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The role of ESG factor in stock clustering based on risk-return-liquidity dimensions 基于风险-收益-流动性维度的ESG因素在股票聚类中的作用
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102350
Lucie Staněk Gyönyör , Matúš Horváth , Daniel Stašek , Martin Stachoň
{"title":"The role of ESG factor in stock clustering based on risk-return-liquidity dimensions","authors":"Lucie Staněk Gyönyör ,&nbsp;Matúš Horváth ,&nbsp;Daniel Stašek ,&nbsp;Martin Stachoň","doi":"10.1016/j.najef.2024.102350","DOIUrl":"10.1016/j.najef.2024.102350","url":null,"abstract":"<div><div>ESG stocks exhibit discernible attributes that encompass both financial and non-financial considerations. Our study examines whether ESG stocks provide unique characteristics in terms of return, risk, and liquidity. We use a multivariate statistical approach to analyze the ESG ratings of S&amp;P 1200 stocks from seven major data providers and their structural combinations. The findings indicate the absence of a general systematic effect over seven consecutive years. Still, unidimensional scores, particularly Governance, demonstrate greater significance compared to multidimensional indicators, suggesting the financial importance of core ESG information and its usefulness in financial decision-making. Besides, we discuss the effect of specific events and investors’ understanding of ESG scores’ representation. Although the article argues for a substantial overlap between traditional financial analysis and the core features of the Governance dimension, ESG may not emerge as a dominant factor in stock clustering and, thus, cannot be recognized as a separate sub-asset class indicator.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102350"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094382","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 further examination of sovereign domestic and external debt defaults 对主权国内和外部债务违约的进一步审查
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102322
Yaseen Ghulam
{"title":"A further examination of sovereign domestic and external debt defaults","authors":"Yaseen Ghulam","doi":"10.1016/j.najef.2024.102322","DOIUrl":"10.1016/j.najef.2024.102322","url":null,"abstract":"<div><div>Theoretical and empirical studies have generally ignored interactions between political, economic and financial factors, in determining or predicting external sovereign debt defaults across geographic clusters. In addition, investigating and predicting defaults on domestic debt is relatively uncommon. This study looks into both domestic and external debt defaults of sovereign countries from diverse regions by interacting political, financial and economic factors and draws broad conclusions that domestic and sovereign debt defaults share some common features, although significant heterogeneities also exist. The findings of this study have significant policy implications in predicting and managing sovereign domestic and external debt defaults.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102322"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143103396","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
How does the supplier size similarity affect trade credit? 供应商规模相似性如何影响贸易信用？
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102346
Xiaobao Song , Mingan Yao , Chun Guo
{"title":"How does the supplier size similarity affect trade credit?","authors":"Xiaobao Song ,&nbsp;Mingan Yao ,&nbsp;Chun Guo","doi":"10.1016/j.najef.2024.102346","DOIUrl":"10.1016/j.najef.2024.102346","url":null,"abstract":"<div><div>Suppliers’ bargaining power mainly comes from their market position or top supplier status. However, it is also affected by the horizontal interaction from top supplier size similarity based on the purchasing proportion of a buyer. Using a sample of listed companies in China, we find an inverted U-shaped relationship between the supplier size similarity with shared customers and trade credit provisions. As size similarity increases, suppliers may increase (decrease) trade credit provision to expand sales (for cash income). That is, based on the degree of supplier size similarity, the similarity may strengthen or weaken the supplier competition. We also find that if the business environment is poor, or if it is during a market crisis, the competition effect from supplier size similarity is not obvious, whereas a small board size of buyer promotes the supplier competition. In addition, the competition effect from supplier size similarity is not observed in state-owned enterprises (SOEs).</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102346"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094377","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
Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information 实时GARCH@CARR：一个联合模型的回报，实现措施的波动性和当前的盘中信息
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2025.102368
Buyun Xu , Zhimin Wu
{"title":"Real-time GARCH@CARR: A joint model of returns, realized measure of volatility and current intraday information","authors":"Buyun Xu ,&nbsp;Zhimin Wu","doi":"10.1016/j.najef.2025.102368","DOIUrl":"10.1016/j.najef.2025.102368","url":null,"abstract":"<div><div>Recently, financial volatility models with Real-time information have attracted widespread attention. In this paper, we first consider the Real-time information in high-frequency data and then propose the Real-time GARCH@CARR model. Compared to previous Real-time volatility models, the new model regards current realized measure as Real-time information of high-frequency data and describes the volatility process as a mixture of past high-frequency information and current intraday random information. The model is further extended to two improved versions to contain leverage and volatility feedback effects. Under the framework of the proposed models, some important properties are discussed. The simulation results show that the estimators of our proposed models have good asymptotic performance over different sample sizes. And the empirical results and robustness analysis confirm that our proposed models outperform other benchmark models in terms of forecasting volatility, return density and risk.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102368"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094289","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
Strategic cooperation in fintech field and efficiency of commercial banks 金融科技领域战略合作与商业银行效率提升
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2025.102377
Zhiming Ao , Xinru Ji
{"title":"Strategic cooperation in fintech field and efficiency of commercial banks","authors":"Zhiming Ao ,&nbsp;Xinru Ji","doi":"10.1016/j.najef.2025.102377","DOIUrl":"10.1016/j.najef.2025.102377","url":null,"abstract":"<div><div>This study examines the impact of strategic cooperation in fintech field between banks and technology companies on the efficiency of commercial banks. The results reveal that bank-fintech strategic partnerships have a positive impact on bank efficiency. We find that strategic cooperation affects bank operations by improving profitability, digital management capabilities, and cost control abilities. Additionally, this cooperation increases banks' risk preference and eases constraints of conservative operations on efficiency. These improvements<!--> <!-->based on enhanced bank stability help to alleviate the traditional problems of credit tightening, allowing commercial banks to increase their risk tolerance and achieve profitable growth.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102377"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094296","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
Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China 经济政策不确定性、投资者情绪与系统性金融风险：来自中国的证据
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102356
Guobin Fang , Xuehua Zhou , Huimin Ma , XiaoFang Zhao , YaoXun Deng , Luoyan Xie
{"title":"Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China","authors":"Guobin Fang ,&nbsp;Xuehua Zhou ,&nbsp;Huimin Ma ,&nbsp;XiaoFang Zhao ,&nbsp;YaoXun Deng ,&nbsp;Luoyan Xie","doi":"10.1016/j.najef.2024.102356","DOIUrl":"10.1016/j.najef.2024.102356","url":null,"abstract":"<div><div>Based on the construction of systemic financial risk metrics using the TVP-FAVAR model, this paper explores the dynamic evolutionary relationship between economic policy uncertainty (EPU), different dimensions of investor sentiment and systemic financial risk using the TVP-SV-VAR model. It also examines the cross-market contagion mechanism of systemic financial risk under EPU shocks and the role of investor sentiment in it from two dimensions: financial market and economic fundamentals. The study finds that (1) the short- and medium-term effects of EPU on systemic financial risk are more stable and significant than the long-term effects. (2) Micro investor sentiment has the strongest shock effect on systemic financial risk. (3) There are differences in the timing and extent of direct shocks to EPU across financial sub-markets and economic sectors, and risk contagion effects among each other and indirect shocks from investor sentiment further increase the level of systemic financial risk. This study is of great significance for coping with EPU and investor sentiment shocks and preventing and resolving systemic financial risks.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102356"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094383","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
Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments: An agent-based modeling approach 探讨高频交易和非高频交易环境下交易税对市场质量的动态影响：基于主体的建模方法
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102360
Liming Wang , Xuchu Sun , Hongliang Zhu , Tangrong Li
{"title":"Exploring the dynamic impact of transaction taxes on market quality in HFT and non-HFT environments: An agent-based modeling approach","authors":"Liming Wang ,&nbsp;Xuchu Sun ,&nbsp;Hongliang Zhu ,&nbsp;Tangrong Li","doi":"10.1016/j.najef.2024.102360","DOIUrl":"10.1016/j.najef.2024.102360","url":null,"abstract":"<div><div>This paper investigates the relationship among transaction taxes, high-frequency trading (HFT), and market quality. We use the agent-based modeling (ABM) approach to dynamically assess the impact of transaction taxes on market quality with and without high-frequency trading. Preliminary tests indicate that high-frequency trading negatively affects market quality, whereas imposing a moderate transaction tax rate may improve market quality in both scenarios. However, when the transaction tax rate further increases, market quality may be impaired. The adverse effect of a higher tax rate is more pronounced in markets without HFT participation. The findings reveal that the impact of transaction taxes on market quality varies with investor composition and tax rates, offering insights into the diversity of transaction tax policies across global stock markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102360"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094387","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
Finance and collusion in oligopolistic markets 寡头垄断市场中的金融与勾结
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102351
Sugata Marjit , Arijit Mukherjee , Xinpeng Xu , Lei Yang
{"title":"Finance and collusion in oligopolistic markets","authors":"Sugata Marjit ,&nbsp;Arijit Mukherjee ,&nbsp;Xinpeng Xu ,&nbsp;Lei Yang","doi":"10.1016/j.najef.2024.102351","DOIUrl":"10.1016/j.najef.2024.102351","url":null,"abstract":"<div><div>We explore how financial constraints affect the sustainability of product market collusion in a bank-financed oligopoly, where firms operate within an imperfect credit market. Our analysis uncovers a non-monotonic relationship between the sustainability of collusion and the level of financial constraints, using a general demand function. Notably, collusion tends to be more sustainable when firms experience low to moderate financial constraints, as opposed to having no financial constraints at all. However, when firms are under complete financial constraints, the sustainability of collusion may decrease compared to situations without financial constraints. These findings hold true for both Cournot and Bertrand competition models in the product market.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102351"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143094388","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
Green bonds and clean energy stocks: Safe havens against global uncertainties? A wavelet quantile-based examination 绿色债券和清洁能源股：全球不确定性的避风港？基于小波分位数的检测
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102310
Chaker Aloui , Sami Mejri , Hela Ben Hamida , Ramazan Yildirim
{"title":"Green bonds and clean energy stocks: Safe havens against global uncertainties? A wavelet quantile-based examination","authors":"Chaker Aloui ,&nbsp;Sami Mejri ,&nbsp;Hela Ben Hamida ,&nbsp;Ramazan Yildirim","doi":"10.1016/j.najef.2024.102310","DOIUrl":"10.1016/j.najef.2024.102310","url":null,"abstract":"<div><div>The renewable energy sector has seen rapid investment growth over the last decade, with Green Bonds (GB) and Clean Energy Stocks (CLE) emerging as critical components of sustainable finance. Using daily data from 2013 to 2023, this study investigates the diverse roles of GB and CLE as potential safe havens under Geopolitical Risks (GEO) and Economic Policy Uncertainty (ECU). Applying an advanced Wavelet Quantile Regression (WQR) approach, we assess their effectiveness across different time horizons and risk conditions. The findings reveal that GB consistently offer stronger protection against economic risks, particularly in the short to mid-term, while CLE are more effective in shielding against geopolitical risks. Over longer periods, GB maintain their safe haven status, while CLE’s protective capabilities diminish. The results also highlight that GB and CLE behave differently across quantiles, with GB showing stability across extreme market conditions, making it a more reliable hedge overall. This study offers valuable policy insights for key stakeholders. Policymakers are encouraged to integrate GB and CLE into sustainable finance strategies, investors can mitigate risk by blending these assets, and portfolio managers should adjust allocations dynamically based on evolving market conditions. The results underscore the importance of green assets as hedges in times of global uncertainty, contributing to the growing literature on sustainable finance.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102310"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143103397","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
Unveiling the gold-oil whirl amidst market uncertainty shocks in China 在中国市场不确定性冲击下揭开黄金-石油的漩涡
IF 3.8 3区 经济学
North American Journal of Economics and Finance Pub Date : 2025-01-01 DOI: 10.1016/j.najef.2024.102333
Houjian Li , Yanjiao Li, Fangyuan Luo
{"title":"Unveiling the gold-oil whirl amidst market uncertainty shocks in China","authors":"Houjian Li ,&nbsp;Yanjiao Li,&nbsp;Fangyuan Luo","doi":"10.1016/j.najef.2024.102333","DOIUrl":"10.1016/j.najef.2024.102333","url":null,"abstract":"<div><div>This study provides a comprehensive examination of the dynamic interaction between the crude oil and gold markets amid Economic Policy Uncertainty (EPU), Climate Policy Uncertainty (CPU), Monetary Policy Uncertainty (MPU), Geopolitical Risk (GPR), and Equity Market Volatility (EMV), emphasizing the growing concerns over extreme risks and shocks driven by uncertainty. Using the time-varying Granger causality test and Time-Varying Parameter Vector Autoregression (TVP-VAR) approach, this study uncovers several key insights into the market dynamics of gold, crude oil, and uncertainty between January 2000 and July 2022. Firstly, our analysis reveals significant time-varying causal links between oil, gold, and uncertainty, particularly during major crises. Secondly, the pairwise spillover analysis demonstrates that gold and crude oil predominantly act as receivers of uncertainty, with uncertainty shocks serving as notable risk transmitters. Thirdly, the findings suggest that during extreme market conditions, the spillover effects among uncertainty, crude oil, and gold are more pronounced compared to normal market scenarios. These empirical insights contribute to the development of strategies for hedging investment risks in various uncertain environments by leveraging the interdependencies between the crude oil and gold markets.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"76 ","pages":"Article 102333"},"PeriodicalIF":3.8,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"143103400","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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