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Article
Publication date: 10 August 2021

Pedro Argento, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto and Leonardo Lima Gomes

Brazil is characterized by the inexistence of a more robust system of guarantees and rules to minimize risks and protect agents in energy futures contracts. In this sense, this…

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Abstract

Purpose

Brazil is characterized by the inexistence of a more robust system of guarantees and rules to minimize risks and protect agents in energy futures contracts. In this sense, this study aims to answer the question of how a centralized clearing agent can compute safety margin requirements to help reduce the systemic risk of the energy futures contracts market in Brazil.

Design/methodology/approach

The intermediate steps and specific objectives are to analyze the volatility behavior, identify the autoregressive conditional heteroscedasticity effects and model the variance of the return series. Based on this, the authors calculate the value-at-risk and conditional value-at-risk metrics for the energy futures contracts. As a robustness test, the authors added a peak over threshold methodology from extreme values theory.

Findings

In general, monthly products require margins because of their higher variance. With the asymmetrical distribution of returns, the authors needed to consider different maintenance margins for the long and short positions. It was also shown that two guarantee margins were required to secure the contracts as follows: the initial margin and the maintenance margin. The three factors that defined the size of the maintenance margin the volatility, skewness and kurtosis of the return series.

Originality/value

The contribution of this study lies in promoting the understanding of the risk dimensions of the energy derivatives market in Brazil and it offers concrete recommendations for how to mitigate this risk through market mechanisms and structures. Similar arrangements can be applied to other emerging markets.

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Article
Publication date: 1 August 2019

Augusto Ferreira da Costa Neto, Marcelo Cabus Klotzle and Antonio Carlos Figueiredo Pinto

The purpose of this paper is to present the results of a study on investor behavior in exchange-traded fund (ETF) markets. The standard feedback trading model of Sentana and…

805

Abstract

Purpose

The purpose of this paper is to present the results of a study on investor behavior in exchange-traded fund (ETF) markets. The standard feedback trading model of Sentana and Wadhwani (1992) is used in a sample of 18 ETFs contracts in Brazil, China, South Africa, Korea, Mexico and India, as well as three ETFs contracts in the US market.

Design/methodology/approach

The sample includes data on daily closing prices and net asset values (NAVs) for three ETFs from each of the emerging markets of Brazil, China, Mexico, Korea and India, as well as on three ETFs from the US market. The authors used the earliest start date available in the Thomson Reuters database pertaining to all of the ETFs, and all series ended on May 5, 2017, and applied the well-established Santana and Wadhwani (1992) seminal model to evaluate evidence of feedback trading in the sample.

Findings

The empirical analysis suggests that there is evidence of feedback trading in emerging markets such as Brazil, Korea, Mexico and India, while there is no such evidence for the US market. The results are consistent with the view that developed markets investors are prone to pursue fundamental-driven investment strategies, while emerging markets investors appear to have informational guided behavior.

Research limitations/implications

Emerging markets still make up a very small part of the global ETF market, led by the USA. Nevertheless, it is extremely important that studies of this nature be gradually expanded as these markets grow, in order to verify how emerging markets compare to their developed counterparts in terms of the efficiency of information sharing and rationalization of its operations.

Practical implications

Emerging markets policy makers could benefit from these findings by stimulating new mechanisms that could minimize informational asymmetry and the persistence of so-called noise traders, a phenomenon observed recently in studies regarding ETF markets (Brown, Davies and Ringgenberg, 2018).

Originality/value

The behavior of investors was investigated by analyzing a sample of 18 ETFs from the emerging markets of Brazil, China, South Africa, Korea, India and Mexico, as well as three ETFs from the US market. Despite of being investigated separately both emerging (Charteris et al., 2014) and developed markets (Chau et al., 2011), the innovation consists in comparing those markets in a single study, pursuing to explain potential reasons for the differences observed between developed and emerging markets.

Details

International Journal of Emerging Markets, vol. 14 no. 5
Type: Research Article
ISSN: 1746-8809

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Article
Publication date: 7 April 2015

Mario Domingues Simões, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto and Leonardo Lima Gomes

The purpose of this study is to ascertain whether nonlinearities could be present in electricity loads observed in subtropical environments, where none or little heating is…

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Abstract

Purpose

The purpose of this study is to ascertain whether nonlinearities could be present in electricity loads observed in subtropical environments, where none or little heating is required, and whether threshold autoregressive (TAR)-type regime switching models could be advantageous in the modeling of those loads.

Design/methodology/approach

The actual observed load of a Brazilian regional electricity distributor from January 2013 to August 2012 was modeled using a popularly employed ARMA model for reference, and smooth and non-smooth TAR transition (non-linear) models were used as non-linear regime switching models.

Findings

Evidence of nonlinearities were found in the load series, and evidence was also found on the intrinsic resistance of this type of models to structural breaks in the data. Additionally, to reacting well to asymmetries in the data, these models avoid the use of exogenous variables. Altogether, this could prove to be a definite advantage of the use of such model alternatives.

Research limitations/implications

However, even if the present work may have been limited by the observation frequency of the available data, it appears TAR models appear to be a viable alternative to forecasting short-term electricity loads. Nonetheless, additional research is required to achieve a higher accuracy of forecast data.

Practical implications

If such models can be successfully used, it will be a great advantage for electricity generators, as the computational effort involved in the use of such models is not significantly larger than regular linear ones.

Originality/value

To our knowledge, this type of research has not yet been made with subtropical/tropical electricity load data.

Details

International Journal of Energy Sector Management, vol. 9 no. 1
Type: Research Article
ISSN: 1750-6220

Keywords

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Book part
Publication date: 23 March 2017

Barbara de Lima Voss, David Bernard Carter and Bruno Meirelles Salotti

We present a critical literature review debating Brazilian research on social and environmental accounting (SEA). The aim of this study is to understand the role of politics in…

Abstract

We present a critical literature review debating Brazilian research on social and environmental accounting (SEA). The aim of this study is to understand the role of politics in the construction of hegemonies in SEA research in Brazil. In particular, we examine the role of hegemony in relation to the co-option of SEA literature and sustainability in the Brazilian context by the logic of development for economic growth in emerging economies. The methodological approach adopts a post-structural perspective that reflects Laclau and Mouffe’s discourse theory. The study employs a hermeneutical, rhetorical approach to understand and classify 352 Brazilian research articles on SEA. We employ Brown and Fraser’s (2006) categorizations of SEA literature to help in our analysis: the business case, the stakeholder–accountability approach, and the critical case. We argue that the business case is prominent in Brazilian studies. Second-stage analysis suggests that the major themes under discussion include measurement, consulting, and descriptive approach. We argue that these themes illustrate the degree of influence of the hegemonic politics relevant to emerging economics, as these themes predominantly concern economic growth and a capitalist context. This paper discusses trends and practices in the Brazilian literature on SEA and argues that the focus means that SEA avoids critical debates of the role of capitalist logics in an emerging economy concerning sustainability. We urge the Brazilian academy to understand the implications of its reifying agenda and engage, counter-hegemonically, in a social and political agenda beyond the hegemonic support of a particular set of capitalist interests.

Details

Advances in Environmental Accounting & Management: Social and Environmental Accounting in Brazil
Type: Book
ISBN: 978-1-78635-376-4

Keywords

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Book part
Publication date: 16 June 2023

Leda Balbino

Abstract

Details

Digital Memory in Brazil
Type: Book
ISBN: 978-1-80262-803-6

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Article
Publication date: 26 November 2024

Marco Antonio Pacheco Junior, Tiago F.A.C. Sigahi, Izabela Simon Rampasso, Lucas Gabriel Zanon, Walter Leal Filho and Rosley Anholon

This paper proposes an evaluation approach for analyzing excellence management practices at a regional level based on experts’ assessment.

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Abstract

Purpose

This paper proposes an evaluation approach for analyzing excellence management practices at a regional level based on experts’ assessment.

Design/methodology/approach

Using the National Quality Foundation’s Management Excellence Model (MEG), 19 management excellence practices were identified and tailored for small- and medium-sized industries (SMIs). Data were collected through a survey with 25 experts who assessed these practices in the context of Brazilian manufacturing SMIs. The analysis utilized Fuzzy TOPSIS Class (FTC), and a sensitivity analysis was also conducted.

Findings

The proposed evaluation approach integrates a reference model for management excellence (MEG), an analysis method incorporating uncertainty (FTC), and results that enable decision-makers to make well-informed choices. Of the 19 practices assessed, 15 were classified as “unacceptable,” while four were rated as “regular,” and none as “expected.” Key challenges relate to practices in information security, knowledge, innovation and change management.

Research limitations/implications

The study’s primary limitation is the use of non-probabilistic sampling and its focus on the Brazilian context. However, the extensive knowledge and experience of the experts in manufacturing SMIs and the need for studies addressing specific regional contexts should be noted.

Practical implications

The findings reveal a significant gap between ideal management practices and the actual state of SMIs, especially in emerging markets.

Originality/value

This research introduces a novel approach that combines a reference model tailored for SMIs with a multicriteria decision-making method, offering valuable insights for decision-makers and guiding future research.

Details

Benchmarking: An International Journal, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1463-5771

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Article
Publication date: 19 July 2023

Rafael Teixeira, Jorge Junio Moreira Antunes, Peter Wanke, Henrique Luiz Correa and Yong Tan

This paper aims to measure and unveil the relationship between customer satisfaction and efficiency levels in the most relevant Brazilian airports.

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Abstract

Purpose

This paper aims to measure and unveil the relationship between customer satisfaction and efficiency levels in the most relevant Brazilian airports.

Design/methodology/approach

The authors utilize a two-stage network DEA (data envelopment analysis) and AHP (analytic hierarchy process) model as the cornerstones of the study. The first stage of the network productive structure focuses on examining the infrastructure efficiency of the selected airports, while the second stage assesses their business efficiency.

Findings

Although the results indicate that infrastructure and business efficiency levels are heterogeneous and widely dispersed across airports, controlling the regression results with different contextual variables suggests that the impact of efficiency levels on customer satisfaction is mediated by a set of socio-economic and demographic (endogenous) and regulatory (exogenous) variables. Furthermore, encouraging investment in airports is necessary to achieve higher infrastructural efficiency and scale efficiency, thereby improving customer satisfaction.

Originality/value

There is a scarcity of studies examining the relationships among customer satisfaction, privatization and airport efficiency, particularly in developing countries like Brazil.

Details

Benchmarking: An International Journal, vol. 31 no. 7
Type: Research Article
ISSN: 1463-5771

Keywords

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Article
Publication date: 12 September 2023

Gustavo Silva, Leandro F. Pereira, José Crespo Carvalho, Rui Vinhas da Silva and Ana Simoes

This study aims to conduct a pertinent assessment of the concept of business competitiveness and how Portugal can progress in that field, for the sake of becoming a more…

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Abstract

Purpose

This study aims to conduct a pertinent assessment of the concept of business competitiveness and how Portugal can progress in that field, for the sake of becoming a more sustainable and wealth-creator economy.

Design/methodology/approach

The research was elaborated with 65 in-depth interviews with expert persons from the Portuguese business ecosystem, who were asked to reflect on the state of the economy and competitiveness of the country.

Findings

There is much room for improvement in almost all areas of activity, in particular by promoting an innovative, value-adding and exporting private sector and a lighter and more efficient public sector. The conclusions point to modernisation of the Portuguese economy as a way of making it more competitive in a highly competitive and demanding global scenario.

Originality/value

To the best of the authors’ knowledge, it is the first time that a reflection with experts of the local Portuguese economy has been carried out, especially after a difficult period of COVID.

Details

Competitiveness Review: An International Business Journal , vol. 34 no. 3
Type: Research Article
ISSN: 1059-5422

Keywords

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