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The North American Journal of Economics and Finance
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#1Can-Zhong Yao (SCUT: South China University of Technology)H-Index: 6
#2Hong-Yu Li (SCUT: South China University of Technology)
Abstract This paper uses the thermal path method to study the lead–lag structure of sentiment and the stock market. First, based on principal component analysis, four indicators are selected to construct the sentiment index. Furthermore, the effectiveness of the thermal path method is verified by numerical simulation. Finally, the lead-lag characteristics of the Shanghai Stock Index and the sentiment index are studied via the symmetric thermal optimal path method. The analysis results show that ...
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#1Yaojie Zhang (Nanjing University of Science and Technology)
#2Likun Lei (Southwest Jiaotong University)
Last.Yu Wei (YUFE: Yunnan University of Finance and Economics)
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Abstract The purpose of this paper is to investigate the role of regime switching in the prediction of the Chinese stock market volatility with international market volatilities. Our work is based on the heterogeneous autoregressive (HAR) model and we further extend this simple benchmark model by incorporating an individual volatility measure from 27 international stock markets. The in-sample estimation results show that the transition probabilities are significant and the high volatility regime...
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#1Qing He (RUC: Renmin University of China)H-Index: 8
#2Yongxiu Guo (IU: Indiana University Bloomington)
Last.Jishuang Yu (RUC: Renmin University of China)
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Abstract Notwithstanding the widely held view that gold and the dollar are negatively correlated, we ask when and why gold and the dollar sometimes depart from their typical inverse relationship and go so far as to move in parallel. Using a threshold vector error correction model (VECM), we investigate the nonlinear relationship between gold and the dollar. We find evidence of short run positive correlation between gold and the dollar under extreme market conditions. Our result suggests that the...
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#1Paul J. Haensly (University of Texas of the Permian Basin)H-Index: 4
Abstract How to achieve adequate diversification is important in portfolio construction. Efficient markets should not reward an investor for taking on risk that can be diversified away. Hence, when minimizing risk exposure, investors need to measure what part of total portfolio risk is systematic and what part can be diversified away. I examine several methods for decomposing total portfolio risk into systematic and diversifiable components and then carry out simulations to compare cross-section...
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#1Fuzhong Chen (UIBE: Beijing Institute of Foreign Trade)
#2Chien-Lung Hsu (University of Kang Ning)
Last.Haifeng Li (Yamaguchi University)
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Abstract Subjective wellbeing is designed to consider positive experiences and to be descriptive of an overall assessment rather than focusing on specific experiences or aspects of an individual’s life. The purpose of this study is to investigate the relationships between the holding of risky financial assets and subjective wellbeing. Participation in financial markets with different risk levels of assets is divided into holding risk-free assets and holding risky assets. Holding risk-free assets...
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#1Mohammed Asiri (Curtin University)
#2Ahmed Al-Hadi (Curtin University)H-Index: 6
Last.Lien Duong (Curtin University)
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Abstract The purpose of this study is to examine the association between investment efficiency and corporate tax avoidance. Using a large sample of U.S. firms over the period 1993-2016, we show that there is a positive association between corporate tax avoidance activities and investment inefficiency. Moreover, we find that the association is mediated by financial statement readability, financial statement comparability and product market competition. Our results are robust to alternative measur...
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#1Youngchul Song (Korea Institute for International Economic Policy)
#2Sunghyun Son (Korea Institute for International Economic Policy)
Abstract This paper investigates the role of geographical proximity on FDI spillovers from foreign to Indian local firms. We use data set of the manufacturing firms between 1988 to 2018 in India, estimating the productivity based on Cobb–Douglas production function. For measuring geographical proximity, the coordinates of each firm, represented to as ‘latitude and longitude’, provided by Google maps geocoding API is used. To conduct spatial analysis, we adopted the revised ‘SINM’ (Spatial Indust...
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#1Carlos Guevara (PUCP: Pontifical Catholic University of Peru)
#2Gabriel Rodríguez (PUCP: Pontifical Catholic University of Peru)H-Index: 14
Abstract This paper analyzes the effect of loan supply shocks on the real economic activity of Pacific Alliance countries using a Time-Varying Parameter VAR with Stochastic Volatility (TVP-VAR-SV) model which is identified by sign restrictions. Two main results arise from the analysis. First, loan supply shocks have an important impact on real economic activity in all Pacific Alliance countries: about 1% in Colombia, Mexico, and Peru, and about 0.5% in Chile. Thus, its contribution to business c...
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#2Jaime Orrillo (UCB: Universidade Católica de Brasília)H-Index: 3
Last.Fernanda Rocha Gomes da Silva (UFMT: Universidade Federal de Mato Grosso)
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Abstract The paper examines how the collateral affects the probability of default for small firms. We present a stylized theoretical model to derive the relationship between the level of collateral and subsequent loan default. We find that the probability of default is negatively correlated with the level of collateral, which is intuitive. Subsequently, we test this relationship by using a proprietary database of collateralized loans of small Brazilian enterprises.
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#1Zhi-fang Su (Huaqiao University)
#2Xiao-xiang Ma (Huaqiao University)
Last.Mei-Yuan Chen (NCHU: National Chung Hsing University)H-Index: 5
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Abstract This paper examines the marginal effects of an employment expansion in China’s public sector on the unconditional distribution of “wage income” using the unconditional quantile estimation suggested by Firpo and Fortin (2009) . Empirical data from the China Health and Nutrition Survey is split into three sub-samples to eliminate the effects of the Asian financial crisis in 1997 and the subprime financial crisis in 2008 on our empirical results. To explore the marginal effects, the empiri...
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Macroeconomics
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Volatility (finance)