Showing papers in "The North American Journal of Economics and Finance in 2019"

TL;DR: This work develops an experimental framework for the classification problem which predicts whether stock prices will increase or decrease with respect to the price prevailing n days earlier, and selects technical indicators and their use as features with high accuracy for medium to long-run prediction of stock price direction.

TL;DR: In this article, the effects of international (US based) economic policy uncertainty, geopolitical risk and financial stress alike on the emerging stock markets were examined and the impact of these shocks is heterogeneous across the markets in terms of causality and intensity.

TL;DR: In this article, the authors extend the prior literature on market connectedness and spillover by quantifying the size of return connectedness across markets (assets) applying the network spillover methodology, they perform both static and dynamic analyses to quantify the net spillover shock transmission from one market to another market (stock, bond, currency, and commodities) from December 1999 to June 2016 Thus, they measure the net pairwise spillover and assess the net directional connectedness for each market (asset class)

TL;DR: In this paper, the authors attempted to model the bidirectional linkages between corporate social responsibility (CSR) and corporate financial performance (CFP) by using the prospective and retrospective approaches.

TL;DR: In this paper, the co-movements between the Volatility Uncertainty Index (VIX) and Bitcoin (BTC) were revisited by accounting for the impacts of the three major global factors, namely the U.S. economic policy uncertainty index (EPU), the Crude Oil Volatility Index (OVX), and the Geopolitical Risk Index (GPR).

TL;DR: The authors investigated the spillover of U.S. economic uncertainty on the stock market volatility of six industrialized and three emerging-market countries, using a bivariate GARCH-MIDAS model.

TL;DR: In this article, the authors examined the asymmetric volatility connectedness between Bitcoin and major precious metals markets (gold, silver, palladium, and platinum) using high-frequency data with methodologies introduced by Diebold and Yilmaz (2014) and Barunik, Koccenda and Vacha (2017).

TL;DR: In this article, the authors explored the potential effects of China's One Belt One Road (OBOR) policy on trade flows in ASEAN countries and China using the augmented gravity model of international trade and data from 2000 to 2016.

TL;DR: In this article, the authors used wavelet coherence and cross wavelet transform approaches to examine co-movement between Bitcoin and five major cryptocurrencies (Dash, Ethereum, Litecoin, Monero and Ripple) and their portfolio risk implications.

TL;DR: In this article, the authors estimate a multivariate stochastic volatility model with discontinuous jumps to mean returns and volatility, which allows to extract a time-varying shared average volatility and to account for possible large outliers.

TL;DR: In this paper, the role of Bitcoin prices in stock return predictability of G7 countries was examined for both in-and out-of-sample forecasts with multiple forecast horizons.

TL;DR: In this paper, the authors examined the relation between investor sentiment and asset returns in the Korean stock market, which is characterized by significant information asymmetry and a high degree of market sentiment.

TL;DR: In this article, the authors examined the relationship between competition, efficiency and stability in the banking systems of four East Asian countries (China, Hong Kong, Malaysia and Vietnam) over 2004-2014.

TL;DR: In this article, the effects of oil price shocks and economic policy uncertainty on China's trade were studied and the authors found that oil supply, aggregate demand and oil specific demand shocks can significantly decrease the Chinese trade terms, whereas economic policy uncertainties can significantly increase the terms of trade.

TL;DR: In this paper, the authors use data about US firms from 1990 to 2016 and show that the aggregate market volatility risk, captured by the VIX, plays a role in the relationship between IVOL and stock returns.

TL;DR: In this article, the authors examine how US policy uncertainty shocks spill over to the rest of the world in a global VAR (GVAR) framework and find that the spillovers are heterogeneous across countries, which are determined by the different types of US policy uncertainties and the receiving country's characteristics (e.g., level of development, trade and financial openness, and quality of institutions).

TL;DR: In this paper, the authors link accounting-based anomalies to investors' behavioral biases and find that investors respond to earnings news differently according to sentiment, suggesting that investors are more optimistic about the expected cash flows included in good earnings news for firms with high sentiment.

TL;DR: In this article, the authors employ a regular vine copula approach to model the dependence dynamics between major American and European stock markets by distinguishing the effects during crisis periods and tranquility periods, indicating strong evidence of financial contagion with the Eurozone at its origin.

TL;DR: In this article, the authors examined the impact of the two recent political and economic crises of March 2014 and June 2017 on the stock market dependence and volatility spillover between Qatar and the other GCC countries (Saudi Arabia, the United Arab Emirates, Bahrain, Kuwait and Oman).

TL;DR: In this article, the authors investigated the risk contagion among the Brent crude oil market, London gold market and stock markets (Chinese and European) and employed the CEEMDAN method and fine to coarse algorithms to decompose these market returns into different components.

TL;DR: In this article, the authors examined the diversification and hedging properties of Bitcoin and gold assets for oil and S&P GSCI investors and found that BTC and gold provide diversification benefits for oil.

TL;DR: In this paper, a threshold vector auto regression method was applied to evaluate the impact of GPR stemming from Saudi Arabia (regional) and Russia (global) on financial stress in Turkey.

TL;DR: In this paper, the authors examined the connections between stock prices and key macroeconomic indicators: inflation, industrial production, interest rates, money supply and select interactions between the latter group of variables.

TL;DR: In this article, the in-and out-of-sample predictive value of time-varying risk aversion for realized volatility of gold returns via extended heterogeneous autoregressive realized volatility (HAR-RV) models is studied.

TL;DR: Zhang et al. as mentioned in this paper showed that Confucianism is negatively associated with stock price crash risk and showed that analyst coverage and institutional ownership, as formal governance mechanisms, attenuate the effect of ConfucIANism on stock prices crash risk.

TL;DR: In this paper, the asymmetric volatility effect in 19 equity indices from North America, Latin America, Europe, Asia and Australia, utilizing not only daily data and four GARCH class models, but also realized volatility calculated from high-frequency data within HAR class models.

TL;DR: In this article, the authors examined whether companies in Taiwan's financial industry benefit from enterprise risk management (ERM) adoption and how much value ERM activity creates, and found that a financial company implementing ERM benefits by adding 5.37% value compared to nonusers.

TL;DR: In this article, the authors conduct a comprehensive investigation of calendar anomaly evolution in the US stock market (given by the Dow Jones Industrial Average) for the 1900-2018 period, and employ various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis and Mann-Whitney tests, modified cumulative abnormal returns approach), R / S analysis, and the trading simulation approach to analyse the evolution of the following calendar anomalies: day of the week effect, turn of the month effect, turning of the year effect, and holiday effect.

TL;DR: In this paper, the authors investigate pairwise, net and total return and volatility spillovers across 15 Islamic equity markets from widely dispersed locations and find the presence of persistent clustering of spillovers (viz., Qatar - UAE - Saudi Arabia and Turkey - Malaysia - Indonesia).

TL;DR: In this article, the authors employ the wavelet approach to analyze the daily data from four Asian economies and find that co-movement amplifies portfolio risks and this amplification increases with scale.