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Percorrer Faculdade de Economia por Objetivos de Desenvolvimento Sustentável (ODS) "07:Energias Renováveis e Acessíveis"
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- Asymmetric connectedness among regional green economies, carbon markets, and oil shocksPublication . Hanif, Waqas; El Khoury, Rim; Gubareva, Mariya; Teplova, TamaraThis study investigates spillovers among the US, Europe, and Asia green economies, carbon allowances and oil price shocks in 2010–2023. We segregate oil shocks in demand-, supply-, and risk-driven price movements. The TVP-VAR methodology is applied to model the dynamic interrelationships among the markets. Our static connectedness outcomes highlight a substantial role of the US and European green economy and the demand-driven shocks as emitters of innovations to other markets. It is found that European green economy is the main innovations contributor to global carbon allowances whereas the demand-driven oil shocks dominate in transmitting spillovers to others. We demonstrate that major economic events make connectedness increase. Our asymmetry analysis reveals a heightened susceptibility of the system to negative news, with the impacts of negative spillovers overcoming those of positive ones. The dynamics of spillovers emphasize how crucial it is to take into account both the time and the sign. Our research advances understanding of the complex relationships within the green-carbon-oilshocks system. The results are potentially useful for risk managers and investors, as they allow the creation of effective risk management plans.
- Do investors tend to overreact when investing in clean energy stock indices?Publication . Dias, Rui; Galvão, Rosa; Cruz, Sandra P.; Gonçalves, Sidalina; Irfan, Mohammad; Teixeira, Nuno; Alexandre, Paulo; Palma, Cristina; Almeida, LilianaDue to climate change, investors are increasingly interested in clean energy stocks attracting many investors due to clean energy prospects. This paper analyses investor overreactions to long-term prices in various clean energy stock indices, such as Clean Energy Fuels (CLNE), Global Clean Energy (GCEI), as well as the Dow Jones Industrials (DJI) stock index, over the period from 24 February 2022 to 23 May 2024. The results show that the Global Clean Energy (GCEI) clean energy stock index rejects H0 at the 16-day lag at a significance level of 1%; similarly, the Clean Energy Fuels (CLNE) index rejects the null hypothesis at lags 8, 9, 10, 11 and 12 days, both indices show negative serial autocorrelation, which means that price movements are not entirely random and are influenced by prior price movements. This evidence could mean that investors overreact to the information that reaches the market. On the other hand, the ETF (PWYF) and the Dow Jones Industrial Stock Index (DJI) show that the random walk hypothesis has not been rejected. In other words, these markets show that they are in equilibrium and that the existence of exaggerated reactions on the part of investors is not significant. The answer to the research question was partially accepted, so the Russian invasion of Ukraine in 2022 led to the partial presence of overreactions in these stock indices. In conclusion, investors operating in these markets should exercise caution and consider their risk tolerance before investing. Investors should, therefore, continue to monitor market trends and adjust their investment strategies accordingly.
- Exploring the relationship between clean energy indices and oil prices: a ten-day window approachPublication . Dias, Rui; Galvão, Rosa; Cruz, Sandra P.; Irfan, Mohammad; Teixeira, Nuno; Gonçalves, SidalinaThis paper aims to assess the comovements between clean energy indices, namely the Clean Energy Fuels (CLNE), Nasdaq Clean Edge Green Energy (CELS), S&P Global Clean Energy (SPGTCLEN), TISDALE Clean Energy (TCEC.CN), Wilderhill (ECO), West Texas Intermediate (WTI) stock indices, over the period from 1 January 2018 to 23 November 2023. We used 10-day windows to analyse the duration and nature of the shocks. Granger causality tests revealed that 20 of the 30 possible pairs showed significant movements, with the WTI influencing all the clean energy indices, highlighting its global importance. CELS also showed a robust influence on all pairs, while SPGTCLEN had a significant but less far-reaching influence. The CLNE and ECO indices showed limited influences, suggesting the potential for diversification, the TCEC.CN proved to be independent and a determining factor for portfolio diversification. The Impulse Response Functions (IRF) confirmed significant movements between CELS, SPGTCLEN and WTI, reflecting the market's response to policies and adjustments in expectations. Fluctuations in oil prices substantially affect clean energy indices, highlighting the interconnectedness and volatility of these markets. In conclusion, these results indicate that despite the growth of clean energy, the sector is still influenced by fluctuations in the fossil fuel market.
- Interdependence and spillovers between big oil companies and regional and global energy equity marketsPublication . Hanif, Waqas; Hernandez, Jose Arreola; Kang, Sang Hoon; Boako, Gideon; Yoon, Seong-MinWe examine spillovers and nonlinear dependence dynamics between big oil supermajors and regional and global energy equity markets. We derive our empirical results by fitting a directional spillover index, a conditional value-at-risk (CoVaR) method, and time-varying parameter copulas. Spillover index results indicate that big oil supermajors most largely spillover to the EU energy equity sector than to the US energy equity sector. A big oil supermajor British Petroleum (BP) consistently exerts some of the largest spillovers across regional and global energy markets. The CoVaR analysis reveals that on the downside, shocks from Royal Dutch Shell A most largely spillover to the US energy equity sector, while Royal Dutch Shell B does it on the upside. On the downside, Chevron most largely spillovers shocks to the EU energy equity sector, while BP does it on the upside. ExxonMobil most largely spillovers downside shocks to the world energy equity sector, while Royal Dutch Shell B does it on the upside. The Copula results show an asymmetric dependence between major oil companies and the US energy equity sector. The relationship between big oil companies and the EU energy equity sector is characterised by symmetric dependence dynamics.
- Interplay of crises: unpacking intraday spillovers in oil and European equities in the shadow of the COVID-19 and the Ukraine-Russia warPublication . Alshater, Muneer M.; Hanif, Waqas; Khoury, Rim El; Mensi, WalidThis study investigates the time-varying frequency of spillovers between European stock markets and oil during the COVID-19 pandemic and the Russia-Ukraine war. Using the spillover index by Diebold & Yilmaz, 2012 and Baruník & Kˇrehlík, 2018, we analyze high-frequency data at a 5-min interval to analyze the interplay between crude oil market returns and the Stoxx 600 index returns, including sectors such as auto, basic material, banks, chemicals, food and beverage, health, industrials, insurance, oil and gas, retail, real estate, technology (tech), telecommunication (telecom), and utilities. The sample period is January 3, 2022, to March 25, 2022. Our findings reveal a substantial degree of connectedness within this financial network, with specific sectors—auto, chemicals, food, industrials, insurance, real estate, retail, tech, and telecom—acting as net transmitters of shocks, while other sectors assume the role of net receivers. The Russia-Ukraine war is a significant driver of these interconnected dynamics. Spillovers are most prevalent in the medium-term horizon, with the time dimension affecting the role of sectors and oil. Furthermore, our research highlights the potential benefits of adding oil assets to portfolios, enhancing risk-adjusted performance. However, ongoing risk management remains crucial due to the dynamic hedge ratios. This study offers practical insights for investors and policy makers, aiding risk management and investment strategies in turbulent markets.
- Valuation: criação de valor numa empresa brasileira do setor da energiaPublication . Santos, Iza BIna; Martins, Ana IsabelCom a crescente necessidade de definições de parâmetros para a identificação do real valor de uma empresa, surgem discussões acerca de qual o modelo que mais se aproxima da realidade para possíveis transações de compra e venda, que se tornam mais comuns nas economias. Devido à grande complexidade de extração de informações contabilísticas precisas, a dificuldade em estabelecer um conceito único para esses levantamentos é um desafio para todos os estudiosos da área, e não existe um consenso sobre como efetivamente chegar a um valor aproximado ou real da empresa. Quando falamos sobre empresas no setor de energia, sobretudo em economias emergentes, esse conceito se torna ainda mais complexo, visto que estas companhias estão em contexto de maior instabilidade política e económica, além de serem responsáveis por prestar serviços essenciais sendo fundamentais no desenvolvimento do país. Este trabalho apresenta o valuation de um grupo empresarial brasileiro de geração e comercialização de energia, utilizando o método dos fluxos de caixa atualizados pela perspectiva dos acionistas, com a taxa de desconto calculada pelo Capital Asset Price Model. Foi estimado o valor de R$ 14,67 mil milhões (€ 2,72 mil milhões), aproximadamente 10% acima do valor divulgado pelo grupo no ano de 2023. Considera se que o valor de referência obtido com este trabalho é justo e está coerente com o divulgado. Conclui-se também que o grupo empresarial é sólido por ter um portifólio de fontes de geração de energia renovável diversificada e complementares, além de estar atento às oportunidades que o setor de energia oferece.