North American Journal of Economics and Finance最新文献

This study examines the impact of confirmed COVID-19 cases on Taiwan’s stock market returns from January 30, 2020, to April 14, 2023, incorporating factors including interest rates, crude oil prices, and exchange rates. Results show significant short and medium-term cross-quantile dependence between COVID-19 cases and stock returns, weakening the relationship over extended lag periods. The findings highlight the Taiwanese stock market’s sensitivity to daily case increases, with varying correlations over time, especially in lower and medium quantiles, indicating changing dependency structures.

In this study, we investigate the relationship between economic policy uncertainty [EPU] and the economic conditions of the 50 US states, as well as the role of interest rates. We use a semi-parametric smooth varying coefficient model (SVCM) to examine how interest rate affects the nexus of EPU-economic conditions. Our findings suggest a negative relationship between EPU and economic conditions and that when the interest rate is around 3 %, the negative impact of EPU on economic conditions decreases in more than 60 % of US states. Furthermore, we find that the rate of change in the interest rate between 2 % and 3 % helps mitigate the negative effects of EPU and improves economic conditions in several states. Our results remain consistent across different interest rate periods, regardless of whether the uncertainty is of internal or external origin.

This study examines the relationship between organizational capital (OC) and stock performance during the two recent crisis periods, namely the GFC and COVID-19. Economic crises highlight the sustainable competitiveness of firms, providing an opportunity to identify the role of OC. OC is intangible capital that encompasses intrinsic business processes and expertise, facilitating more efficient resource utilization than competitors. Results show that a greater OC is significantly associated with higher stock returns during both crisis periods. The association is robust to the models with firm-fixed effects and instrumental variables. In addition, we find evidence that generalist CEOs strengthen this relationship while specialist CEOs do not. This study emphasizes the pivotal role of OC as a protective buffer against external shocks, particularly during periods when the market pays more attention to corporate sustainability.

This study investigates whether and how firms’ engagement in ESG decoupling leads to changes in R&D investment. Using a sample of U.S. listed firms from 2012 to 2023, we discover a consistent negative effect of ESG decoupling on R&D investment, indicating opposite effects from ESG brown-washing versus green-washing. Brown-washing firms exhibit a significant increase in R&D investment. Cross-sectional tests support the strategic incentive that a more pronounced positive effect observed in smaller firms, firms facing greater financial constraints and market competition, and among high-tech firms. In contrast, we find that green-washing firms experience a significant decrease in R&D investment. The decrease in R&D investment among green-washing firms is mitigated by more stringent corporate governance enforced by institutional investors, but is further amplified among firms facing greater market competition and high-tech firms, suggesting that green-washing firms with decreased R&D investment are subject to managerial opportunism. Our findings remain robust to different subsets of benchmarking normal firms and alternative measurement. In addition, we find that the capital market responds positively to ESG green-washing and negatively towards brown-washing, which implies a favorable attitude toward floated ESG disclosure from the investors. Overall, our study unveils the important role of ESG decoupling in reshaping corporate investment decision and contribute to the growing literature on ESG decoupling.

This paper examines the role of Confucian culture characterized by traditional virtues such as benevolence, righteousness, propriety, wisdom, and trust in audit firms and corporate ESG disclosure. Using data from Chinese A-share listed companies from 2008 to 2021, we found that Confucian culture in audit firms significantly promotes the level of corporate ESG disclosure. We also tested the moderating effect of regional culture and corporate culture, and found that in regions with stronger merchant guild culture and higher levels of social trust, as well as in companies with a stronger culture of integrity and cooperation, the promotion effect of Confucian culture in audit firms on corporate ESG disclosure is more pronounced. Furthermore, we discovered that the closer the geographical distance between audit firms and client companies, the greater the positive impact of Confucian culture in audit firms on corporate ESG disclosure. Overall, this study reveals the modern value of Confucian traditional culture for the improvement of enterprises’ environmental friendly behaviors from the perspective of external audit, and highlighted the relevance of informal institutions in corporate governance.

This study investigates whether Environmental, Social, and Governance (ESG) performance influences stock idiosyncratic and extreme risks. We find that listed companies’ ESG performance significantly reduces stock idiosyncratic and extreme risks. Furthermore, we find that this mitigating effect is shaped by the nature of enterprise ownership and the firm life cycle. Through an additional mechanistic analysis, we confirm that ESG performance affects the stock price volatility risk of listed companies by reducing the levels of corporate earnings management and bolstering corporate reputation, thereby alleviating both idiosyncratic and extreme risk in stock prices.

This study integrates Twitter-based market uncertainty (TMU) into the predictive framework of daily volatility in twenty international equity markets. The study reveals that TMU has a strong predictive ability for stock volatility from both in- and out-of-sample perspectives. Interestingly, despite Twitter being inaccessible in China, the interconnectedness of global financial markets allows it to indirectly impact China’s stock market volatility. The research also highlights that TMU plays a particularly significant role in forecasting stock market volatility during turbulent periods, such as the COVID-19 epidemic. Furthermore, integrating TMU into the volatility prediction framework leads to an improvement in economic value. These findings are essential for policymakers to develop effective market-stabilizing policies and for investors to enhance the management of their investment portfolios.

This study investigates the dynamic risk nexus among climate risks, oil shocks and China’s energy futures market from a time–frequency-quantile perspective. We first explore the dynamic connectedness of “climate risks – oil shocks – energy futures” and examine the risk transmission channels through mediation effects model. The Quantile-on-Quantile regression is used to study the time–frequency impact of climate risks and oil shocks on energy futures across different market conditions and investment horizons. Our empirical results are as follows: First, climate transition risks, oil demand and risk shocks play mediating roles in risk transmission channels. Second, the impact of climate risks and oil shocks on energy futures is heterogeneous and asymmetric under extreme conditions. Notably, global warming, oil supply shock and international climate summits are the greatest shocks to China’s energy market. Finally, climate risks and oil shocks are more pronounced in the short term. Overall, these findings offer valuable insights for shaping risk management strategies and implementing effective hedging practices within the energy market.

This study examines the frequency domain connectedness and synchronization between the exchange rates of Association of Southeast Asian Nations (ASEAN) member countries and those of China, Japan, and South Korea across quantile levels. We propose a quantile cross-spectrum of exchange rates to establish the coherency of connectedness and synchronization measurements. Our empirical results are as follows: First, the return connectedness between the exchange rates is heterogeneous, being stronger in the long run than in the short run and more pronounced under normal market conditions than under extreme market conditions. Second, the dynamic return connectedness among the exchange rates follows a similar trend in the monthly and yearly cycles. Third, exchange rate returns and volatility exhibit long-term synchronization. However, short-term heterogeneity persists across market conditions and investment horizons. Overall, these findings offer valuable insights for monetary authorities in their efforts to maintain exchange rate stability and for investors in making informed portfolio decisions.

Security analysts play a vital role as an information intermediary in the stock market. Their stock recommendations are important references for investors. The efficiency of investment decision-making could be improved by judging the reliability of stock recommendations based on analyst characteristics and fusing the recommendations. We propose an information fusion method for security analysts’ stock recommendations based on two-dimensional Dempster-Shafer (D-S) evidence theory, which comprehensively considers the external and internal characteristics of analysts. The characteristics of analysts are used to measure the reliability of the stock recommendations and modify the evidence, then the D-S fusion rule is used for evidence fusion. Compared with the forecast results of statistical methods and machine learning methods, the two-dimensional D-S evidence theory model we proposed has a higher forecast accuracy, which effectively improves the information efficiency of the stock market and helps investors to make decisions efficiently and scientifically.