Percorrer por autor "Neves, Maria Elisabete"
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- Global environmental equities and investor sentiment: the role of social media and Covid-19 pandemic crisisPublication . de Sousa-Gabriel, Vítor Manuel; Lozano-García, María Belén; Matias, Maria Fernanda Ludovina Inácio; Neves, Maria Elisabete; Martínez-Ferrero, JenniferAccording to researchers, information generated from social media provides useful data for understanding the behaviour of various types of financial assets, using the sentiment expressed by these network users as an explanatory variable of asset prices. In a context in which investment based on sustainability and environmental preservation values is vital, there is no known scientific work that analyses the relationship between social networks and environmental investment, which is closely related to the 2030 Agenda for Sustainable Development. In this study, we aim to identify how investor sentiment, generated from social networks, influences environmental investment and whether this influence depends on the time variable, as well the role of the pandemic crisis and the Russia-Ukraine war. Our results show different forms of behaviour for the different periods considered, with the proximity between the two types of variables being time-varying. For shorter periods, proximity occurred mainly during the pandemic crisis, repeatedly revealing that sentiment is a risk factor in environmental investment and in particular how important the information generated from social networks can be in pricing environmental assets. For longer periods, no common stochastic trends were identified. The mechanisms generating the series are thus characterised by a certain autonomy.
- Global spillovers between sustainable and traditional ETFS: crisis dynamics and policy implicationsPublication . Gabriel, Vítor Manuel de Sousa; Lozano, María Belén; Matias, Fernanda; Neves, Maria Elisabete; Rebelo, SandraThis paper examines the interconnections between segments of exchange-traded funds (ETFs), bridging the traditional financial perspective with the sustainability-driven approach based on the Sustainable Development Goals (SDGs) outlined in Agenda 2030. The analysis is endogenous, focusing on the shocks that emerge within the system composed of these segments. Utilizing daily data from six sustainable segments, each corresponding to different SDGs, alongside one traditional segment, spanning a sample period of approximately 14 years, the study reveals notable spillover effects. Specifically, the periods associated with the pandemic and the war in Ukraine were marked by a significant surge in information transmission across the segments. Furthermore, the findings indicate that sustainable segments exhibit a strong interdependence with their traditional counterparts, a dynamic that facilitates contagion risk and limits the effectiveness of portfolio diversification strategies.