Showing papers in "The North American Journal of Economics and Finance in 2020"

TL;DR: In this paper, a multi-scale correlation framework was proposed to explore the co-movement and causality of pairs of economic policy uncertainty indices of G7 countries, China, Brazil, and Russia and West Texas Intermediate (WTI) oil prices.

TL;DR: In this article, the authors employ partial-and multiple-wavelet coherence analyses to examine co-movement between international stock markets by considering the influence of crude oil in a time domain perspective.

TL;DR: In this paper, the authors examined the predictability of stock market implied volatility on stock volatility in five developed economies (the US, Japan, Germany, France, and the UK) using monthly volatility data for the period 2000 to 2017.

TL;DR: In this paper, the authors studied the asymmetric spillover effect of important economic policy uncertainty (EPU) on the S&P500 index and found that bad volatility reacts more strongly to shocks in EPU following the debt crisis and trade negotiations.

TL;DR: In this article, a quantile variance decomposition framework for measuring extreme risk spillover effects across international stock markets is proposed, which extends the spillover index approach suggested by Diebold and Yilmaz (2009) using quantile regression analysis instead of the ordinary least squares estimation.

TL;DR: The spillover effects among 14 cryptocurrencies by employing transfer entropy are investigated and it is suggested that among different types of cryptos, Bitcoin is still the most appropriate instrument for hedging, while Tether which have a strong anchor with the US dollar is significantly volatile.

TL;DR: In this paper, the impact of competition on bank fragility and bank stability in the GCC banking market has been assessed by bank risk-taking behavior and stability during the period 1998-2016.

TL;DR: In this paper, a two-step economic constraint forecasting model was proposed to improve the accuracy of stock return forecasts by combining new technical indicators and a new two-stage economic constraint forecast model.

TL;DR: The authors employed quantile-on-quantile and causality-in-quantiles approaches to empirically address the effects of oil price shocks on exchange rates of developed and developing countries.

TL;DR: In this article, the authors employ the nonlinear autoregressive distributed lag (NARDL) model to characterize asymmetric uncertainty effects on 11 Asian stock market indices over the 2000M08-2017M02 period.

TL;DR: Wang et al. as mentioned in this paper investigated the systemic risk spillovers and connectedness in the sectoral tail risk network of Chinese stock market and explored the transmission mechanism of systemic risk by block models, and found that during market crashes, stock market exposes to more systemic risk and more connectedness.

TL;DR: In this paper, the authors study the multifractality, long-memory process, and efficiency hypothesis of six major cryptocurrencies (Bitcoin, Ethereum, Monero, Dash, Litecoin, and Ripple) using the time-rolling MF-DFA approach.

TL;DR: Wang et al. as mentioned in this paper measured access to financial services from a microscopic perspective and constructed a digital finance indicator, showing that both access to formal finance and digital finance significantly promote households' consumption, and these effects are much larger for rural households and poorer households in China.

TL;DR: Qiang Ji and Juncal Cunado as mentioned in this paper acknowledge support from National Natural Science Foundation of China under Grant No. 71774152, No. 91546109, and Youth Innovation Promotion Association of Chinese Academy of Sciences (Grant: Y7X0231505).

TL;DR: In this paper, the authors analyzed the predictability of the movements of bond premia of US Treasury due to oil price uncertainty over the monthly period 1953:06 to 2016:12.

TL;DR: In this paper, the authors evaluate the impact of financial innovation on bank growth and how their growth is affected by various dimensions of institutional environments' interaction with financial innovation and find that banks located in countries with a higher level of financial innovations exhibit better growth in assets, loans, and profits.

TL;DR: In this paper, a structured review of crude oil price dynamics is provided, which summarizes evidence on important factors determining oil prices, discusses the impact of oil market shocks on the macro economy and the stock market, and outlines approaches for forecasting crude oil prices and volatility.

TL;DR: In this article, the authors investigated the effect of domestic factors (economic, financial and political risk) and foreign factors (global economic policy uncertainty) on the stock market index in Taiwan.

TL;DR: In this paper, the authors examined whether chief executive officers with narcissistic tendencies are more likely to execute earnings management behavior because of pressure to fulfill earnings thresholds and found that a CEO who exhibits high narcissism is more likely than others to be involved in earnings management to compensate for her/his performance.

TL;DR: Based on the existing asset bubble theory, the Bitcoin bubble was verified based on the production cost with the application of VAR and LPPL models, and this method achieved good predictive power.

TL;DR: In this paper, the evolutions and determinants of volatility spillover dynamics in G7 stock markets in a time-frequency framework were investigated and the impacts of hypothesized factors on the decomposed volatility spillovers were examined, using a linear regression model and fixed effects panel model.

TL;DR: In this paper, the contribution of insurance growth to economic growth, by employing the benefit side of the insurance activity, next to the acquisition side that has already been considered, is investigated.

TL;DR: In this article, the spatial spillovers of volatility among G20 stock markets and the influential factors of financial risk are investigated using the spatial econometric model as well as the complex network theory.

TL;DR: In this paper, the authors examined whether U.S. and home country geopolitical risks (GPRs) and disasters matter for the returns from cross-border trading of country exchange-traded funds (ETFs) by employing a quantile regression approach.

TL;DR: Examination of dependence and contagion risk between Bitcoin, Litecoin and Ripple using non-parametric mixture copulas and recently proposed methods of full-range tail dependence copulas reveals a strong and prevalent upper and lower-tail dependence of each pairs of cryptocurrencies.

TL;DR: In this paper, the cointegrating structure of five exchange rates to the US dollar is analyzed, namely the British Pound, the Euro, the Swedish Krona, the Canadian Dollar and the Swiss Franc.

TL;DR: In this paper, the authors examined portfolio management and risk spillovers between four major precious metals (gold, silver, palladium and platinum) and 20 important U.S. exchange markets.

TL;DR: In this article, the role of regime switching in the prediction of Chinese stock market volatility with international market volatilities is investigated, and the results show that the transition probabilities are significant and the high volatility regime exhibits substantially higher volatility level than the low volatility regime.

TL;DR: Wang et al. as mentioned in this paper established six new type heterogeneous autoregressive (HAR) models by incorporating structural breaks and day-of-the-week effect to forecast the volatility.

TL;DR: In this paper, the authors investigated time-frequency co-movements between crude oil prices and interest rates in the United States and found significant relationships between WTI crude oil price and US interest rates.