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

Short-Term market impact of 2024 US President elections and Trump-Zelensky meeting in defence industry 2024年美国总统大选和特朗普-泽伦斯基会晤对国防工业的短期市场影响

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.2025.102569

António Miguel Martins , Bruno Albuquerque , Luís Sardinha , Nuno Moutinho

{"title":"Short-Term market impact of 2024 US President elections and Trump-Zelensky meeting in defence industry","authors":"António Miguel Martins , Bruno Albuquerque , Luís Sardinha , Nuno Moutinho","doi":"10.1016/j.najef.2025.102569","DOIUrl":"10.1016/j.najef.2025.102569","url":null,"abstract":"<div><div>This study examines the short-term market effect of the US and European largest defence firms on the 2024 US presidential election (November 5, 2024) and the Trump-Zelensky meeting (February 28, 2025). By employing an event study methodology, our results show a positive and statistically significant stock price impact for both events. The results for the 2024 US presidential election are consistent with political business cycle theory. National elections in the arms-producing country drive a growth in sales revenues for defence firms, which tend to be higher when the Republican Party candidate wins the US elections. Our results also show the presence of heterogeneous abnormal returns between US and European defence firms around the Trump-Zelensky meeting, with European firms showing high and statistically significant positive returns while US firms show non-significant returns. This result is explained by the failure of security guarantees given by the US to the European countries and the awareness of the need for a rapid increase in military spending for self-defence purposes in Europe. This meeting reinforced the application of the principle of “Europe preference” in the acquisition of weapons. Finally, we conclude that stock market responses are reinforced or mitigated by firm-specific characteristics.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102569"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145791084","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

Bank systemic risk prediction based on text mining and explainable machine learning 基于文本挖掘和可解释机器学习的银行系统风险预测

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-27 DOI: 10.1016/j.najef.2025.102577

Pucong Wang, Sumuya Borjigin

{"title":"Bank systemic risk prediction based on text mining and explainable machine learning","authors":"Pucong Wang, Sumuya Borjigin","doi":"10.1016/j.najef.2025.102577","DOIUrl":"10.1016/j.najef.2025.102577","url":null,"abstract":"<div><div>This study utilizes textual data from The Wall Street Journal, employing 12 machine learning models to forecast systemic risk in the US banking sector. Then, this paper applies the SHAP method to interpret the prediction results. The empirical conclusions are as follows: Firstly, in terms of time series forecasting, deep learning models exhibit the best performance, tree models demonstrate moderate predictive efficacy, while linear models perform poorly in predictions. Secondly, there is a positive correlation between SHAP values and banking systemic risk, this conclusion fills the previous research gap. Further research reveals that Topic_29 consistently ranks at the top in feature importance across various time windows. Its keywords (interest rate, bank, stock, company, inflation, rate cut, China) suggest that interest rate policies, corporate operations, inflation control, and geoeconomic factors play pivotal roles in systemic risk. Additionally, the study observes a negative correlation between news sentiment and SHAP values; negative sentiment has a stronger impact and a longer duration. Finally, this study links the topic keywords back to the original news texts to elucidate the impact of news on systemic risk across different sliding window periods.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102577"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145884902","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

International main precious metals futures price forecasting based on decomposition-combinatorial time series model 基于分解-组合时间序列模型的国际主要贵金属期货价格预测

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-09-23 DOI: 10.1016/j.najef.2025.102541

Zihan Zhang , Xiaojuan Dong , Haigang An , Hai Qi , Sufang An , Zhiliang Dong

{"title":"International main precious metals futures price forecasting based on decomposition-combinatorial time series model","authors":"Zihan Zhang , Xiaojuan Dong , Haigang An , Hai Qi , Sufang An , Zhiliang Dong","doi":"10.1016/j.najef.2025.102541","DOIUrl":"10.1016/j.najef.2025.102541","url":null,"abstract":"<div><div>In the complex and volatile macroeconomic environment, precious metals play an important role in investment risk management because of their value preservation, value-added, and hedging functions. If investors can effectively predict price fluctuations in the precious metals market and thus optimize their investment portfolio strategies in time, they may be able to avoid market risks. In this paper, the futures prices of three international precious metals on the New York Mercantile Exchange of the Wind Database from 2014 to 2024 are taken as examples. First of all, the time-varying characteristics of non-pervasive, non-Gaussian, aging and delay are obtained for precious metals. Then the trend term, seasonal term, and residual term of the price series are modeled with the Autoregressive Integrated Moving Average (ARIMA) model, the Exponen Tial Smoothing (ETS) model, and the Long-Short Term Memory (LSTM) model, respectively, and the results are summarized to form a forecast of the futures prices of precious metals for the next 100 days. The results show that the error of the combination model for the three precious metal price predictions is less than 0.03, and the model fit is more than 0.98, indicating that the decomposition-combination model is suitable for predicting the precious metal futures prices. According to the results of the study, gold and silver have investment value in a short period, while the investment value of platinum is not obvious. Corresponding investment advice for investors is also given.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102541"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145158223","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

Investigating the impact of the Covid-19 pandemic on stock markets volatility in USA and Europe 调查新冠肺炎疫情对美国和欧洲股市波动的影响

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-09-20 DOI: 10.1016/j.najef.2025.102540

Mohamed Chikhi , François Benhmad

{"title":"Investigating the impact of the Covid-19 pandemic on stock markets volatility in USA and Europe","authors":"Mohamed Chikhi , François Benhmad","doi":"10.1016/j.najef.2025.102540","DOIUrl":"10.1016/j.najef.2025.102540","url":null,"abstract":"<div><div>Financial data exhibit distinctive characteristics known as stylized facts including volatility clustering, long memory, the leverage effect, and risk premium.</div><div>In this paper, we introduce a innovative volatility model (ARFIMA-HYAPGARCH-M) designed to effectively capture these features in both the S&P 500 and the European STOXX600 indices, before and during the Covid-19 pandemic.</div><div>Empirical findings reveal a significant surge in return volatility across both U.S. and European stock markets during the pandemic. Moreover, the data exhibit dual long memory properties in both the mean and variance of returns, along with an evidence of asymmetry and the leverage effect. Furthermore, the results show that risk premiums increased during the Covid period, confirming that investors demand higher compensation during periods of “bad” volatility compared to periods of “good” volatility.</div><div>As such, the ARFIMA-HYAPGARCH-M volatility model provides a valuable tool for improved risk assessment, enabling investors and portfolio managers to make more informed decisions. Additionally, the model can enhance the performance of hedging strategies by accurately capturing volatility dynamics.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102540"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145109387","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

Examining climate risk attention in stock markets: insights from quantile-on-quantile regression 考察股市对气候风险的关注：来自分位数对分位数回归的见解

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-09-28 DOI: 10.1016/j.najef.2025.102544

Lili Zhao , Yutong Lin , Zhenhao Liu , Guozheng Yang

{"title":"Examining climate risk attention in stock markets: insights from quantile-on-quantile regression","authors":"Lili Zhao , Yutong Lin , Zhenhao Liu , Guozheng Yang","doi":"10.1016/j.najef.2025.102544","DOIUrl":"10.1016/j.najef.2025.102544","url":null,"abstract":"<div><div>Climate change has profound effects on society and the global economy. This study investigates the impact of climate risk attention (CRA) on China’s overall and sectoral stock markets by constructing a CRA index and applying the Quantile-on-Quantile regression approach. We find asymmetric and heterogeneous effects of CRA on the overall stock market, with the strongest positive effects concentrated in the upper quantiles. The results also reveal a saturation point beyond which further increases in CRA exert diminishing influence. At the sectoral level, high CRA is positively associated with non-distressed market states in Public Utilities, Information Technology, Optional Consumption, Materials, and Industrials. By contrast, its significant effects appear only during extremely prosperous conditions in Real Estate and Source Energy. Both low and high CRA are positively linked to upside volatility in the Medical Care and Daily Consumption sectors. The Financials sector responds mainly on the downside, with reduced CRA showing a positive association. Our findings underscore the importance of integrating climate risk considerations into financial strategies to support sustainable market development.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102544"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145219715","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

Systemic spillovers in high-growth private market sectors: determinants and portfolio implications 高增长私人市场部门的系统性溢出效应：决定因素和投资组合影响

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-12-30 DOI: 10.1016/j.najef.2025.102579

Adnan Aslam , Rayenda Khresna Brahmana

{"title":"Systemic spillovers in high-growth private market sectors: determinants and portfolio implications","authors":"Adnan Aslam , Rayenda Khresna Brahmana","doi":"10.1016/j.najef.2025.102579","DOIUrl":"10.1016/j.najef.2025.102579","url":null,"abstract":"<div><div>This study investigates the systematic spillover dynamics across high-growth private market sectors and their key drivers, with particular emphasis on portfolio diversification implications. Using a time-varying parameter vector autoregression framework, we document substantial and persistent return spillovers, with AI, HealthTech, FinTech, and Mobility Tech acting as dominant transmitters, and AgTech, BioPharma, ClimateTech, and Cybersecurity serving primarily as receivers. Spillover intensity peaks during post-pandemic capital inflows and green policy expansions, and declines during monetary tightening and geopolitical shocks. Employing robust regression and eXplainable AI approaches, we identify short-term interest rates, trade policy uncertainty, and geopolitical risk as the most influential determinants of connectedness. Portfolio tests show that minimum correlation and connectedness strategies outperform minimum variance portfolios, achieving higher risk-adjusted returns and better tail-risk protection. Our results provide new insights into the structural dynamics of high-growth private markets and offer a practical framework for spillover-aware asset allocation.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"82 ","pages":"Article 102579"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145884901","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 spillovers in forex markets and the role of quantitative easing 外汇市场波动溢出效应与量化宽松的作用

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-07-30 DOI: 10.1016/j.najef.2025.102515

Syed Jawad Hussain Shahzad , Thi Hong Van Hoang , Massimiliano Caporin , Nader Naifar

{"title":"Volatility spillovers in forex markets and the role of quantitative easing","authors":"Syed Jawad Hussain Shahzad , Thi Hong Van Hoang , Massimiliano Caporin , Nader Naifar","doi":"10.1016/j.najef.2025.102515","DOIUrl":"10.1016/j.najef.2025.102515","url":null,"abstract":"<div><div>This research aims to investigate the volatility spillover relationship among 20 major currencies, using a dataset of 5-minute exchange rates over the 2012–2023 period. Its contribution is based on the combination of both asymmetric and time–frequency aspects while including a regression analysis to examine the impact of the COVID-19 pandemic and quantitative easing on this volatility spillover. The empirical results show a high degree of volatility spillovers in the foreign exchange market, especially for currencies in the same geographical area. These volatility spillovers were highest during the first wave of the COVID-19 pandemic in early 2020, much higher than at the start of the Ukraine-Russia war in early 2022. Significantly, the COVID-19 pandemic only affects negative volatility spillovers. In addition, quantitative easing is an important determinant of volatility spillovers in the foreign exchange market. However, its effect on volatility spillovers differs across time horizons, being negative in the short run and positive in the long run. This finding implies that policymakers should consider the long-term effects of quantitative easing when designing such a policy and when using it as a short-term solution in times of crisis.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102515"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144888732","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

Systemically important commodity futures in China 中国具有系统重要性的大宗商品期货

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.2025.102525

Yang Chen , Mengxia Xu , Qing Liu

{"title":"Systemically important commodity futures in China","authors":"Yang Chen , Mengxia Xu , Qing Liu","doi":"10.1016/j.najef.2025.102525","DOIUrl":"10.1016/j.najef.2025.102525","url":null,"abstract":"<div><div>To depict the increasing interdependence of commodity prices and thus higher systemic risk under financialization, this paper investigates the risk spillover levels in the Chinese commodity futures market using the TENET model and directed acyclic graphs, based on which it innovatively identifies Systemically Important Commodity Futures (SICFs). This paper demonstrates the commodity financialization in China, and finds that agricultural futures are SICFs. This finding is robust across years, financial cycles, business cycles, and even other tail-dependence indicators. The paper provides several regulatory takeaways: Firstly, financialization has amplified price interconnections among commodity networks, elevating the probability of systemic risk. Accordingly, regulatory authorities should expand their oversight to include SICFs, in addition to the traditional Systemically Important Financial Institutions (SIFIs). Secondly, agricultural futures are identified as SICFs, underscoring the need for diligent monitoring and attention. Moreover, enhancing cross-border and cross-market risk coordination mechanisms is essential to mitigate systemic risk.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102525"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144902558","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 completing the connectedness analysis—A bootstrap-based DCC-GARCH approach 完成连通性分析——基于bootstrap的DCC-GARCH方法

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-08-29 DOI: 10.1016/j.najef.2025.102526

Jingliang Huai , Adrian (Wai Kong) Cheung , Bin Wang

{"title":"On completing the connectedness analysis—A bootstrap-based DCC-GARCH approach","authors":"Jingliang Huai , Adrian (Wai Kong) Cheung , Bin Wang","doi":"10.1016/j.najef.2025.102526","DOIUrl":"10.1016/j.najef.2025.102526","url":null,"abstract":"<div><div>By mapping high-dimensional systems to directed weighted networks, VAR-based Diebold-Yilmaz connectedness framework provides a novel and nuanced perspective on spillovers. Nonetheless, its reliance on rolling windows and the absence of formal statistical evidence for event-based analysis may limit its applicability. To overcome these two shortcomings, this study develops an alternative connectedness framework based on the dynamic conditional correlation—generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model and a bootstrap technique, augmented by a probabilistic analysis of an increase in connectedness in response to major events. We apply our framework to four major currencies against the US dollar. In terms of event probability analysis, it is observed that 15 out of the 20 identified events correspond to a probability exceeding 90% for an increase in total connectedness, which predominantly pertain to geopolitical crises, financial market collapses, and global health emergencies. Therefore, although traditional event analysis frequently capture increases in connectedness, our methodology underscores that these associations may lack statistical rigor. Beside this, we find that the total connectedness also responds instantaneously to such events with rapid dissipation or manifests a delayed reaction.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102526"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"144925921","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 climate policy uncertainty affect expected shortfall (and Value-at-Risk) in the Chinese sector? Evidence from the mixed-frequency dynamic semi-parametric approach 气候政策的不确定性是否会影响中国行业的预期缺口（和风险价值）？来自混合频率动态半参数方法的证据

IF 3.9 3区经济学

North American Journal of Economics and Finance Pub Date : 2026-01-01 Epub Date: 2025-11-12 DOI: 10.1016/j.najef.2025.102555

Kunliang Jiang , Pengfei Luo , Wenxiao Gan , Jiashan Song , Yuejing Wang

{"title":"Does climate policy uncertainty affect expected shortfall (and Value-at-Risk) in the Chinese sector? Evidence from the mixed-frequency dynamic semi-parametric approach","authors":"Kunliang Jiang , Pengfei Luo , Wenxiao Gan , Jiashan Song , Yuejing Wang","doi":"10.1016/j.najef.2025.102555","DOIUrl":"10.1016/j.najef.2025.102555","url":null,"abstract":"<div><div>Climate policy uncertainty (CPU) increases risks across sectors by affecting the economic environment, stock price volatility, corporate transformations, and investor confidence. However, incorporating such low-frequency information into sector risk assessments remains insufficiently addressed. This study combines the GARCH-MIDAS model with the Fissler–Ziegel (FZ) loss function to jointly model Value-at-Risk (VaR) and expected shortfall (ES), and explores the heterogeneous impact of CPU on risk measures across eleven sectors from 1 January 2008 to 31 December 2022 in China. Our findings indicate that CPU positively affects the VaR and ES in five sectors: energy, material, industry, consumer discretionary, and utility, while negatively impacting six sectors: consumer staple, healthcare, information technology, telecommunication service, real estate, and finance. The effect of CPU on the VaR and ES in the energy and material sectors demonstrates strong long memory, whereas the impact on telecommunication service is the opposite. Incorporating CPU into the model significantly improves the accuracy of sector risk measures across various risk levels, while the FZ loss function method provides effective risk measurement results primarily under extreme risk conditions.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"81 ","pages":"Article 102555"},"PeriodicalIF":3.9,"publicationDate":"2026-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"145568502","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