najef.2025.102550","url":null,"abstract":"<div><div>This paper examines the impact of physical climate risk on banks’ credit risk and, by extension, on global financial stability. We use the S&amp;P Physical Risk Index as a proxy for banks’ exposure to physical climate risk. Credit risk is measured using the forward-looking probability of default from the <span><span>Chan-Lau and Sy (2007)</span></span> model, which adapts the structural Black–Scholes–Merton framework to the banking context. Based on a worldwide sample of 374 listed banks, our results show that physical climate risk increases banks’ credit risk. This effect is particularly pronounced for banks with greater informativeness, intrinsically vulnerable, and operating in more fragile countries. The findings provide empirical support for the financial regulators’ proposal to incorporate climate risks into capital requirements to more effectively manage climate-related financial risks. Importantly, the results indicate that such regulatory adjustments should be calibrated to each bank’s specific characteristics and operating environment.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102550"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145568598","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
Enhancing financial stability through prospective resilience: Insights from the EN-VAR-DY-PR framework in international stock market networks 通过预期弹性增强金融稳定：来自国际股票市场网络EN-VAR-DY-PR框架的见解
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-09-19 DOI: 10.1016/j.najef.2025.102539
Jiang-Cheng Li , Yi-Zhen Xu , Chen Tao , Guang-Yan Zhong
{"title":"Enhancing financial stability through prospective resilience: Insights from the EN-VAR-DY-PR framework in international stock market networks","authors":"Jiang-Cheng Li ,&nbsp;Yi-Zhen Xu ,&nbsp;Chen Tao ,&nbsp;Guang-Yan Zhong","doi":"10.1016/j.najef.2025.102539","DOIUrl":"10.1016/j.najef.2025.102539","url":null,"abstract":"<div><div>The increasing interconnectedness and systemic vulnerabilities of financial networks underscore the necessity of enhancing their resilience to shocks and ensuring the stability of the global financial system. This paper proposes the EN-VAR-DY-PR framework, which integrates Elastic Net (EN) regularization, Vector Autoregression (VAR), and the Diebold–Yilmaz (DY) index. This novel approach enables the dynamic assessment of prospective resilience (PR) in complex financial networks, capturing both temporal and structural dimensions of risk. Focusing on three scenarios – economic blockade, financial liberalization, and random behavior – this research examines the dynamic evolution of network prospective resilience across three distinct periods marked by major market crises. Empirical analysis of 40 countries reveals that while economic blockade temporarily enhances network resilience, it undermines long-term shock absorption. Conversely, financial liberalization consistently improves network stability, and an optimal level of randomness significantly improve the resilience of financial networks and strengthen overall financial stability. Additionally, over the three periods, the clustering of the network decreases and the network becomes more homogeneous, suggesting heightened risk concentration and intensified interconnectedness. The significant growth in both the prospective resilience and volatility of network modularity underscores an escalating systemic vulnerability and a weakening of overall network stability. This study provides a novel perspective on financial stability, demonstrating how network science can effectively identify systemic vulnerabilities and inform strategies to mitigate systemic risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102539"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145109386","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
On the non-neutrality of socially responsible investing in the presence of a greenium 论社会责任投资的非中立性
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-15 DOI: 10.1016/j.najef.2025.102567
Fabian Alex
{"title":"On the non-neutrality of socially responsible investing in the presence of a greenium","authors":"Fabian Alex","doi":"10.1016/j.najef.2025.102567","DOIUrl":"10.1016/j.najef.2025.102567","url":null,"abstract":"<div><div>The neutrality of SRI in the AD-GE model by Arnold (2023) ceases to hold once the law of one price is violated for an asset that sufficiently many individuals (a single one may suffice) are not indifferent towards. The introduction of a green bond priced at a premium leads to an illusory gain, that is, a pure utility gain accompanied by a reduction of consumption, of green investors. Their financial losses are allocated to those that were sufficiently un-green to not buy too many green bonds themselves. To profit financially this way, an individual needs to start out as (partial) owner of a firm that “turns out” to be a green bond issuer. Impact investing still does not generate environmental impact in this model.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102567"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145791083","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
Time-frequency quantile effect of global uncertainty on stock markets: evidence from wavelet decomposition 全球不确定性对股票市场的时频分位数效应：来自小波分解的证据
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-11-15 DOI: 10.1016/j.najef.2025.102554
Jiayuan Yuan , Weineng Zhu , Zishan Huang , Huiming Zhu
{"title":"Time-frequency quantile effect of global uncertainty on stock markets: evidence from wavelet decomposition","authors":"Jiayuan Yuan ,&nbsp;Weineng Zhu ,&nbsp;Zishan Huang ,&nbsp;Huiming Zhu","doi":"10.1016/j.najef.2025.102554","DOIUrl":"10.1016/j.najef.2025.102554","url":null,"abstract":"<div><div>This study explores the time–frequency effect of the World Uncertainty Index (WUI) on the stock markets across quantile levels.We utilize wavelet decomposition and quantile regression to measure the time–frequency relationship between WUI and stock markets. Our empirical results are as follows. First, there exists a significant long-term Granger causality between WUI and stock markets. Second, the impacts of WUI on stock markets change with time-scales, the short term impacts being more intense than that of the other time scale. Third, there is significant asymmetric impacts of WUI on the stock markets. At extreme quantile levels, the absolute values of quantile regression coefficients become significantly larger relationship, indicating the relationship between the two becomes more pronounced. Overall, our findings provide a investors and policymakers with a more deeper perspective on dynamic market risk management.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102554"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145614736","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
Geopolitical crises, financial markets, and intraday volatility spillovers 地缘政治危机、金融市场和日内波动溢出效应
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-17 DOI: 10.1016/j.najef.2025.102571
Yusaku Nishimura , Yang Ji , Bianxia Sun
{"title":"Geopolitical crises, financial markets, and intraday volatility spillovers","authors":"Yusaku Nishimura ,&nbsp;Yang Ji ,&nbsp;Bianxia Sun","doi":"10.1016/j.najef.2025.102571","DOIUrl":"10.1016/j.najef.2025.102571","url":null,"abstract":"<div><div>This paper examines intraday volatility spillovers in global financial markets in the context of recent geopolitical crises. We extend the intraday volatility spillover index (IVSI) framework to analyze high-frequency transmission patterns across financial markets during two recent geopolitical events, Russia-Ukraine war and the Israel-Hamas conflict. Our findings reveal that the Russia-Ukraine war significantly amplified volatility spillovers, particularly during periods of heightened market stress. In contrast, the Israel-Hamas conflict exhibited more limited spillover effects. Notably, we observe that geopolitical risk surged prior to February 2022, suggesting that markets had partially priced in the impending conflict. To capture nonlinear dynamics under varying risk conditions, we further employ a quantile vector autoregression (QVAR) model, which uncovers asymmetric spillover patterns across quantiles. These results underscore the importance of accounting for both the intensity and nature of geopolitical shocks when assessing financial contagion in high-frequency environments.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102571"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145840949","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 vulnerability to US monetary policy: Evidenced from quantile coherency analysis 股市对美国货币政策的脆弱性：来自分位数一致性分析的证据
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-09-02 DOI: 10.1016/j.najef.2025.102536
Sangram Keshari Jena , Amine Lahiani , Ashutosh Dash , Sougata Ray
{"title":"Stock market vulnerability to US monetary policy: Evidenced from quantile coherency analysis","authors":"Sangram Keshari Jena ,&nbsp;Amine Lahiani ,&nbsp;Ashutosh Dash ,&nbsp;Sougata Ray","doi":"10.1016/j.najef.2025.102536","DOIUrl":"10.1016/j.najef.2025.102536","url":null,"abstract":"<div><div>Turkey, Brazil, India, South Africa, and Indonesia are referred as the fragile five countries in 2013. Since then, however, the macro-economic environment of those countries has improved a lot. The objective of the study is to investigate whether the stock market of those countries is still vulnerable to US monetary policy using a novel quantile coherency methodology. The vulnerability is based on the general dependency structure at the quantile of joint distribution across frequencies. Besides, the pre and post 2013 dependency is compared to examine the effectiveness of macro-economic factors in controlling the impacts of the US monetary policy. Positive and negative dependencies were observed during conventional and unconventional quantitative easing and tightening respectively. Largely, it persists in the long-to-medium term across the state of the market. Domestic macroeconomic fundamentals seem to be relatively less effective in controlling the impact of US monetary policy. Thus, additional institutional reforms are required to make these markets resilient to global monetary policy shocks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102536"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144996613","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
Corporate cash value and ESG management: Panel data analyses of stock indices across countries 企业现金价值与ESG管理：各国股票指数的面板数据分析
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-08-18 DOI: 10.1016/j.najef.2025.102521
Kei-Ichiro Inaba
{"title":"Corporate cash value and ESG management: Panel data analyses of stock indices across countries","authors":"Kei-Ichiro Inaba","doi":"10.1016/j.najef.2025.102521","DOIUrl":"10.1016/j.najef.2025.102521","url":null,"abstract":"<div><div>By conducting international panel-data regressions to investigate the determinants of listed companies’ average <em>q</em>s in 18 countries’ representative stock market indices over the period 2009–2019 in consideration of the companies’ market capitalization differences, I find that better social and governance management levels were associated with higher <em>q</em>s, and that corporate cash value was positively priced across the countries. This positive pricing of corporate cash was strengthened in countries with better environment, social, and governance management levels, and in those with higher R&amp;D investments. Pricing was more positive in the United Kingdom than in the United States (U.S.) or Japan. It was weakened as national indices with greater market capitalization were downplayed more in the regression analysis. It was strengthened in the U.S. index in response to increasing passive index funds.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102521"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144903954","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
Does inter-industry risk spillover network predict financial crisis? Evidence from a gated graph neural networks approach 行业间风险溢出网络能否预测金融危机？来自门控图神经网络方法的证据
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-11 DOI: 10.1016/j.najef.2025.102565
Yinghua Ren , Xin Chen , Han Chen , Huiming Zhu
{"title":"Does inter-industry risk spillover network predict financial crisis? Evidence from a gated graph neural networks approach","authors":"Yinghua Ren ,&nbsp;Xin Chen ,&nbsp;Han Chen ,&nbsp;Huiming Zhu","doi":"10.1016/j.najef.2025.102565","DOIUrl":"10.1016/j.najef.2025.102565","url":null,"abstract":"<div><div>This study proposes a novel binary-classification model for systemic risk warning, utilizing inter-industry tail-risk spillover networks as input. These networks are constructed using the Tail-Event driven network (TENET) model, which captures high-dimensional and non-linear characteristics of risk contagion. The model leverages the Gated Graph Neural Network (GGNN) framework to uncover the ambiguous specification of crisis prediction. Applied to 11 key U.S. industry indices, the empirical results demonstrate that: (i) the topology of the risk spillover network is strongly correlated with financial crises during critical periods; and (ii) the GGNN model based on the TENET network provides superior reliability in early warning compared to traditional machine learning and other graph-based models.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102565"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145791082","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
Asymmetric spillovers of climate policy uncertainty on financial markets – Evidence from China 气候政策不确定性对金融市场的不对称溢出效应——来自中国的证据
IF 3.9 3区 经济学
North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-07-29 DOI: 10.1016/j.najef.2025.102513
Qiang Liu , Ting Liu , Chen Xu
{"title":"Asymmetric spillovers of climate policy uncertainty on financial markets – Evidence from China","authors":"Qiang Liu ,&nbsp;Ting Liu ,&nbsp;Chen Xu","doi":"10.1016/j.najef.2025.102513","DOIUrl":"10.1016/j.najef.2025.102513","url":null,"abstract":"<div><div>Climate change is one of the greatest challenges of the 21st century, with its uncertainty significantly impacting financial stability. This study examines the spillover effects of China’s climate policy uncertainty on the stock, money, bond, foreign exchange and futures markets, using data from October 2006 to August 2024 and applying the QVAR-DY spillover index method. The findings reveal: (1) Extreme conditions amplify the spillover effects of China’s climate policy uncertainty on financial markets, especially during market booms. (2) The static analysis shows that under normal conditions, the largest spillovers are seen in the bond and futures markets. Under extreme conditions, the bond market is the most affected. Dynamic analysis shows that spillovers increase significantly during climate events (Copenhagen Summit, Carbon Peaking and Carbon Neutrality Goals). During market downturns, the bond market is impacted most; during market booms, the money market is more susceptible. (3) Net spillover analysis finds significant positive net spillovers to financial sub-markets during market booms. The findings guide efforts to manage climate policy uncertainty and reduce systemic financial risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102513"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144888731","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
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