Articulos de revista (Fac. de Económicas y Empresariales)
Permanent URI for this collectionhttps://hdl.handle.net/10171/70331
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- Gender Succession and Market Efficiency: a Case Study of Inditex Generational Shift(2024) Torres-Polo, M. (Marta); Gil-Alana, L.A. (Luis A.); Torregrosa, M. (Marta)Abstract Purpose: This paper investigates the impact of Marta Ortega's succession on the closing prices of Inditex. The paper highlights the meticulous succession planning orchestrated by Amancio Ortega, Marta Ortega's extensive involvement in the business, and the supportive family dynamics that facilitated a smooth transition. This study challenges conventional notions about women in family successions and underscores the importance of effective planning and successor preparation in family businesses. Methodology: In this article we use daily data of closing prices of INDITEX from January 3, 2011, until November 29, 2023. The methodology used is based on the concept of fractional integration. Results: Contrary to market expectations, the results reveal a positive trend in closing prices following Marta Ortega's assumption of the non-executive chairman position. The prices showed some evidence of mean reversion and thus inefficiency, though, at the same time, a positive significant trend was observed in the price of the company since then. Research limitations: This research is not without limitations, which open the way for future research. This research is a case study. The results may be limited by our sample. Other female successions and their impact on closing prices should be investigated. This would help to increase research on the effects on the company following female succession. Another limitation of the study concerns the period investigated. It will be interesting to review the results obtained when the period elapsed since the succession is longer. Practical implications: This research helps to avoid the negative stereotypes associated with female succession in companies. Originality: This research will help to understand how generational handover occurs in family businesses when the heir is also a woman. Keywords: Gender equality; Inditex; stock market prices; fractional integration; family business, succession
- Do climate policy uncertainty and geopolitical risk transmit opportunity or threat to the green market? Evidence from non-linear ARDL(Elsevier B.V., 2024) Agbi-Kaiser, H.O. (Henry Ofoe); Asante-Gyamerah, S. (Samuel); Gil-Alana, L.A. (Luis A.)This paper examines the asymmetric impacts of climate policy uncertainty (CPU), and geopolitical risk (GPR) on US green bond (GB) returns. By using the non-linear ARDL model and monthly data for GB, CPU and GPR from January 2016 to August 2022, our empirical findings show that in the short run, GB returns are negatively affected by both positive and negative shocks to GPR. In the long term, GB returns are positively impacted by negative shocks in GPR and negatively affected by positive shocks in GPR. CPU on the other hand shows an insignificant symmetric effect. These results have vital implications for policymakers and fund managers. Policymakers should consider implementing policies that reduce uncertainties and ensure stability in the green bond market. For fund managers, there is the need to adopt dynamic approaches to portfolio management, considering the evolving nature of geopolitical risks and their impact on green bond performance.
- Atmospheric pollution in Chinese cities: Trends and persistence(Elsevier Ltd., 2024) Gil-Alana, L.A. (Luis A.); Caporale, G.M. (Guglielmo M.); Carmona-González, N. (Nieves)This paper applies fractional integration to investigate the behaviour of various pollutants in seven Chinese cities. The objective is to establish if the series exhibit long memory and if time trends are statistically significant over the sample period going from January 2014 to November 2022. The results suggest that the steps recently taken by the Chinese authorities to reduce emissions and improve air quality have already had some effect: in most cases the air pollutant series are in the stationary range, with mean reversion occurring and shocks only having temporary effects, and there are significant downward trends indicating a decline over time in the degree of pollution in China. It is also interesting that in the most recent period, the Zero-Covid policy of the Chinese authorities has led to a further fall. On the whole, it would appear that the action plan adopted by the Chinese government is bringing the expected environmental benefits and therefore it is to be hoped that such policies will continue to be implemented and extended to improve air quality even further.
- All road user casualties (killed) in Great Britain from 1926. Linear and nonlinear trends with persistent data(Springer, 2024) Gil-Alana, L.A. (Luis A.)This paper deals with the analysis of road casualties in Great Britain, using annual data since 1926. Based on the persistent nature of the data, fractional integration methods are used that include linear and non-linear (structural breaks) models. The results indicate that when the whole data set is employed the series is nonstationary I(1) implying permanency of shocks. However, considering data starting in 1964 we observe a significant negative time trend along with a lower degree of integration that implies transitory shocks. In order to avoid the abrupt change produced by the break, a nonlinear deterministic trend model based on Chebyshev polynomials in time is also considered with the whole sample, and though the order of integration is much lower than 1, the unit root null hypothesis cannot yet be rejected.
- Persistence of human capital development in OECD countries over 150 years: evidence from linear and nonlinear fractional integration methods(Elsevier, 2024) Hernández-Herrera, M. (María); Gil-Alana, L.A. (Luis A.); Adebola-Solarin, S. (Sakiru)The goal of this study is to examine the persistence of human capital development in 21 member countries of the Organization for Economic Cooperation and Development for the period 1870–2019. Gross enrollment rates for secondary and tertiary education are both used as proxies for human capital development. Employing linear and nonlinear fractional integration approaches, our results suggest high degrees of persistence in the series under examination. However, lower orders of integration are observed in the data for tertiary education than for secondary education. Thus, no evidence of reversion to the mean is found in secondary education, and Australia and New Zealand have the highest coefficients for the time trends and the highest dependence. However, mean reversion in tertiary education is found in France, the US, and, in particular, Austria. Finally, evidence of nonlinearity is observed in about eight countries, though without altering the persistence in the series. The implications of the empirical results are also presented.
- Persistence of fisheries production: a disaggregated analysis in 31 OECD Countries(Elsevier, 2024) Lafuente, C. (Carmen); Goenechea, M. (María); Gil-Alana, L.A. (Luis A.); Adebola-Solarin, S. (Sakiru)Previous studies have focussed on different aspects of fisheries production in several countries. However, the literature has been largely silent on the persistence of fisheries production, which has numerous important policy implications. In this article, we examine time series data corresponding to fisheries production in a group of 31 OECD countries. The analysis focuses on three distinct production series for each country: total fisheries production, aquaculture production, and capture fisheries production, and the time period spans from 1960 to 2020. Using fractional integration methods, the empirical findings provide evidence for persistence in fisheries production and its two components in the majority of the OECD countries examined. Persistence is observed in 29 countries in the case of the total fisheries production, 28 countries in the case of capture fisheries production, and 28 countries in the case of aquaculture production. Evidence of mean reversion is observed in Chile and Colombia for the total fisheries production, and in Belgium, Colombia, and Israel for the capture fisheries production. There is support for mean reversion in aquaculture production data for France, the Netherlands and Poland. An implication of the results is that shocks to the fisheries production or its components are permanent or long-term in nature. Therefore, long-term measures are need to address any disruptions in the fishery sector.
- Evaluating the yield curve effects of central bank asset purchases under a forward-looking supply factor(Elsevier, 2024) Thomas, C. (Carlos); Moreno-Ibáñez, A. (Antonio); Gimeno, R. (Ricardo); Equiza-Goñi, J. (Juan)The theoretical literature on term structure models emphasizes the importance of the expected absorption of duration risk during the residual life of term bonds in order to understand the yield curve effect of central banks’ government bond purchases. Motivated by this, we develop a forward-looking, long-horizon measure of euro area government bond supply net of Eurosystem holdings, and use it to estimate the impact of the ECB’s asset purchase programs in the context of a no-arbitrage affine term structure model. We find that an asset purchase shock equivalent to 10% of euro area GDP lowers the 10-year average yield of the euro area big-four by 59 basis points (bp) and the associated term premium by 50 bp. Applying the model to the risk-free (OIS) yield curve, the same shock lowers the 10-year rate and term premium by 35 and 26 bp, respectively.
- Consumer sentiments across G7 and BRICS economies: Are they related?(Springer Nature, 2024) Kumar-Tiwari, A. (Aviral); Gil-Alana, L.A. (Luis A.); Carmona-González, N. (Nieves); Aikins-Abakah, E.J. (Emmanuel Joel)This paper utilizes fractional integration and cointegration techniques to investigate the stochastic properties of the bilateral linkages between the Consumer Sentiment Index (CSI) of eight developed economies, Australia, Canada, France, Germany, Italy, Japan, the UK and the US and five emerging economies comprising Brazil, Russia, India, China and South Africa, for the time period from 15th January 2010 to 15th July 2019. The univariate results support fractional integration with mean reverting behaviour, with many of the series displaying orders of integration in the interval (0, 1), which connotes that shocks to consumer sentiment have significant long-lasting though reverting effects. From the covariate results and testing for cointegration, we found evidence of cointegration for Australia versus Italy, and France versus Italy. For the BRICS, the only evidence of fractional cointegration is found between Russia and India. Some policy implications of the results obtained are also mentioned at the end of the article.
- Will the real populists please stand up? A machine learning index of party populism(Elsevier, 2024) Rodríguez-Carreño, I. (Ignacio); Celico, A. (Andrea); Rode, M. (Martin)The existing literature on populism has seen numerous attempts to empirically quantify this somewhat ambiguous concept. Despite notable advances, continuous measures of populism with a clear theoretical background and a considerable coverage are still hard to come by. This paper proposes a novel approach to measuring party populism by combining several different expert-surveys via supervised machine learning techniques. Employing the random forest regression algorithm, we greatly expand the geographical and temporal coverage of two well-known populism indicators, which are based on the discursive and the ideational approach, respectively. The resulting multidimensional measures capture party-level populism on a continuous 0–10 scale, covering 1920 parties in 169 countries from 1970 to 2019. Our measures accurately replicate both definitions of populism, although the indicators may be more suitable for predicting populist outcomes in Western countries, as compared to non-Western ones.
- Trends in temperatures in Sub-Saharan Africa. Evidence of global warming(Elsevier, 2024) Chibuzor-Umeh, S. (Samuel); Gil-Alana, L.A. (Luis A.)Climate change has become a serious environmental matter of global concern. This paper attempts to verify if there is climatic change in Sub-Saharan Africa with the help of monthly station data from January 1901 to December 2020 on the mean temperatures of 48 countries of Sub-Saharan Africa. To do this, we employ fractional integration to account for the data's probable long memory feature. However, because other statistical features such as linear trends and seasonality might also be present in the data, we propose a broad framework that treats these three characteristics (long-range dependence, time trends, and seasonality) in a unified treatment. We first note that long memory is an observed feature in the data and using the original data, the time trends are found to be significant in Southern and Eastern countries, with higher coefficients being observed when the post-War II data are employed. When looking at the anomalies with respect to selected periods, long memory is found in all cases, and a higher number of trends are detected. Thus, 41 countries show significant time trends, with the values being higher again in the post WW2 sample, suggesting that industrialization might have contributed to global warming. The results also indicate some degree of heterogeneity across the African countries.