North American Journal of Economics and Finance最新文献

英文中文

The diminishing marginal effect of the capital adequacy ratio on the control of bank risk-taking 资本充足率对银行风险承担控制的边际效应递减

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-27 DOI: 10.1016/j.najef.2025.102495

Wenlong Miao, Yuxian Ma, Haoran Xu

Capital adequacy ratio is a crucial instrument for curbing bank risk-taking and plays a pivotal role in maintaining the stability of bank operations and protecting them against unanticipated losses. However, banks are institutions that operate with risk and may have an incentive to take risks in pursuit of high returns, irrespective of their true capital adequacy ratios. To verify the relationship between capital adequacy ratio and bank risk-taking, this study analyzes the actual impact of capital adequacy ratio on bank risk-taking based on data from 330 Chinese commercial banks from 2009 to 2023. The study found that the capital adequacy ratio exhibits a diminishing marginal effect on bank risk-taking. When the capital adequacy ratio is low, increasing the capital adequacy ratio can inhibit bank risk-taking. However, as the capital adequacy ratio increases, its inhibitory effect gradually diminishes. The impact is predominantly observed in banks with higher risk management capabilities, convenient capital expansion, higher liquidity, and weak profitability. Furthermore, we analyze the asset and risk expansion mechanisms of the capital adequacy ratio controlling bank risk-taking. The analysis demonstrates that the increase in the capital adequacy ratio will promote the expansion of bank assets and risks, thereby weakening its restraining effect on bank risk-taking.

资本充足率是遏制银行冒险行为的重要工具，在维护银行业务稳定、防范银行意外损失方面发挥着关键作用。然而，银行是冒着风险经营的机构，可能有冒险追求高回报的动机，而不管它们的真实资本充足率如何。为了验证资本充足率与银行风险承担之间的关系，本研究基于2009 - 2023年330家中国商业银行的数据，分析了资本充足率对银行风险承担的实际影响。研究发现，资本充足率对银行风险承担的边际效应呈递减趋势。当资本充足率较低时，提高资本充足率可以抑制银行的风险承担。但随着资本充足率的提高，其抑制作用逐渐减弱。这种影响主要体现在风险管理能力较高、资本扩张方便、流动性较高、盈利能力较弱的银行。进一步分析了资本充足率控制银行风险承担的资产和风险扩张机制。分析表明，资本充足率的提高将促进银行资产和风险的扩张，从而削弱其对银行风险承担的抑制作用。

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引用次数: 0

Risky finance, riskier climate: when financial instability meets climate risks on the bridge of sustainability uncertainty 风险金融，风险气候：当金融不稳定在可持续性不确定性的桥梁上遇到气候风险

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-18 DOI: 10.1016/j.najef.2025.102492

Brahim Gaies

This study bridges two critical literatures: climate-related finance theory, which focuses on the destabilizing effects of climate risks on financial markets, and corporate social responsibility (CSR) theory, rooted in the shareholder-stakeholder debate. In doing so, it provides one of the first attempts to explore the systemic interactions between financial instability, sustainability uncertainty, and climate risks. Leveraging the novel U.S. ESG-based Sustainability Uncertainty Index (ESGUI; Ongan et al., 2025) and employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) connectedness framework, we analyze how shocks stemming from financial market stress, ESG investment and policy uncertainty, and climate-related risks propagate and interact across major financial, political, and environmental events in the U.S. economy from 2003 to 2024. The main findings reveal that credit market stress and volatility-driven financial uncertainty act as the major transmitters of instability in the system, with connectedness peaking during 2008–2009 and 2020–2022. However, the transmission of financial instability to climate risks is nonlinear and contingent on sustainability uncertainty. Interestingly, regulatory responses, such as post-Global Financial Crisis reforms and the Paris Agreement, help temporarily mitigate but fail to fully eliminate risk spillovers. These results are robust to the application of the time-varying robust Granger causality test, which serves as an alternative validation approach.

本研究结合了两种重要文献：气候相关金融理论（侧重于气候风险对金融市场的不稳定影响）和企业社会责任（CSR）理论（植根于股东-利益相关者之争）。在此过程中，它首次尝试探索金融不稳定性、可持续性不确定性和气候风险之间的系统性相互作用。利用美国基于esg的新型可持续性不确定性指数（ESGUI）；Ongan et al., 2025)，并采用时变参数向量自回归（TVP-VAR）连通性框架，分析了2003年至2024年期间，金融市场压力、ESG投资和政策不确定性以及气候相关风险引发的冲击如何在美国经济中的主要金融、政治和环境事件中传播和相互作用。主要研究结果显示，信贷市场压力和波动驱动的金融不确定性是系统不稳定性的主要传导因素，连通性在2008-2009年和2020-2022年达到峰值。然而，金融不稳定向气候风险的传导是非线性的，且取决于可持续性的不确定性。有趣的是，监管应对措施，如全球金融危机后的改革和《巴黎协定》，有助于暂时缓解风险溢出，但未能完全消除风险溢出。这些结果对于时变稳健格兰杰因果检验的应用是稳健的，这是一种替代的验证方法。

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引用次数: 0

Happiness and stock market participation 幸福感与股市参与度

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-18 DOI: 10.1016/j.najef.2025.102491

Huang Wenyan

This study investigates the underexplored relationship between stock market participation and household happiness by analyzing microdata from the China Household Finance Survey (CHFS 2013, 2015, 2017). Our findings reveal a robust inverted U-shaped relationship between happiness and stock market participation, offering novel resolutions to three persistent puzzles in behavioral finance: the stock market participation puzzle, the happiness-income paradox, and the interplay between happiness and risk. Mechanism analysis further uncovers the multidimensional moderating role of risk through perceived risk, risk identification (social interaction, financial interest, and financial literacy), and background risk (urban–rural disparities and health status). The perceived risk significantly moderates the relationship between happiness and stock market participation. Risk identification factors operate distinctively with social interaction, amplify participation for moderately happy households, financial interest modulates participation nonlinearly, and financial literacy affects portfolio diversification. Background risks moderate the relationship between happiness and participation decisions and depth. These results provide critical empirical foundations for designing targeted financial policies that address heterogeneity in household risk dynamics and psychological well-being.

本文通过分析《中国家庭金融调查》（CHFS 2013、2015、2017）的微观数据，探讨了股票市场参与与家庭幸福感之间的关系。我们的研究结果揭示了幸福感与股票市场参与之间的倒u型关系，为行为金融学中三个持续存在的难题提供了新的解决方案：股票市场参与之谜、幸福感-收入悖论以及幸福感与风险之间的相互作用。机制分析通过感知风险、风险识别（社会交往、金融利益和金融素养）和背景风险（城乡差距和健康状况）进一步揭示了风险的多维调节作用。感知风险显著调节了幸福感与股票市场参与之间的关系。风险识别因素对社会互动有显著影响，对中等幸福家庭的参与有放大作用，金融利益对参与有非线性调节作用，金融素养对投资组合多元化有影响。背景风险调节了幸福感与参与决策和深度之间的关系。这些结果为设计解决家庭风险动态和心理健康异质性的有针对性的金融政策提供了关键的实证基础。

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引用次数: 0

Real estate as an inflation hedge: new evidence from an international analysis 房地产作为通胀对冲：来自国际分析的新证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-15 DOI: 10.1016/j.najef.2025.102488

Jan Muckenhaupt , Martin Hoesli , Bing Zhu

Assets’ capability to hedge against inflation has again come to the forefront given the recent surge in inflation. This paper investigates the inflation-hedging capability of an important asset class, i.e., real estate, using data from 1990 to the end of 2023 across six countries. By using a Panel Markov switching vector error correction model (MS-VECM), we identify the hedging ability of real estate in crisis and non-crisis periods, both in the short and long term. Real estate provides an effective hedge against inflation in the long run, both in crisis and non-crisis periods. In the short term, real estate securities only hedge against inflation in stable periods, but direct real estate also shows desirable inflation hedging in crisis periods. Real estate (both direct and securitized) effectively serves as a hedge against inflation shocks, particularly protecting against unexpected inflation and against energy inflation during stable periods. While stocks surpass real estate (both direct and securitized) in long-term inflation protection and real estate has short-term benefits, gold distinguishes itself by offering reliable long-run protection, but only in economic downturns. The results should provide important insights to investors seeking to allocate resources more efficiently in those turbulent times, both over the short and long term.

鉴于近期通胀飙升，资产对冲通胀的能力再次成为人们关注的焦点。本文利用六个国家1990年至2023年底的数据，研究了房地产这一重要资产类别的通胀对冲能力。利用面板马尔可夫切换向量误差修正模型（MS-VECM），我们确定了房地产在危机和非危机时期的短期和长期对冲能力。从长远来看，无论是在危机时期还是在非危机时期，房地产都能有效对冲通胀。在短期内，房地产证券仅在稳定时期对冲通胀，而直接房地产在危机时期也表现出良好的通胀对冲。房地产（包括直接的和证券化的）有效地对冲了通货膨胀的冲击，特别是在稳定时期防止意外的通货膨胀和能源通货膨胀。虽然股票在长期通胀保护方面优于房地产（无论是直接投资还是证券化投资），而且房地产有短期收益，但黄金的与众不同之处在于，它提供可靠的长期保护，但仅在经济低迷时期。研究结果应该为寻求在动荡时期更有效地配置资源的投资者提供重要见解，无论是短期还是长期。

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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 : 2025-06-14 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 : 2025-06-13 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

Geopolitical risk, herd behavior, and cryptocurrency market 地缘政治风险、羊群行为和加密货币市场

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-11 DOI: 10.1016/j.najef.2025.102487

Phasin Wanidwaranan , Jutamas Wongkantarakorn , Chaiyuth Padungsaksawasdi

By analyzing an association between return dispersions and market returns in cryptocurrency markets, geopolitical risk (GPR) stimulates herding at the market-wide level. We augment the aggregate herding detection models of Chang, Cheng, and Khorana (2000) and find that severe herd behavior is presented in nearly all cases. Thus, the GPR is an essential moderating factor to promote herd behavior in crypto assets. Considering the GPR sub-indices, the GPR Threat index has a stronger impact than the GPR Act index. Imitating trades are more prevalent during bearish markets, confirming asymmetric herd behavior. Specifically, herd behavior is the strongest during the COVID-19 pandemic and the Russia-Ukraine war. We infer that herding is intentional, as information symmetry, disclosure, and quality in cryptocurrency markets are relatively low. Overall findings support the “fear of missing out” (FOMO) phenomenon and the pump and dump schemes suggested by Baur and Dimpfl (2018).

通过分析加密货币市场的回报分散与市场回报之间的关系，地缘政治风险（GPR）刺激了市场层面的羊群效应。我们扩大了Chang、Cheng和Khorana（2000）的聚集羊群检测模型，发现几乎所有情况下都存在严重的羊群行为。因此，GPR是促进加密资产羊群行为的重要调节因素。从探地雷达分项指数来看，探地雷达威胁指数比探地雷达行动指数的影响更大。在熊市中，模仿交易更为普遍，证实了不对称的羊群行为。具体而言，在2019冠状病毒病大流行和俄乌战争期间，羊群行为最为强烈。我们推断，羊群是有意的，因为加密货币市场的信息对称、披露和质量相对较低。总体发现支持“错失恐惧”（FOMO）现象以及Baur和Dimpfl（2018）提出的泵和转储计划。

引用次数: 0

Geography of corporate networks and housing price spillovers: evidence from U.S. States 企业网络与房价溢出效应的地理关系：来自美国各州的证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-11 DOI: 10.1016/j.najef.2025.102490

Jeongseop SONG

This study investigates the transmission of housing price shocks across U.S. states through corporate economic networks. We construct each state’s housing price exposure using textual data extracted from the annual 10-K filings of locally headquartered firms. Leveraging this exposure measure, we implement an instrumental variable strategy to examine the spillover effects of housing price growth in economically connected states on local housing markets. Our findings reveal a significant and positive spillover effect, indicating that corporate networks are a crucial conduit for the propagation of housing market dynamics. These effects are amplified in states characterized by more dispersed corporate geographical networks and stronger social connectedness. By identifying corporate economic linkages as a key determinant of housing market interdependencies, this research contributes to the literature on housing market spillovers and provides valuable insights for policymakers and investors concerned with regional economic stability and integration.

本研究通过企业经济网络调查了美国各州房价冲击的传导。我们使用从当地总部公司的年度10-K文件中提取的文本数据构建每个州的房价敞口。利用这一风险度量，我们实施了一个工具变量策略，以检验经济联系州的房价增长对当地住房市场的溢出效应。我们的研究结果揭示了显著且积极的溢出效应，表明企业网络是房地产市场动态传播的重要渠道。这些影响在企业地理网络更分散、社会联系更强的州被放大。通过将企业经济联系确定为住房市场相互依赖的关键决定因素，本研究对住房市场溢出效应的文献做出了贡献，并为关注区域经济稳定和一体化的政策制定者和投资者提供了有价值的见解。

引用次数: 0

Portfolio diversification amid economic uncertainty in Pakistan: empirical evidence from the quantile-on-quantile approach 巴基斯坦经济不确定性下的投资组合多元化：来自分位数对分位数方法的经验证据

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-07 DOI: 10.1016/j.najef.2025.102486

Hassan Zada , Naveed Khan , Mobeen Ur Rehman , Xuan Vinh Vo , Wafa Ghardallou

Over the past few decades, Economic Policy Uncertainty (EPU) has become a key driver of financial market dynamics, which influences investment decisions, risk perceptions, and overall economic stability. Therefore, our objective is to examine the impact of EPU on sectoral stocks in Pakistan. For the empirical analysis, we take monthly data from August 2010 to December 2023, and employ quantile-on-quantile regression approach (QQR) for the empirical analysis. This approach captures nonlinear and asymmetric relationships across different market conditions, thus making it ideal to analyze sectoral heterogeneity in response to changes in EPU. Our results highlight the negative effect of EPU on the returns in the Automobile & Assembler, Oil and Gas, and Refinery sectors at higher quantiles, whereas Banking and Power & Distribution sectors across all quantiles. However, in the Cement, Insurance, and Technology & Communication sectors, EPU positively affects returns at lower quantiles, whereas it negatively affects returns across higher quantiles. Policymakers should prioritize enhancing transparency and maintaining consistency in economic policies to minimize market disruptions caused by uncertainty. For portfolio managers, understanding the asymmetric impact of EPU can facilitate more effective risk management and asset allocation strategies, thus providing better diversification and hedging opportunities against uncertainty.

在过去的几十年里，经济政策不确定性（EPU）已经成为金融市场动态的关键驱动因素，它影响着投资决策、风险认知和整体经济稳定。因此，我们的目标是审查EPU对巴基斯坦部门存量的影响。在实证分析中，我们选取2010年8月至2023年12月的月度数据，采用分位数对分位数回归方法（QQR）进行实证分析。这种方法捕捉了不同市场条件下的非线性和不对称关系，因此可以很好地分析EPU变化的部门异质性。我们的研究结果突出了EPU对汽车行业收益的负面影响；装配、油气和炼油行业的分位数较高，而银行和电力行业的分位数较高；所有分位数的分布部门。然而，在水泥、保险和技术领域，在通信行业，EPU对较低分位数的回报有积极影响，而对较高分位数的回报有消极影响。政策制定者应优先提高经济政策的透明度和一致性，以尽量减少不确定性对市场造成的干扰。对于投资组合经理来说，了解EPU的不对称影响可以促进更有效的风险管理和资产配置策略，从而提供更好的分散和对冲不确定性的机会。

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引用次数: 0

Foreign exchange option pricing with a three-factor Heston model with regime switching and stochastic interest rate 具有制度切换和随机利率的三因素赫斯顿模型的外汇期权定价

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance

Pub Date : 2025-06-06 DOI: 10.1016/j.najef.2025.102470

Xin-Jiang He , Sha Lin

This paper introduces a novel three-factor model for pricing foreign exchange options, incorporating the dynamics of stochastic volatility, stochastic interest rates, and regime switching. The model is developed by combining the Heston stochastic volatility framework with a regime switching volatility model, where both domestic and foreign interest rates follow the Hull–White model. This approach offers several advantages, such as the effective inclusion of regime switching and the correlation between exchange rates and interest rates, while maintaining analytical tractability. The pricing formula is derived by first obtaining the characteristic function of the underlying exchange rate using measure transformation. This formula is then numerically validated, and its application is demonstrated to analyze the impact of the regime switching factors. Furthermore, an empirical analysis using real market data is conducted to assess the practical relevance of incorporating these regime switching elements into the model.

本文提出了一种新的外汇期权定价三因素模型，该模型考虑了随机波动率、随机利率和制度转换的动态影响。该模型将赫斯顿随机波动率框架与制度转换波动率模型相结合，其中国内外利率均遵循赫尔-怀特模型。这种方法提供了几个优点，例如有效地包括制度转换和汇率与利率之间的相关性，同时保持分析的可追溯性。首先利用测度变换得到基础汇率的特征函数，推导出定价公式。然后对该公式进行了数值验证，并演示了其应用于分析状态切换因素的影响。此外，使用真实市场数据进行了实证分析，以评估将这些制度转换元素纳入模型的实际相关性。

引用次数: 0

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