North American Journal of Economics and Finance最新文献_第6页

Modeling mispricing risk of defined contribution pension plan with a mean–variance criteria 用均值方差标准模拟固定缴费养老金计划的错误定价风险

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-10 DOI: 10.1016/j.najef.2024.102237

Peiguang Wang , Zihui Wang , Wenli Wang

引用次数: 0

Closed-form approximations for basket option pricing under normal tempered stable Lévy model 正常节制稳定莱维模型下篮子期权定价的闭式近似值

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-09 DOI: 10.1016/j.najef.2024.102233

Dongdong Hu , Hasanjan Sayit , Jing Yao , Qifeng Zhong

{"title":"Closed-form approximations for basket option pricing under normal tempered stable Lévy model","authors":"Dongdong Hu , Hasanjan Sayit , Jing Yao , Qifeng Zhong","doi":"10.1016/j.najef.2024.102233","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102233","url":null,"abstract":"<div><p>In this paper, we study the pricing problems of basket options and spread options under the Normal Tempered Stable Lévy model, which is a general model for financial assets and covers many well-known models as special cases such as the Variance Gamma model, Normal Inverse Gaussian model etc. Our approach draws inspiration from the lower bound approximation strategy used in Gaussian models in Bjerksund and Stensland (2014). The approximation formula we derived involves some one-dimensional integrations. We calculate these integrals using the generalized Gauss–Laguerre quadrature rule and Taylor expansion methods. In particular, we derive an analytical approximation formula under the Variance Gamma model for some exchange options. Moreover, we extend the approximation formulas proposed by Kirk (1995) and Carmona and Durrleman (2003b) to the Normal Tempered Stable Lévy model. Numerical tests show that our approximation formulas are highly accurate. Furthermore, we show that our approximation formulas outperform the Fourier inversion method introduced by Caldana et al. (2016) in accuracy, especially for low prices cases.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-07-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141583407","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 risk hedging or timing: Evidence from hedge fund strategies 地缘政治风险对冲或时机选择：对冲基金策略的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-08 DOI: 10.1016/j.najef.2024.102240

引用次数: 0

Health burden, environmental decentralization and associated political achievements in China 中国的健康负担、环境权力下放及相关政治成就

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-08 DOI: 10.1016/j.najef.2024.102242

引用次数: 0

Stock market extreme risk prediction based on machine learning: Evidence from the American market 基于机器学习的股市极端风险预测：来自美国市场的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-08 DOI: 10.1016/j.najef.2024.102241

Tingting Ren , Shaofang Li , Siying Zhang

{"title":"Stock market extreme risk prediction based on machine learning: Evidence from the American market","authors":"Tingting Ren , Shaofang Li , Siying Zhang","doi":"10.1016/j.najef.2024.102241","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102241","url":null,"abstract":"<div><p>Extreme risk in stock markets poses significant challenges, necessitating greater attention in related research. This study presents an effective machine-learning model for forecasting extreme risks in the American stock market. Specifically, to address the issues of imbalanced data distribution and concept drift, we introduced class weight and time weight parameters to enhance the AdaBoost algorithm. Moreover, we improved the active learning framework by transitioning from manual to algorithmic annotation. Experiments on the S&P 500 index from 2005 to 2022 revealed that our optimal model significantly enhanced the classification performance, particularly for risk instances. Additionally, we validated the efficacy of customized sample weight values, the significance of the density-weight strategy, and the robustness of the overall framework under different risk definition criteria and feature lag periods. Our research is significant for the adoption of appropriate macroeconomic policies to mitigate downside risks and provides a valuable tool for achieving financial stability.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141606628","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 uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets 不确定性会影响套利的限度吗？来自美国股市的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-05 DOI: 10.1016/j.najef.2024.102221

Weihua Chen , Rogemar Mamon , Heng Xiong , Pingping Zeng

{"title":"Does uncertainty affect the limits of arbitrage? Evidence from the U.S. stock markets","authors":"Weihua Chen , Rogemar Mamon , Heng Xiong , Pingping Zeng","doi":"10.1016/j.najef.2024.102221","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102221","url":null,"abstract":"<div><p>This study analyzes how uncertainty affects the correction process of mispricing. We extract stock market data from the United States spanning from January 1976 to December 2016, and discover that uncertainty exerts a notable impact on traders’ decision-making processes. Various robustness tests have been conducted to validate the credibility of our findings. Notably, the extension of the sample duration until December 2022, encompassing the disruptive COVID-19 pandemic, serves to fortify the cohesion and reliability of our primary analysis, with the findings exhibiting consistency. Additionally, we examine how investor sentiment affects future returns under different uncertainty and overpricing ranks. An inverse relation between investor sentiment and uncertainty is also detected. We contribute to the existing literature by revealing potential features that affect the limits of arbitrage. Our results provide insights in designing arbitrage mechanisms and assist arbitrageurs in strategizing their operations with stocks under different magnitudes of uncertainty.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141539318","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 liquidity connectedness affect stock price crash risk? Evidence from China 流动性关联性会影响股价暴跌风险吗？来自中国的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-07-04 DOI: 10.1016/j.najef.2024.102238

Xin Yang , Xuan Ao , Jie Cao , Chuangxia Huang

引用次数: 0

Banking market structure and corporate investment efficiency 银行市场结构与企业投资效率

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-06-30 DOI: 10.1016/j.najef.2024.102236

Japan Huynh

{"title":"Banking market structure and corporate investment efficiency","authors":"Japan Huynh","doi":"10.1016/j.najef.2024.102236","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102236","url":null,"abstract":"<div><p>The study examines the link between bank competition and firms’ capital investment efficiency. Utilizing a unique dataset comprising Vietnamese listed firms from 2007 to 2022, we suggest that heightened bank competition, as reflected by lower values of concentration ratios, the Lerner index, and the Boone indicator, raises firms’ investment efficiency. Further analysis reveals that bank competition increases investment efficiency specifically in the form of mitigating the underinvestment issue. The validity of the result holds through numerous robustness tests, especially with careful consideration of endogeneity concerns. Through mechanism tests, our study reveals that increased bank competition elevates corporate investment efficiency by mitigating firms’ financing constraints, offering more bank credit, and reducing financing costs. In cross-sectional analysis, we document that the relationship between bank competition and capital investment efficiency is stronger for firms with closer bank-firm ties, greater investment opportunities, and weaker financial positions (captured by firm size, state ownership, and listing location). Further, we observe that the influence of bank competition is attenuated during macroeconomic shocks, as exemplified by the financial crisis and the coronavirus pandemic.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141539854","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

Macro topology structure and evolution of Chinese Public Funds’ Co-holding Network 中国公募基金共同持有网络的宏观拓扑结构与演变

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-06-30 DOI: 10.1016/j.najef.2024.102234

Xiaoping Guo , Ningyuan Fan , Zhenchun Liu , Jianwei Wang

{"title":"Macro topology structure and evolution of Chinese Public Funds’ Co-holding Network","authors":"Xiaoping Guo , Ningyuan Fan , Zhenchun Liu , Jianwei Wang","doi":"10.1016/j.najef.2024.102234","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102234","url":null,"abstract":"<div><p>The behavior of institutional investors such as public offering funds and investor networks play an important role in information transmission and risk contagion in the capital market. Less attention has been paid to the macro topological structure characteristics and the fund group behavior of the co-holding network indirectly formed by the common holding among funds. Based on the complex network analysis method, this paper firstly uses three methods to define the co-holding behavior of funds and construct the co-holding networks between large funds and small funds and between large funds, and then conducts a comparative study on the Macro topology structure and evolution characteristics of the Chinese Public Funds’ Co-holding network. The results show that: (1) Although the three networks are large sparse networks, the co-holding behavior among funds still widely exists; (2) Both networks have the characteristics of small-world and scale-free, but there are significant differences in the degree of specificity; (3)There are significant differences in the evolution of “small-world and scale-free” between the three networks; (4) When the large funds and small funds are considered comprehensively, the “small world” and “scale-free” of the fund co-holding network and the stock market show a relationship of mutual influence and mutual restriction.This study provides a reference for understanding the influence of mutual shareholding among funds, and for regulators to manage stock market risk and institutional investor governance.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":null,"pages":null},"PeriodicalIF":3.8,"publicationDate":"2024-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141539907","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

Volatility and returns connectedness between cryptocurrency and China’s financial markets: A TVP-VAR extended joint connectedness approach 加密货币与中国金融市场之间的波动性和收益关联性：TVP-VAR 扩展联合关联性方法

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-06-28 DOI: 10.1016/j.najef.2024.102231

Wenhao Xie , Guangxi Cao

引用次数: 0