An EM/MCMC Markov-witching GARCH behavioral algorithm for random-length lumber futures trading

This paper tests using two-regime Markov-switching models with asymmetric, time-varying exponential generalized autoregressive conditional heteroskedasticity (MS-EGARCH) variances in random-length lumber futures trading. By assuming a two-regime context (a low s=1 and high s=2 volatility), a trading algorithm was simulated with the following trading rule: invest in lumber futures if the probability of being in the high-volatility regime s=2 is lower or equal to 50%, or invest in the 3-month U.S. Treasury bills (TBills) otherwise. The rationale tested in this paper was that using a two-regime Markov-switching (MS) algorithm leads to an overperformance against a buy-and-hold strategy in lumber futures. To extend the current literature in MS trading algorithms, two location parameter scenarios were simulated. The first uses an unconditional mean or expected value (no factors), and the second incorporates market and behavioral factors. With weekly simulations form 2 January 1994 to 28 July 2023, the results suggest that using MS-EGARCH models in a no-factors scenario is appropriate for active lumber futures trading with an accumulated return of 158.33%. Also, the results suggest that it is not useful to add market and behavioral factors in the MS-GARCH estimation because it leads to a lower performance.Junta de Extremadura | Ref. GR2116

How Do Quality Practices Affect the Results?: The Experience of Thalassotherapy Centres in Spain

Most thalassotherapy centres in Spain do not have any quality certification but they are carrying out several actions of quality management in an attempt to obtain better results. Consequently, the aim of this research is to study if the implementation of quality practices on thalassotherapy centres has the same impact on companies’ results as on the results of those companies that got the quality certifications. In addition, the relationships between different factors considered are going to be studied. Our sample is composed of Spanish thalassotherapy centres, and the statistical technique used is based on structural equation modelling, in particular partial least squares (PLS) regression. The data were provided by the answers given by 31 managers (70.45% of the selected sample) to a structured questionnaire based on previous research and statistically validated. The results of this research allow us to conclude that these kinds of organizations have implemented informal practices to improve the quality of the service in terms of leadership, personnel management, alliances, and resources and show that the practices that have been carried out by these centres to enhance the quality of the service have an impact on companies’ results. Managers of these kinds of establishments that want to improve customer results should focus their efforts on continuous improvement, whereas, if they are pursuing enhancement of other results, their efforts should be focused on process management

Modeling oil price uncertainty effects on economic growth in Mexico: a sector-level analysis

This paper analyzes the impact of international oil price uncertainty on the different economic sectors (primary, secondary, and tertiary) in Mexico in the period 1993:1–2020:4 through a bivariate structural vector autoregressive (VAR) model with a generalized autoregressive conditional heteroskedasticity (GARCH) in mean to capture the impact of oil volatility on economic growth at the sectoral level of economic activity. The results show that the uncertainty of the international price of oil has a differentiated effect on the different sectors of economic activity in Mexico since it does not influence the primary sector; it negatively impacts the secondary sector, and there is mixed evidence in the tertiary sector. Additionally, evidence is provided that both positive and negative shocks to the international oil price have asymmetric effects at the sectoral level in Mexico. The results highlight the need to implement public policies, at the country level, that help mitigate the effect of uncertainty in the oil market and promote economic stability at the sector level.Financiado para publicación en acceso aberto: Universidade de Vigo/CISU

Spanish journal of finance and accounting (SJFA): mapping of knowledge over the last 25 years

The Spanish Journal of Finance and Accounting (SJFA) is a leading international journal in the field of accounting and finance, which was founded in 1972 with the aim of serving as a platform for dissemination at the service of academics, researchers and accounting and business professionals. The aim of this research is to examine the development of the SJFA journal from its creation to the present day, with the purpose of identifying the journal’s trend through published articles, authors, the most productive institutions and countries, and research topics, as well as citation patterns (most cited papers and typology of citing articles). The methodology used is bibliometric analysis and the data on which the bibliometric indicators are applied are taken from the Scopus database. This study also develops a graphical mapping of the bibliometric material by using the visualisation of similarities software. These graphs represent keyword co-occurrence, citation and co-citation analysis, and Journal Co-citation Analysis. The results show a significant growth of the journal over time, both in terms of the number and diversity of documents published and citations received, which has contributed to the positive evolution in terms of its impact and visibility. It is noteworthy that the journal is becoming more geographically diverse. The main topics covered in the journal are accounting and auditing management, and performance management. Papers dealing with topics related to management accounting, auditing, and management control, together with earnings management, accounting history and accounting regulation, stand out in terms of number of papers. Both topics are mediated by the subject of corporate governance.European Regional Development Fund of the European Union | Ref. GR2116

Using Markov-Switching models in US stocks optimal portfolio selection in a Black–Litterman context (Part 1)

In this study, we tested the benefit of using Markov-Switching (M-S) models to forecast the views of the 26 most traded stocks in the US in a Black–Litterman (B–L) optimal selection context. With weekly historical data of these stocks from 1 January 1980, we estimated and simulated (from 7 January 2000, to 7 February 2022) three portfolios that used M-S views in each stock and blended them with the market equilibrium views in a B–L context. Our position was that the B–L optimal portfolios could generate alpha (extra return) against a buy-and-hold and an actively managed portfolio with sample portfolio parameters (à la Markowitz, SampP). Our results suggest that the outperformance of the B–L managed portfolios holds only in the short term. In the long-term, the performance of the B–L portfolios, the SampP, and the market portfolio are statistically equal in terms of returns or their mean–variance efficiency in an ex-ante or ex-post analysis.Junta de Extremadur

Leaders' sustainability competences and small and medium‐sized enterprises outcomes: the role of social entrepreneurial orientation

Financiado para publicación en acceso aberto: Universidade de Vigo/CISUGThe market for socially conscious products and services has grown exponentially in the last years. Consequently, adding social value is among the great challenges that companies have to face nowadays. In view of this, companies need leaders with a set of specific skills that prepares them to act and compete in this new environment. This is especially true for small and medium-sized enterprises (SMEs), which are even more dependent on their leaders' competences. The aim of this article is to analyse the influence of leaders' sustainability competences on the social entrepreneurial orientation of SMEs of the tourism sector, as well as the influence of this strategy on the firm's performance. The methodology used to validate the measurement scales is exploratory and confirmatory factor analysis and the structural equation modelling technique is applied to analyse the causal relationships proposed in the model. The results show that sustainability competences positively affect social entrepreneurial orientation; specifically, the social risk-taking and proactivity competence has a positive influence on the economic and social performance of SMEs, and in particular, on their green innovation performance. These results highlight the key role that leaders' competences have in SMEs' social orientation and thus, the importance of training in competences for sustainable development

Water markets: mapping scientific knowledge

Water is a vital resource for citizens’ economic and social development. However, the uses to which it can be put often conflict. Possible solutions to mitigate disputes involve political options, scarce economic resources, and the search for mechanisms to ensure its adequate allocation. For over half a century, countries such as Australia, Spain, Chile, and the western states of the United States have been considering the possibility of using markets for rights of use. They are defined as formal or informal trading exchanges of rights, whose aim is to improve efficiency, ensure security of supply, and make allocations more flexible. In this context, the aim of this article is to show a current picture of the scientific production related to Water Markets using the comparative bibliometric study of the documents indexed in the Web of Science (WoS) and Scopus databases as a tool. The advanced search of relevant terms resulted in the retrieval of 261 papers from WoS and 305 from Scopus, with a time limit of 2020, which make up the ad hoc basis of the analysis. From this basis, it can be deduced that the subject of the Water Market has been present in the scientific literature on a more or less regular basis since the beginning of the 1990s. However, it has emerged as a topical issue in recent years, being in a phase of exponential growth, which means that interest in the area is likely to continue in the coming years.Junta de Extremadura | Ref. GR2116

Mapping research trends in publications related to bio-jet fuel: a scientometric review

It is a fact that society has increased the need for mobility throughout the world. In that regard, it has become aware of the problems associated with the use of fossil fuels such as jet-fuel. As alter-natives, the use of bio-jet fuel has been proposed, which is a biofuel that researchers have evaluated and developed as an environmentally friendly alternative. The development of research on the topic of biofuels has generated a growing number of alternatives in the methods, technologies and raw materials for the production of bio-jet fuel. In this work, a bibliometric study has been developed to analyze the evolution of publications, the contribution of authors, countries, in terms of citation productivity on the topic of bio-jet fuel. Scientific publications were searched in the Scopus database for the period 2001 to 2021. The results showed that the publications have grown exponentially in the last 10 years. The most influential institution and country are from China. “Renewable and Sustainable Energy Reviews” is the most cited journal in the field of bio-jet fuel. The growth rate of publications was estimated using the Gompertz model, the rate was 0.2232 y-1. Most of the documents were published in journals Q1

Social use through tourism of the intangible cultural heritage of the amazonian Kichwa nationality

The traditional trend in heritage management focuses on a conservationist strategy, i.e., keeping heritage in a good condition while avoiding its interaction with other elements. This condition results in the link between heritage and tourism to be established as juxtaposed process, which gives rise to the need to broaden the concept of heritage and how it can be used through tourism to contribute to the local development of communities. The objective of this study is to show the different mechanisms of social use that the intangible cultural heritage of the different peoples and nationalities of Ecuador can have. For this purpose, the San Antonio de Killu Yaku community, parish of Puerto Napo, canton Tena, Napo province, is taken as a case study, based on an analysis of the current situation of tourism in the community. The cultural resources of the territory are taken as a starting point to transform them into tourist attractions for the construction of a thematic heritage space, in order to minimize the concern about the erosion and lack of appreciation of the ancestral manifestations and knowledge that the nationality possesses, due to the accelerated globalization of society. The analysis corresponds to a descriptive process of all the information collected with the proposed exploitation mechanisms through tourism activities. During the process, an increase in the exchange of knowledge was shown, as well as a constant cultural insurgency in which people maintain themselves to safeguard their cultures.Junta de Extremadura | Ref. GR2116

Safeguarding intangible cultural heritage: the Amazonian Kichwa people

Indigenous communities express their concern about the weakening and low appreciation of their millenary and ancestral manifestations and knowledge, due to society’s accelerated globalization. This fact has caused intergenerational transmission to be minimal, resulting in a gradual cultural erosion and loss of collective memory of human groups. The purpose of this study is to safeguard of the Intangible Cultural Heritage (ICH) of the Amazonian Kichwa nationality through identification and records of cultural manifestations. The analysis corresponds to a descriptive process of all the information collected, which was built from the development of multiple processes of cultural revitalization that correspond to in-depth interviews with community leaders and participatory workshops with all members of the community. During the process, an increase in the exchange of knowledge was observed, in addition to constant cultural insurgency in which the peoples maintain themselves in order to safeguard their cultures