首页期刊导航|The North American journal of economics and finance
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The North American journal of economics and finance
JAI Press for the North American Economics and Finance Association
The North American journal of economics and finance

JAI Press for the North American Economics and Finance Association

年3期

1062-9408

The North American journal of economics and finance/Journal The North American journal of economics and finance
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    The research on non-linear relationship between enterprise digital transformation and stock price crash risk

    Ai Y.Chi Z.Sun G.Zhou H....
    1.1-1.14页
    查看更多>>摘要：© 2023 Elsevier Inc.This paper uses data from Chinese A-share listed enterprises to examine digital transformation's impact and intrinsic mechanisms on the risk of stock price collapse. This paper finds that the impact of digital transformation on the risk of stock price collapse follows an inverted U-shaped trend characterized by initial exacerbation followed by subsequent suppression. Furthermore, we find that as most Chinese enterprises are still positioned at the left end of the inverted U-shaped curve in terms of their level of digital transformation, the impact of digital transformation on the risk of the stock price collapse is mainly characterized by exacerbation. Moreover, we discover that digital transformation influences the risk of stock price collapse by increasing agency costs and fostering managerial overconfidence. Lastly, the heterogeneity analysis results indicate that digital transformation's impact on the risk of stock price collapse varies among different types of enterprises. The exacerbation effect of the former on the latter is primarily observed in small-sized and non-high-tech enterprises. Additionally, as the digital transformation progresses, large-sized enterprises and high-tech enterprises can benefit more rapidly from its positive empowering effects.
      原文链接:
    • NETL
    • NSTL
    • Elsevier

    Optimal incentives for managerial innovation

    Loyola G.Portilla Y.
    1.1-1.25页
    查看更多>>摘要：© 2023 Elsevier Inc.An agency model is proposed that identifies the optimal executive compensation scheme for a business where the owner's delegation of investment decision-making to the manager gives rise to a two-dimensional moral hazard problem relating to the levels of managerial effort and innovation, respectively. The optimal executive compensation structure is shown to depend on which of the two moral hazard dimensions predominates, thus accounting for the coexistence in the real-world of bonus-like plans with different convexity degrees and risk-reward schemes. The model also identifies the conditions under which the efficient investment policy involves high innovation, highlighting the role played by the delegation of investment decisions in the coexistence of high-tech and more traditional industries.
      原文链接:
    • NETL
    • NSTL
    • Elsevier

    Stock market forecasting accuracy of asymmetric GARCH models during the COVID-19 pandemic

    Caiado J.Lucio F.
    1.1-1.14页
    查看更多>>摘要：© 2023 The AuthorsWe propose a new clustering approach for comparing financial time series and employ it to study how the COVID-19 pandemic affected the U.S. stock market. Essentially, we compute the forecast accuracy of asymmetric GARCH models applied to S&P500 industries and use the model forecast errors for different horizons and cut-off points to calculate a distance matrix for the stock indices. Hierarchical clustering algorithms are used to assign the set of industries into clusters. We found homogeneous clusters of industries in terms of the impact of COVID-19 on US stock market volatility. The industries most affected by the pandemic and with less accurate stock market prediction (Hotels, Airline, Apparel, Accessories & Luxury Goods, and Automobile) are separated in Euclidean distance from those industries that were less impacted by COVID-19 and which had more accurate forecasting (Pharmaceuticals, Internet & Direct Marketing Retail, Data Processing, and Movies & Entertainment).
      原文链接:
    • NETL
    • NSTL
    • Elsevier

    Valuing rebate options and equity-linked products

    Lee H.Jeong H.Lee G.
    1.1-1.15页
    查看更多>>摘要：© 2023 Elsevier Inc.In this article, we propose rebate options with multi-step barriers, which are an extension of rebate options with a constant barrier. Despite the applicability and marketability of rebate options, there have been only a few research on obtaining analytical formulas. Accordingly, in this paper, we derive closed-form pricing formulas for these options under the Black–Scholes framework. The rebate options with multi-step barriers allow a flexible barrier structure, and thus we propose complex equity-linked products embedded with rebate options with barriers and derive pricing formulas for them. We conduct numerical studies on the pricing of rebate options with multi-step barriers, equity-linked securities, and equity-indexed annuities. The numerical studies validate the prices obtained from the pricing formulas.
      原文链接:
    • NETL
    • NSTL
    • Elsevier

    Dynamic relations between housing Markets, stock Markets, and uncertainty in global Cities: A Time-Frequency approach

    Alqaralleh H.Canepa A.Salah Uddin G.
    1.1-1.19页
    查看更多>>摘要：© 2023 Elsevier Inc.This paper considers the dynamic features of housing prices in metropolises that are characterised by a high degree of internationalisation. Using the wavelet coherency procedure, the degree of co-movement and causality between housing, stock markets, and macroeconomic uncertainty are investigated. In addition, the existence of volatility spillover across housing markets is assessed in the time–frequency domain using a novel procedure that involves combining the wavelet decomposition with a time varying parameter vector autoregression model. The results highlight that the clustering of global business in a limited number of metropolises that act as “global hubs” leaves the local housing markets exposed to international shocks and volatility spillover. The empirical analysis suggests that the correlations between real estate and stock markets from one side, and real estates and uncertainty on the other side, intensify during the turmoil periods. Causality and co-movement relationships appear predominately in the medium and long run periods. The evidence presented in this paper suggests that policymakers cannot ignore the possibility that international shocks to housing markets may affect the domestic markets. In this respect, macroprudential policy tools may target tapering off the unintended effects of housing market globalisation such as house price shock synchronisation, especially when these shocks take place in cities that are also major financial centres.
      原文链接:
    • NETL
    • NSTL
    • Elsevier

    Extreme dependence and spillovers between uncertainty indices and stock markets: Does the US market play a major role?

    Mensi, WalidKamal, Md RajibVo, Xuan VinhKang, Sang Hoon...
    1.1-1.23页
    查看更多>>摘要：This study investigates the spillovers and connectedness between uncertainty indices of oil gold, and stock (VIX), the economic policy uncertainty (EPU) and international stock markets (US, EU, UK, Japan, China, and Vietnam) under bearish, normal, and bullish market conditions. We employ a cross-quantilogram and quantile connectedness approach to investigate the contem-poraneous linkages and asymmetries among stock markets under various financial market un-certainty. Using the cross-quantilogram approach, we find strong cross-quantilogram dependencies from the US stock market to other markets, even after controlling for the un-certainties. We find greater spillovers under volatile market conditions-bearish and bullish-- than under stable market conditions using the quantile connectedness approach. The financial volatility or uncertainty indices are net transmitter (receiver) of spillover in the stock markets, especially in the bearish and tranquil (bullish) market status. Furthermore, all markets and the uncertainty indices except the US, Europe, and the UK are net receivers of spillovers in the lower quantile, while VIX uncertainty index shifts to being a net transmitter of spillovers in the lower and median quantiles. In the upper quantile, Japanese stock market and the uncertainty indices are net receivers of spillovers. VIX is strongly linked to the US (Chinese) market in tranquil (bullish) market conditions. In addition, the maximum amount of spillovers was attained during the beginning of 2020, coinciding with the onset of the COVID-19 pandemic's first wave.
      原文链接:
    • NETL
    • NSTL
    • Elsevier

    The cross-border interaction of financial stress: From the perspective of pattern causality

    Yao X.Le W.Li J.Liu E....
    1.1-1.15页
    查看更多>>摘要：© 2023It remains enigmatic and challenging, yet inspiring, to identify the interactions of financial stress, particularly when integration of international financial markets has intensified. Considering the nonlinear nature of financial markets, this study investigated the cross-border interaction of financial stress from the perspective of pattern causality. A multi-type and dynamic recognition of cross-border interactions was made, which can be characterized as positive, negative, or dark causality. Using the composite indicator of systemic stress (CISS) ranging from October 10, 2006, to July 15, 2022, empirical studies were conducted on the financial markets of China, the U.S., and the Euro area. The results showed that the positive causality of financial stress dominates, followed by dark causality in most cases. The positive causality between financial stress is enhanced in periods of extensive stress. When stress is released, positive causality declines and dark causality increases, implying that interaction structures are hidden and become opaque. In addition, the causality of different financial markets shows some heterogeneity: the positive causality of financial stress is stronger in advanced economies, while the dark causality between China and the U.S./Euro area is more evident than that between other advanced economies. This implies greater uncertainty regarding the cross-border interactions of emerging economies.
      原文链接:
    • NETL
    • NSTL
    • Elsevier

    Heterogeneous impact of Covid-19 on the US banking sector

    Heitmann D.Islam M.S.Chowdhury M.A.F.
    1.1-1.20页
    查看更多>>摘要：© 2023 Elsevier Inc.This study discusses the impact of Covid-19 on important financial performance indicators and risk indicators of US banks using quarterly panel data of the 87 insured U.S.-chartered commercial banks, covering periods from 2017 to 2021. Based on random effect and two step system GMM models, we provide strong empirical evidence of the adverse impact of the pandemic on important accounting and market-based measures and risk indicators. The presence of Covid-19 implies declining profitability, deteriorating cost efficiency and decreasing level 3 assets to securities ratios. It also adversely impacted key risk indicators by increasing credit risk and the risk of regulatory capital. Using quantile regression, we have also identified heterogeneity among banks in terms of financial performance and risk indicators. The findings of the study will add value in research to the existing literature and provide the newest findings to the stakeholders who are engaged with the US banking sector.
      原文链接:
    • NETL
    • NSTL
    • Elsevier

    Corrigendum to “Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets” [North Am. J. Econ. Fin. 65 (2023) 101884](S1062940823000074)(10.1016/j.najef.2023.101884)

    Patari E.Ahmed S.Luukka P.Yeomans J.S....
    1.1-1.1页
    查看更多>>摘要：© 2023 The Author(s)The authors regret that in the acknowledgements they have accidentally missed to thank Tuomas Lankinen for his research assistance. Hence, the authors would like to correct this unfortunate oversight. Previous acknowledgement was “We thank Hamid Beladi (the editor), Stefano Giglio, Ian Dew-Becker, Bing Han, and two anonymous reviewers for their valuable comments on earlier drafts of this paper. We are also grateful to Olivier Ledoit, Michael Wolf, Andrew Patton, and Allan Timmermann for making their programming codes freely available. In addition, we are indebted to Ken French for free access to his data library.” and the corrected one is “We thank Hamid Beladi (the editor), Stefano Giglio, Ian Dew-Becker, Bing Han, and two anonymous reviewers for their valuable comments on earlier drafts of this paper. We are also grateful to Olivier Ledoit, Michael Wolf, Andrew Patton, and Allan Timmermann for making their programming codes freely available. In addition, we are indebted to Ken French for free access to his data library. We would also like to thank Tuomas Lankinen for his excellent research assistance.” For CRediT authorsip contribution statement, the authors would also like to supplement Pasi Luukka's role with “Writing – review & editing”. The authors would like to apologise for any inconvenience caused.
      原文链接:
    • NETL
    • NSTL
    • Elsevier

    Oil price shocks and stock–bond correlation

    Ziadat S.A.McMillan D.G.Al Rababa'a A.R.A.Rehman M....
    1.1-1.18页
    查看更多>>摘要：© 2023 The Author(s)This paper investigates the role of oil as a determinant of the US stock–bond correlation. The analysis uses monthly data over the period from February 1990 to July 2021. We examine the impact of oil shocks, using the Ready (2018) method, alongside a range of macroeconomic variables on the nature of stock–bond dynamic correlation. Our main findings demonstrate that during recessionary periods, the stock–bond correlation is adversely and statistically explained by oil supply shocks, and that correlation tends to statistically diverge from that of it is counterpart during expansionary periods. In addition, demand shocks are more pronounced in periods of pessimistic investor sentiment, whereas supply and risk shocks appear during optimistic periods. From a risk management standpoint, a backtesting exercise shows that the incorporation of supply and demand shocks generally improves the forecast of portfolio volatility under various portfolio weighting schemes and market conditions. A time-varying hedging exercise also reveals that accounting for both demand and supply shocks reduces the cost of hedging, mainly following major crisis periods. The contribution of shocks appears most with a long position in the bond market after the 2014 oil crisis period. Our main results remain the same after performing a set of the robustness checks.
      原文链接:
    • NETL
    • NSTL
    • Elsevier