| 1. |
- Alqaralleh, Huthaifa, et al.
(författare)
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Dynamic relations between housing Markets, stock Markets, and uncertainty in global Cities: A Time-Frequency approach
- 2023
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Ingår i: The North American journal of economics and finance. - : ELSEVIER SCIENCE INC. - 1062-9408 .- 1879-0860. ; 68
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Tidskriftsartikel (refereegranskat)abstract
- This paper considers the dynamic features of housing prices in metropolises that are characterised by a high degree of internationalisation. Using the wavelet coherency procedure, the degree of comovement and causality between housing, stock markets, and macroeconomic uncertainty are investigated. In addition, the existence of volatility spillover across housing markets is assessed in the time-frequency domain using a novel procedure that involves combining the wavelet decomposition with a time varying parameter vector autoregression model. The results highlight that the clustering of global business in a limited number of metropolises that act as "global hubs" leaves the local housing markets exposed to international shocks and volatility spillover. The empirical analysis suggests that the correlations between real estate and stock markets from one side, and real estates and uncertainty on the other side, intensify during the turmoil periods. Causality and co-movement relationships appear predominately in the medium and long run periods. The evidence presented in this paper suggests that policymakers cannot ignore the possibility that international shocks to housing markets may affect the domestic markets. In this respect, macroprudential policy tools may target tapering off the unintended effects of housing market globalisation such as house price shock synchronisation, especially when these shocks take place in cities that are also major financial centres.
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| 2. |
- Bekiros, Stelios, et al.
(författare)
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Herding behavior, market sentiment and volatility: Will the bubble resume?
- 2017
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Ingår i: The North American journal of economics and finance. - : ELSEVIER SCIENCE INC. - 1062-9408 .- 1879-0860. ; 42, s. 107-131
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Tidskriftsartikel (refereegranskat)abstract
- This paper aims to investigate herding behavior and its impact on volatility under uncertainty. We apply a cross-sectional absolute deviation approach as well as Quantile Regression methods to capture the herding behavior in daily and monthly frequencies in US markets over several time-periods including the global financial crisis. In a novel attempt we modify the empirical CSAD herding modeling by introducing implied volatility as a measure of agent risk expectations. Our findings indicate that herding tends to be intense under extreme market conditions, as depicted in the upper high quantile range of the conditional distribution of returns. During crisis periods herding is observed at the beginning of the crisis and becomes insignificant towards the end. The US market herding behavior exhibits time-varying dynamic trading pattern that can be attributed e.g., to overconfidence or excessive "flight to quality" features, mostly observed in the aftermath of the global financial crisis. Moreover, implied volatility reveals asymmetric patterns and plays a key role in enforcing irrational behavior. (C) 2017 Published by Elsevier Inc.
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| 3. |
- Khraief, Naceur, et al.
(författare)
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Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests
- 2020
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Ingår i: The North American journal of economics and finance. - : Elsevier. - 1062-9408 .- 1879-0860. ; 51
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Tidskriftsartikel (refereegranskat)abstract
- This paper revisits the dynamics of unemployment rate for 29 OECD countries over the period of 1980–2013. Numerous empirical studies of the dynamics of unemployment rate are carried out within a linear framework. However, unemployment rate can show nonlinear behaviour as a result of business cycles or some idiosyncratic factors specific to labour market (Cancelo, 2007). Thus, as a testing strategy, we first perform Harvey, Leybourne, and Xiao (2008) linearity unit root test and then apply the newly ESTAR nonlinear unit root test suggested by Kruse (2011). This test has higher power than conventional unit root tests when time series exhibits nonlinear behaviour. Our empirical findings provide significant evidence in favour of unemployment rate stationarity for 25 countries. For robustness purpose, we have also used panel unit root tests without and with structural breaks. The empirical results show that unemployment hysteresis hypothesis is strongly rejected, when taking into account the cross-sectional and structural break assumptions. Thus, unemployment rate is expected to return back to their natural levels without executing any costly macroeconomic labour market policies by the OECD's governments.
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| 4. |
- Persson, Lars, et al.
(författare)
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Entrepreneurial optimism and creative destruction
- 2022
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Ingår i: North American Journal of Economics and Finance. - : Elsevier. - 1879-0860 .- 1062-9408. ; 62
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Tidskriftsartikel (refereegranskat)abstract
- Using textual analysis of annual reports of US-listed firms, we provide empirical evidence that uncertainty (rather than risk) and optimism are distinctive characteristics of high-impact entrepreneurial firms (recently listed firms) relative to old incumbent firms. We construct an entrepreneurial entry predation model with uncertainty based on this evidence. We show that optimistic entrepreneurs may enter markets that otherwise would be blocked from entry by incumbents' predatory threats. Thus entrepreneurial optimism may be to the benefit of consumers. Entrepreneurial optimism can also create a strategic advantage for entrepreneurs since incumbents may react by being less aggressive in product market interactions, which will benefit the profitability of the entrepreneur's venture and consumers via lower prices.
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| 5. |
- Huang, S. Y., et al.
(författare)
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Political sentiment and MAX effect
- 2022
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Ingår i: North American Journal of Economics and Finance. - : Elsevier BV. - 1062-9408. ; 62
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Tidskriftsartikel (refereegranskat)abstract
- The well-known "MAX effect" documents that stocks with high maximum daily returns in the past month underperform those with low maximum daily returns. We show that such an effect varies with firm-level political sentiment. Among firms with low political sentiment, the usual MAX strategy gives a monthly risk-adjusted return of 1.52% and is statistically significant. However, the MAX effect weakens substantially or even reverses for firms with high political sentiment. Our findings provide novel guidance for trading on the MAX effect. Moreover, the results challenge the usual sentiment-based explanation for the MAX effect. Further evidence suggests that the prospect theory or investors' underreaction to news may be consistent with our findings, although these channels cannot empirically explain the impact of political sentiment.
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| 6. |
- Kaya, Mehmet Caglar, et al.
(författare)
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A Theory of Gazelle Growth: Competition, Venture Capital Finance, and Policy
- 2019
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Ingår i: The North American Journal of Economics and Finance. - : Elsevier BV. - 1062-9408. ; 50
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Tidskriftsartikel (refereegranskat)abstract
- This paper proposes a theory of gazelle growth in which gazelles can grow either organically or through acquisitions. The model includes three types of firms: incumbent, target, and gazelle. We show that the lower cost of organic growth can increase the incentives for acquisition growth because the incumbent understands that if it acquires the target firm, the gazelle will then invest organically in order to grow, and therefore, the acquisition will not be enough to protect the incumbent's market power. The gazelle could then acquire the target firm at a good price. We also show that financial support for the organic growth of gazelles can increase gazelles’ growth through acquisitions because incumbents’ preemptive motives are reduced.
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| 7. |
- Lundtofte, Frederik
(författare)
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Banks' pooling of corporate debt: An application of the restated diversification theorem
- 2015
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Ingår i: The North American Journal of Economics and Finance. - : Elsevier BV. - 1062-9408. ; 31, s. 249-263
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Tidskriftsartikel (refereegranskat)abstract
- We analyze banks' pooling of corporate loans and propose Pareto-improving sharing rules that depend only on the relative sizes of the loans. Implementation of these sharing rules do not require any precise knowledge of default probabilities or default correlations. (C) 2014 Elsevier Inc. All rights reserved.
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