North American Journal of Economics and Finance最新文献_第8页

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":"74 ","pages":"Article 102236"},"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":"74 ","pages":"Article 102234"},"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

{"title":"Volatility and returns connectedness between cryptocurrency and China’s financial markets: A TVP-VAR extended joint connectedness approach","authors":"Wenhao Xie , Guangxi Cao","doi":"10.1016/j.najef.2024.102231","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102231","url":null,"abstract":"<div><p>We employ a time-varying parameter vector autoregression (TVP-VAR) joint connectedness approach to study the dynamic risk spillover effects between cryptocurrencies and China’s financial market, further exploring the impact of cryptocurrencies on China’s financial market. Our results show that there is asymmetric risk transmission between cryptocurrencies and China’s financial market, and the risk spillover effect is very weak. Specifically, the spillover of cryptocurrencies to China’s financial market is significantly stronger than the spillover of China’s financial market to cryptocurrencies. Cryptocurrencies have a stronger spillover effect to China’s exchange rate and gold. The net spillover effect of cryptocurrencies is weakening over time. Overall, the return spillover impact of cryptocurrencies on China’s financial market is greater than the volatility spillover impact, and the degree of impact of different cryptocurrencies is heterogeneous. The findings of this study have several implications for policymakers and investors.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"74 ","pages":"Article 102231"},"PeriodicalIF":3.8,"publicationDate":"2024-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141606630","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

A measure of quantile-on-quantile connectedness for the US treasury yield curve spread, the US Dollar, and gold price 美国国债收益率曲线利差、美元和黄金价格的量子对量子关联度测量方法

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-06-27 DOI: 10.1016/j.najef.2024.102232

Mei-Chih Wang , Tsangyao Chang , Alexey Mikhaylov , Jia Linyu

引用次数: 0

Option trading volume and the cross-section of option returns 期权交易量与期权收益截面

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-06-27 DOI: 10.1016/j.najef.2024.102229

Jianglei Yuan , Dehong Liu , Carl R. Chen , Sen Hu

引用次数: 0

Portfolio balance effect of the U.S. QE between commodities and financial assets in commodity-exporting countries 美国量化宽松对商品出口国商品和金融资产之间的投资组合平衡效应

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-06-26 DOI: 10.1016/j.najef.2024.102225

Pick Schen Yip , Wee-Yeap Lau , Robert Brooks

{"title":"Portfolio balance effect of the U.S. QE between commodities and financial assets in commodity-exporting countries","authors":"Pick Schen Yip , Wee-Yeap Lau , Robert Brooks","doi":"10.1016/j.najef.2024.102225","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102225","url":null,"abstract":"<div><p>This study analyses the portfolio balance channel of the U.S. quantitative easing (QE) by assessing the dynamic spillover effect between commodities and financial assets in commodity-exporting countries during QE. This study integrates the generalized spillover index initially proposed by Diebold and Yilmaz (2012) for the fractional integration VAR model. Then, we estimate the multivariate framework of the Westerlund and Narayan (2015) (WN)-based predictive model to quantify the effect of the portfolio balance channel on the net pairwise spillover index from the U.S. to other countries. Our results show: first, for bond yields, that Asian and Pacific bond yields are impacted by both commodity price indices returns and the U.S. bond yields across the sample periods. However, mixed evidence is found for both Latin America and Others; second, for equity, dynamic net return spillovers contribute mixed evidence across regional groups during QE. The diverse results are partly explained by the average percentage of commodity exports to total exports of the country and the degree of close interrelationship between countries. Additionally, dynamic return spillover analyses show that most foreign exchange returns are negative net spillovers during QE, supporting the behavior of “commodity currencies.” Last, the WN-based predictability models show pronounced differences in predictability across the selected commodity-exporting countries.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"74 ","pages":"Article 102225"},"PeriodicalIF":3.8,"publicationDate":"2024-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062940824001505/pdfft?md5=80867b2abd413ec8accb18435c56468a&pid=1-s2.0-S1062940824001505-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141539316","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

Copula-MIDAS-TRV model for risk spillover analysis − Evidence from the Chinese stock market 用于风险溢出分析的 Copula-MIDAS-TRV 模型--来自中国股市的证据

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-06-26 DOI: 10.1016/j.najef.2024.102230

Qin Wang, Xianhua Li

引用次数: 0

Green bond and green stock in China: The role of economic and climate policy uncertainty 中国的绿色债券和绿色股票：经济和气候政策不确定性的作用

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-06-25 DOI: 10.1016/j.najef.2024.102228

Yu Wang , Adrian (Wai Kong) Cheung , Wanlin Yan , Bin Wang

{"title":"Green bond and green stock in China: The role of economic and climate policy uncertainty","authors":"Yu Wang , Adrian (Wai Kong) Cheung , Wanlin Yan , Bin Wang","doi":"10.1016/j.najef.2024.102228","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102228","url":null,"abstract":"<div><p>Green finance (GF) plays a key role in combating climate change and advancing sustainable economic development. At the same time, governments have enacted various policies to pursue climate action and economic stability simultaneously, resulting in economic policy uncertainty (EPU) and climate policy uncertainty (CPU). While the EPU and CPU may have an impact on the GF market, they may also interact with each other and the impact of this interaction has received little attention. Therefore, it becomes crucial to understand how EPU and CPU affect GF. This paper explores the relationships among green bonds (GB), green stocks (GS), EPU and CPU in the context of China. Firstly, the nonparametric quantile causality test reveals the existence of causality in EPU/CPU-GB, EPU/CPU-GS, EPU-CPU, and GB-GS. The cross-quantilogram test result indicates that the negative predictive effects of EPU and CPU on the GF market are mainly concentrated at the extreme quantiles and an interaction exists between CPU and EPU. In addition, a negative correlation between the GB and GS markets is found in the short term suggesting that investors may achieve hedging risk and/or portfolio diversification if investing in these two green financial assets. The findings shed light for policymakers and relevant investors on how EPU and CPU shocks affect GF, and provide ideas on how to effectively hedge (deal with) these shocks in the asset allocation (policy making) process, thereby enhancing the development of the GF market.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"74 ","pages":"Article 102228"},"PeriodicalIF":3.8,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141487184","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 impact of the US yield curve on green bonds: Navigating through recent crises 美国收益率曲线对绿色债券的动态影响：穿越近期危机

IF 3.8 3区经济学

North American Journal of Economics and Finance Pub Date : 2024-06-22 DOI: 10.1016/j.najef.2024.102223

Zaghum Umar , Najaf Iqbal , Tamara Teplova , Duojiao Tan

{"title":"Dynamic impact of the US yield curve on green bonds: Navigating through recent crises","authors":"Zaghum Umar , Najaf Iqbal , Tamara Teplova , Duojiao Tan","doi":"10.1016/j.najef.2024.102223","DOIUrl":"https://doi.org/10.1016/j.najef.2024.102223","url":null,"abstract":"<div><p>We examine the effect of the US yield curve on the global green bond markets at the forefront of the climate change fight. For this purpose, we compute three components (level, slope, and curvature) of the US yield curve based on daily data of the treasury yields with several maturities from January 2009 to June 2022 and employ country-level S&P green bond indices. Our dynamic network analysis shows that the level component of the yield curve is more influential in transmitting return and volatility shocks to green bonds, while curvature is primarily absorptive. The European, the US, and Hong Kong green bonds are the leading players in shock propagation. Both return- and volatility spillovers are time-varying and remain high during periods of systemically important events, especially COVID-19 and the Russia-Ukraine war, supporting the Global Financial Cycle Hypothesis. The war also changes the net behaviors (transmitter versus receiver) of the components and the indices. Investors and issuers of green bonds are advised to keenly observe the shape of the US yield curve and systemic events for better decision-making regarding investment horizons and contagion risk management.</p></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"74 ","pages":"Article 102223"},"PeriodicalIF":3.8,"publicationDate":"2024-06-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141487091","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