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Browsing IPS - ESCE – DCF by Author "Almeida, Liliana"
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- Delving into the exchange-traded funds (ETFs) market: understanding market efficiencyPublication . Dias, Rui; Galvão, Rosa; Irfan, Mohammad; Alexande, Paulo; Gonçalves, Sidalina; Almeida, LilianaExchange-traded funds (ETFs) are the most popular products in the financial sector today. There is extensive literature on the multifractal analysis of some stock markets, but not about the multifractal behaviour of the ETF market. This study examines the efficiency of stock index ETFs worldwide from an Efficient Market Hypothesis (EMH) perspective, using the ETFs: Ishares Msci World ETF (URTH), Ishares Russell 1000 ETF (IWB), SPDR S&P 500 ETF TRUST (SPY), Ishares Global Clean En. ETF (ICLN), Ishares USD Green Bond ETF (BGRN), from 1 January 2021 to 24 May 2024. It analyses a pre-conflict and a geopolitical conflict to uncover distinct patterns of behaviour reflecting significant changes in market conditions. Before the conflict, the Ishares MSCI World, Ishares Russell 1000, SPDR S&P 500 and Ishares USD Green Bond ETFs showed signs of anti-persistence in returns, indicating a lack of strong relationship or predictability between short-term price movements. The Ishares Global Clean Energy ETF did not reject the random walk hypothesis, suggesting that returns follow a pattern closer to random, where market prices already efficiently reflect all available information. During the conflict, there was a transition in the ETFs' behaviour patterns, as evidenced by the increases in slope values for Ishares MSCI World, Ishares Russell 1000, SPDR S&P 500, Ishares Global Clean Energy and Ishares USD Green Bond. Thus, the possible transition from anti-persistence to long-term memories in ETF returns during the conflict. For portfolio managers, these findings highlight the need to continually adapt investment strategies to manage risks better and take advantage of opportunities in a dynamic and complex investment environment.
- Do investors tend to overreact when investing in clean energy stock indices?Publication . Dias, Rui; Galvão, Rosa; Cruz, Sandra; 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.
- Testing the diversifying asset hypothesis between clean energy stock indices and oil pricePublication . Dias, Rui; Galvão, Rosa; Cruz, Sandra; Irfan, Mohammad; Alexandre, Paulo; Gonçalves, Sidalina; Teixeira, Nuno; Palma, Cristina; Almeida, LilianaIn theory, geopolitical risk and political uncertainty can directly affect energy markets. Fluctuations lead to the cost of clean energy sources as they compete with traditional energy. The purpose of this study is to analyse financial integration and test the diversifying asset hypothesis between clean energy indices, specifically the Clean Energy Fuels (CLNE), Nasdaq Clean Edge Green Energy (CELS), S&P Global Clean Energy (SPGTCLEN), TISDALE Clean Energy (TCEC.CN), Wilderhill (ECO) and West Texas Intermediate (WTI) stock indices, over the period from 1 January 2018 to 23 November 2023. Analysing the results reveals a scenario where most of the clean energy indices show cointegration with each other, indicating long-term relationships that reflect common trends in the clean energy sector. However, the relative independence of the WTI suggests that Oil still acts as an important and potentially diversifying external factor for investors focused on sustainable energy. Structural breaks in 2021 and 2022 in several indices point to significant events that have altered market dynamics, possibly including changes in environmental policies, technological innovations and the impacts of the COVID-19 pandemic. The cointegration evidence and structural breaks provide valuable information for building investment portfolios. Investors can consider the WTI to diversify portfolios dominated by clean energy assets, taking advantage of Oil’s relative independence. On the other hand, the high correlation between clean energy indices suggests that, within this sector, diversification options are more limited, requiring careful analysis of the specific characteristics of each index and the macroeconomic forces affecting them.