North American Journal of Economics and Finance最新文献_第10页

Understanding the connectedness between US traditional assets and green cryptocurrencies during crises 了解危机期间美国传统资产与绿色加密货币之间的联系

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-07-16 DOI: 10.1016/j.najef.2025.102474

Nikolaos Kyriazis , Shaen Corbet

This research examines the dynamic interaction between conventional financial assets, namely the US dollar, the S&P 500 index, gold and crude oil, and ten major green cryptocurrencies, focusing on their spillover linkages and hedging capacities during major global economic and geopolitical shocks. The study analyses daily data to uncover spillover effects using the innovative Quantile-Vector Autoregressive methodology developed by Cunado et al. (2023). Results indicate that green cryptocurrencies significantly interact with other examined instruments. Algorand, Cardano, IOTA, TRON and Powerledger demonstrate the largest interactive effects, with the latter standing out as a consistent transmitter of influence across both crises, demonstrating that this sub-class of cryptocurrency is exhibiting elevated maturity. Traditional assets predominantly act as receivers of such risk dynamics from more speculative asset classes, with gold identified as an effective absorber of spillovers, especially in bear markets. Conversely, the US dollar and crude oil are identified as large transmitters of spillover impacts, a result found to be particularly influential in periods of geopolitical conflict. The study further reveals that green cryptocurrencies promoting trust, innovation, and renewable energy are more effectively connected with traditional investments than those focusing on financial services or business accessibility, presenting diversification opportunities during crises.

本研究考察了传统金融资产（即美元、标准普尔500指数、黄金和原油）与十大绿色加密货币之间的动态相互作用，重点研究了它们在重大全球经济和地缘政治冲击期间的溢出联系和对冲能力。该研究使用Cunado等人（2023）开发的创新分位数向量自回归方法分析日常数据，以揭示溢出效应。结果表明，绿色加密货币与其他被检查的工具显着相互作用。Algorand、Cardano、IOTA、TRON和Powerledger表现出最大的互动效应，后者在两次危机中都表现出一致的影响力，表明这一子类的加密货币正表现出更高的成熟度。传统资产主要充当来自更具投机性的资产类别的风险动态的接受者，而黄金被认为是溢出效应的有效吸收器，尤其是在熊市中。相反，美元和原油被认为是外溢影响的大传播者，这一结果在地缘政治冲突时期尤为重要。该研究进一步表明，促进信任、创新和可再生能源的绿色加密货币比那些专注于金融服务或商业可及性的加密货币更有效地与传统投资联系在一起，在危机期间提供了多样化的机会。

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引用次数: 0

Dynamics of market power and stability in GCC banking: econometric analysis and policy implications 海湾合作委员会银行市场力量和稳定性的动态：计量经济学分析和政策影响

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-07-08 DOI: 10.1016/j.najef.2025.102499

Idries Mohammad Wanas Al-Jarrah , Khalid Al-Abdulqader , Yazan Idries Al-Jarrah , Shawkat Hammoudeh

This study provides a thorough analysis of the market power within the banking sector of the Gulf Cooperation Council (GCC) countries over the period from 2000 to 2023, by employing robust econometric models and indices. Utilizing a translog cost function model, the study estimates marginal costs and calculates initially the Lerner Index, thereby revealing substantial market power among the GCC banks. To address the issues of high collinearity and heteroscedasticity, the model is refined by highlighting the significant roles of the total assets and labor costs in determining the overall costs. Further, the Adjusted Lerner Index and the Boone Indicator confirm the prevalence of market power in the region’s banking sector. The Panzar-Rosse H-statistic analysis suggests that the GCC banking sector operates under an oligopolistic framework, where the competitive pressures are insufficient to diminish the substantial market power held by the GCC banks. Dynamic GMM panel data models also confirm the persistence of market power, showing that past market power strongly predicts the current levels with minimal fluctuations over time. The study also investigates the relationship between market power and bank stability, revealing that while higher market power is generally associated with lower bank risk, excessive market power may paradoxically increase risk, indicating a non-linear relationship. These findings highlight the importance of regulatory reforms aimed at enhancing competition and fostering a more resilient banking sector. By providing a comprehensive understanding of market power dynamics, this study offers valuable insights for policymakers and financial regulators in the GCC, thus, guiding the efforts to improve competition, reduce systemic risk, and strengthen financial stability.

本研究采用稳健的计量经济模型和指数，对2000年至2023年期间海湾合作委员会（GCC）国家银行业的市场力量进行了全面分析。利用超对数成本函数模型，该研究估算了边际成本，并初步计算了勒纳指数，从而揭示了海湾合作委员会银行之间巨大的市场力量。为了解决高共线性和异方差的问题，通过强调总资产和劳动力成本在决定总成本中的重要作用，对模型进行了改进。此外，调整后的勒纳指数和布恩指标证实了市场力量在该地区银行业的普遍存在。Panzar-Rosse h统计分析表明，海湾合作委员会的银行业是在寡头垄断的框架下运作的，竞争压力不足以削弱海湾合作委员会银行所拥有的巨大市场力量。动态GMM面板数据模型也证实了市场力量的持久性，表明过去的市场力量强有力地预测了当前的水平，随着时间的推移波动最小。该研究还调查了市场支撑力与银行稳定性之间的关系，发现虽然较高的市场支撑力通常与较低的银行风险相关，但过度的市场支撑力可能反而会增加风险，表明一种非线性关系。这些发现凸显了监管改革的重要性，这些改革旨在加强竞争，培养更具弹性的银行业。通过对市场力量动态的全面理解，本研究为海湾合作委员会的政策制定者和金融监管机构提供了有价值的见解，从而指导改善竞争、降低系统性风险和加强金融稳定的努力。

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引用次数: 0

Institutional opening of capital market and stock price Bubble: Evidence from China 资本市场制度开放与股价泡沫：来自中国的证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-06-14 DOI: 10.1016/j.najef.2025.102489

Shaojun Zhang, Xuerui Ping

Speculative behaviors by retail investors in China’s capital markets, such as herding behaviors (e.g., momentum trading and panic selling), have led to persistent stock price bubbles. These accumulated bubbles severely undermine the healthy development of the equity market. As a critical institutional reform for high-level capital market openness, the inclusion of A-shares in the MSCI Emerging Markets Index provides a quasi-natural experiment to examine the effects of opening policies. This study employs a difference-in-differences (DID) model to analyze the impact of MSCI inclusion on stock price bubbles and its underlying mechanisms. The findings reveal that inclusion in the MSCI Index significantly exacerbates the degree of stock price bubbles, a conclusion robust to alternative bubble metrics, extended sample periods, and placebo tests. The mechanism analysis demonstrates that MSCI inclusion intensifies bubble accumulation through elevating investor attention and enhancing stock liquidity. Specifically, index constituent stocks attract heightened media coverage and investor searches (proxied by the Baidu Search Index), improve stock liquidity, and amplify irrational trading behavior, driving stock prices to deviate from intrinsic values. Heterogeneity analysis further identifies information transparency and corporate governance as key moderating channels: The bubble-aggravating effect is concentrated in firms with lower information transparency and poorer corporate governance, as these firms are more vulnerable to investor sentiment fluctuations and the market’s failure to disclose negative information. This study contributes to the literature on financial risks associated with capital market liberalization, uncovers the formation pathways of such risks, and provides novel insights for policymakers to mitigate financial vulnerabilities, reduce stock price bubbles, and foster the high-quality development and further opening of China’s capital markets.

中国资本市场上散户的投机行为，如羊群行为（如动量交易和恐慌性抛售），导致了持续的股价泡沫。这些累积的泡沫严重损害了股票市场的健康发展。作为高水平资本市场开放的关键制度改革，a股纳入MSCI新兴市场指数提供了检验开放政策效果的准自然实验。本研究采用差分中的差分（DID）模型分析纳入MSCI对股价泡沫的影响及其潜在机制。研究结果表明，纳入MSCI指数显著加剧了股价泡沫的程度，这一结论对替代泡沫指标、延长样本周期和安慰剂测试都是有效的。机制分析表明，纳入MSCI通过提升投资者关注度和增强股票流动性，加剧了泡沫积累。具体而言，指数成分股吸引媒体报道和投资者搜索（以百度搜索指数为代表），提高股票流动性，放大非理性交易行为，推动股价偏离内在价值。异质性分析进一步发现信息透明度和公司治理是关键的调节渠道：泡沫加剧效应集中在信息透明度较低和公司治理较差的公司，因为这些公司更容易受到投资者情绪波动和市场未能披露负面信息的影响。本研究补充了与资本市场自由化相关的金融风险的相关文献，揭示了金融风险的形成路径，为政策制定者减轻金融脆弱性、减少股价泡沫、促进中国资本市场的高质量发展和进一步开放提供了新的见解。

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引用次数: 0

Superiority of ESG-oriented portfolios in Taiwan stock market: Quantile-on-quantile with GARCH approach 台湾股市esg导向投资组合之优势：基于GARCH方法的分位数对分位数分析

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-06-13 DOI: 10.1016/j.najef.2025.102485

Hao-Wen Chang , Pei-Yu Chi , Chin-Ho Lin

The growing consensus regarding the need to mitigate climate risk threats has led to trading in assets oriented toward improving environment, social, and governance (ESG) ratings becoming a key focus worldwide. This study employs the novel Quantile-on-Quantile with GARCH model to compare the performance of ESG-based portfolios in the Taiwan stock market from 2016 to 2022. We construct annually rebalanced portfolios on the basis of quintile ESG scores. Our findings indicate that the resilience of portfolios with high ESG ratings deteriorates in bearish markets and that the long-term returns of portfolios with high ESG ratings exhibit reversal phenomena. Furthermore, our findings provide support for the resilience effect and overreaction hypothesis, and therefore, they have key implications for investors, relevant practitioners, and policymakers.

在减轻气候风险威胁的必要性方面，越来越多的人达成共识，这使得以改善环境、社会和治理（ESG）评级为导向的资产交易成为全球关注的焦点。本研究采用新颖的分位数对分位数GARCH模型，比较2016年至2022年台湾股市中esg投资组合的表现。我们根据五分之一的ESG分数构建年度再平衡投资组合。研究结果表明，高ESG评级投资组合的弹性在熊市中恶化，高ESG评级投资组合的长期收益表现出反转现象。此外，我们的研究结果为弹性效应和过度反应假说提供了支持，因此，它们对投资者、相关从业者和政策制定者具有重要意义。

引用次数: 0

Quantile on quantile connectedness between safe-haven assets and stock markets: a portfolio risk perspective 避险资产与股市之间的分位数连通性：投资组合风险视角

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-07-11 DOI: 10.1016/j.najef.2025.102496

Walid Mensi , Mohamed Amine Nabli , Mouna Guesmi , Houssem Eddine Belghouthi , Sang Hoon Kang

This study investigates quantile-on-quantile connectedness between the stock markets of China, Europe, Japan, the UK, and the US, and safe-haven assets including gold, Bitcoin, and green bonds, employing the methodology proposed in Gabauer and Stenfors (2024). Furthermore, we examine the optimal design of investment portfolios built with these assets using Minimum Variance Portfolio, Minimum Correlation Portfolio, and Minimum Connectedness Portfolio measures. Our key findings show that reversely related quantiles show significantly stronger total connectedness than directly related ones, highlighting the significance of tail risk in portfolio management. The connectedness among these stock markets and safe haven assets is asymmetric and fluctuates over time, especially during major economic events such as the oil surplus of 2014, the Chinese economic deceleration in 2015, the COVID-19 pandemic in 2020, the Russia–Ukraine war in 2022, and the war between Israel and Hamas that began in 2023. We find that gold, Bitcoin and green bonds can act as safe havens for international equities, especially in periods of market stress, but their status depends on market conditions. A portfolio analysis indicates that Bitcoin and the Nikkei 225 index serve as effective hedges against stock market volatility, and that Bitcoin is an important portfolio component with the highest optimal weight.

本研究采用Gabauer和Stenfors（2024）提出的方法，调查了中国、欧洲、日本、英国和美国股票市场与黄金、比特币和绿色债券等避险资产之间的分位数间连通性。此外，我们使用最小方差投资组合、最小相关投资组合和最小连通性投资组合度量来检验由这些资产构建的投资组合的最佳设计。我们的主要发现表明，反向相关的分位数比直接相关的分位数显示出更强的总连通性，突出了尾部风险在投资组合管理中的重要性。这些股票市场和避险资产之间的联系是不对称的，并且随着时间的推移而波动，特别是在重大经济事件期间，如2014年的石油过剩、2015年的中国经济减速、2020年的COVID-19大流行、2022年的俄罗斯-乌克兰战争以及始于2023年的以色列和哈马斯之间的战争。我们发现，黄金、比特币和绿色债券可以作为国际股票的避风港，尤其是在市场承压时期，但它们的地位取决于市场状况。投资组合分析表明，比特币和日经225指数可以有效对冲股市波动，比特币是投资组合中最优权重最高的重要组成部分。

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引用次数: 0

Price dynamics in artificial stock market with realistic order book mechanism 具有现实订单机制的人工股票市场的价格动态

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-07-23 DOI: 10.1016/j.najef.2025.102504

Uzay Çetin , Şükrü C. Demirtaş , Senem Çakmak Şahin

We analyzed the effect of the daily price margin on artificial stock markets. In our study, we have two distinct market scenarios: One designed to imitate a market akin to that of Türkiye, characterized by the presence of a daily price margin regulation, and the other reflecting a market resembling the United States, where orders are not subject to daily price margin constraints. With daily price margin regulations stock prices become more accessible, positively impacting market volume. We incorporated a realistic order book mechanism for keeping track of the bid and ask orders. Traders are classified as either fundamental or noise, according to their strategies. We have also established a dynamic risk level for each stock, based on its weekly transaction volumes. Only fundamentals are risk-aware. That is, they tend to order stocks with low risk and avoid high risk stocks. We have detected emerging patterns of price fluctuations within the market scenario governed by the daily price margin regulations. Risk-aware herd behavior, despite not being explicitly modeled as an input, emerges also spontaneously within the system. These patterns emerge because of the complex relationship among dynamic risk levels of stocks, risk-aware traders and the daily price margin regulation.

我们分析了日差价对人为股票市场的影响。在我们的研究中，我们有两种不同的市场情景：一种是模仿类似于 rkiye的市场，其特点是存在每日价格保证金监管，另一种反映了类似于美国的市场，其中订单不受每日价格保证金约束。随着每日保证金规定的实施，股票价格变得更容易接近，这对市场交易量产生了积极影响。我们加入了一个现实的订单簿机制，以保持跟踪出价和要价订单。根据交易者的策略，他们可以分为基本面交易者和噪音交易者。我们还根据每只股票的周交易量为其设定了动态风险水平。只有基本面才是有风险意识的。也就是说，他们倾向于购买低风险的股票，而避开高风险的股票。我们发现，在每日保证金规定的市场情况下，出现了价格波动的新模式。有风险意识的群体行为，尽管没有被明确地建模为输入，但也会在系统中自发地出现。这些模式的出现是由于股票的动态风险水平、风险意识强的交易员和每日价格保证金监管之间的复杂关系。

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引用次数: 0

The neo-Fisherian effect in a new Keynesian model with real money balances 具有真实货币平衡的新凯恩斯模型中的新费舍尔效应

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-06-06 DOI: 10.1016/j.najef.2025.102471

Daisuke Ida

This study explores how the real money balance effect (RMBE) affects the neo-Fisherian effect (NFE) in a standard new Keynesian (NK) model. Our main findings are summarized as follows. First, the presence of the RMBE can partly explain the occurrence of the NFE. Furthermore, increasing the nonseparability parameter in the utility function magnifies the nominal interest rate’s positive response to a persistent inflation target shock. Second, the degree of nominal price stickiness is important in explaining how the RMBE amplifies the NFE. Third, introducing inflation inertia into the Phillips curve eliminates the NFE.

本研究在标准的新凯恩斯主义（NK）模型中探讨了真实货币平衡效应（RMBE）如何影响新费舍尔效应（NFE）。我们的主要发现总结如下。首先，人民币汇率的存在可以部分解释NFE的发生。此外，增加效用函数中的不可分性参数会放大名义利率对持续通胀目标冲击的积极反应。其次，名义价格粘性的程度在解释人民币币值如何放大NFE方面很重要。第三，在菲利普斯曲线中引入通货膨胀惯性消除了NFE。

引用次数: 0

Unveiling the bright side of rice-farming culture in shaping innovation: Evidence from Chinese listed firms 揭示水稻种植文化在塑造创新中的光明一面：来自中国上市公司的证据

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-08-09 DOI: 10.1016/j.najef.2025.102522

Xiaoliang Zhang , Qilin Wang , Xin Wang

This study aims to unveil the bright side of rice-farming culture in driving firm innovation and discuss the possible underlying mechanisms. Using hand-collected city-level data on rice cultivation, we examine the impact of regional rice-farming culture on the innovation activities of Chinese listed companies. The results show that firms located in regions with stronger rice-farming culture intensity exhibit both higher innovation quantity and quality, as evidenced by an increased number of patent applications and citations. These findings persist across a variety of robustness tests. Mechanism tests indicate that rice-farming culture fosters institutional collectivism and facilitates innovation through two channels: reducing agency costs and enhancing collaborative innovation. The positive impact of rice-farming culture on firm innovation is more pronounced in regions with weaker legal environment, slower urbanization process, and limited exposure to foreign cultural influence. Additionally, firms located in rice-cultivating areas are more likely to appoint CEOs from these regions, which further correlates with higher innovation output. Moreover, rice-farming culture facilitates the translation of innovation into improved financial performance. Overall, this study sheds light on the role of informal institutions in shaping firm innovation, offering valuable insights into the cultural foundations of economic behavior.

本研究旨在揭示稻作文化推动企业创新的光明面，并探讨其可能的潜在机制。本文利用城市层面的水稻种植数据，考察了区域水稻种植文化对中国上市公司创新活动的影响。研究结果表明，水稻种植强度越强的地区企业创新数量和质量越高，专利申请量和引用量均有所增加。这些发现在各种稳健性测试中仍然存在。机制检验表明，稻作文化通过降低代理成本和促进协同创新两个渠道促进制度集体主义和创新。在法律环境较弱、城市化进程较慢、外来文化影响有限的地区，水稻种植文化对企业创新的积极影响更为明显。此外，位于水稻种植区的公司更有可能任命来自这些地区的首席执行官，这进一步与更高的创新产出相关。此外，水稻种植文化有助于将创新转化为改善的财务绩效。总的来说，这项研究揭示了非正式制度在塑造企业创新中的作用，为经济行为的文化基础提供了有价值的见解。

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引用次数: 0

Can volatility spread fully capture the put–call parity violation? 波动率价差能否完全捕捉到买卖权平价的违规行为？

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-08-11 DOI: 10.1016/j.najef.2025.102493

Shican Liu , Songping Zhu

Put–call parity (PCP) is a well-known relationship between call and put option prices and their underlying for complete markets. It is equally well known for its violation in incomplete markets. However, unlike all the previously documented reasons in the literature, we show in this paper, through convincing empirical evidence, that the density spread of the put and call is also “blamed” for such a violation. We also provide a theoretical framework to financially explain such an imbalance in incomplete markets.

看跌期权平价（PCP）是一种在完整市场中看涨期权和看跌期权价格及其标的之间众所周知的关系。它在不完全市场中的违规行为也是众所周知的。然而，与之前文献中记录的所有原因不同，我们在本文中通过令人信服的经验证据表明，看跌期权和看涨期权的密度扩散也被“归咎于”这种违规行为。我们还提供了一个理论框架来解释不完全市场中的这种不平衡。

引用次数: 0

Dynamic spillover analysis between FX and cryptocurrency markets across different market conditions: A quantile VAR approach 外汇和加密货币市场在不同市场条件下的动态溢出分析：分位数VAR方法

IF 3.9 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-09-01 Epub Date: 2025-07-28 DOI: 10.1016/j.najef.2025.102503

Young-Sung Kim , Dong-Jun Kim , Sun-Yong Choi

This study analyzes the relationship between foreign exchange (FX) markets and cryptocurrencies, focusing on both major and minor currencies. Using a quantile spillover framework, we examine how this relationship evolves under varying market conditions. The empirical findings reveal three key insights. First, spillover effects between the FX and cryptocurrency markets play a significant role in shaping their interrelationship. Under normal market conditions, the FX market has a limited influence on cryptocurrencies. Second, within the FX market, the U.S. Dollar Index exerts the most substantial impact on both major and minor currencies, while in the cryptocurrency market, Bitcoin holds the biggest influence over other cryptocurrencies. Finally, as market conditions become more extreme, spillover effects between the FX and cryptocurrency markets intensify. These findings highlight the dynamic nature of cross-market interactions and underscore the importance of considering market conditions when evaluating spillover effects between FX and cryptocurrency markets.

本研究分析了外汇（FX）市场与加密货币之间的关系，重点关注主要货币和次要货币。使用分位数溢出框架，我们研究了这种关系在不同市场条件下的演变。实证研究结果揭示了三个关键洞见。首先，外汇和加密货币市场之间的溢出效应在塑造它们之间的相互关系方面发挥着重要作用。在正常的市场条件下，外汇市场对加密货币的影响有限。其次，在外汇市场中，美元指数对主要货币和次要货币的影响最大，而在加密货币市场中，比特币对其他加密货币的影响最大。最后，随着市场条件变得更加极端，外汇和加密货币市场之间的溢出效应会加剧。这些发现突出了跨市场互动的动态性，并强调了在评估外汇和加密货币市场之间的溢出效应时考虑市场状况的重要性。

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引用次数: 0