VALORIZA - Artigos em Revistas Científicas
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Browsing VALORIZA - Artigos em Revistas Científicas by Author "Andreia Dionísio"
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- COVID-19 Effects on the Relationship between Cryptocurrencies: Can It Be Contagion? Insights from Econophysics ApproachesPublication . Dora Almeida; Andreia Dionísio; Isabel Vieira; Paulo FerreiraCryptocurrencies are relatively new and innovative financial assets. They are a topic of interest to investors and academics due to their distinctive features. Whether financial or not, extraordinary events are one of the biggest challenges facing financial markets. The onset of the COVID-19 pandemic crisis, considered by some authors a “black swan”, is one of these events. In this study, we assess integration and contagion in the cryptocurrency market in the COVID-19 pandemic context, using two entropy-based measures: mutual information and transfer entropy. Both methodologies reveal that cryptocurrencies exhibit mixed levels of integration before and after the onset of the pandemic. Cryptocurrencies displaying higher integration before the event experienced a decline in such link after the world became aware of the first cases of pneumonia in Wuhan city. In what concerns contagion, mutual information provided evidence of its presence solely for the Huobi Token, and the transfer entropy analysis pointed out Tether and Huobi Token as its main source. As both analyses indicate no contagion from the pandemic turmoil to these financial assets, cryptocurrencies may be good investment options in case of real global shocks, such as the one provoked by the COVID-19 outbreak.
- Dynamic linkage between environmental segments of stock markets: the role of global risk factorsPublication . Vítor Manuel de Sousa Gabriel; Dora Almeida; Andreia Dionísio; Paulo FerreiraThis study evaluates the links between representative indices of companies with high environmental performance and the propensity of such indices to economic and financial shocks. Five indices, representing environmental segments and four global macroeconomic and financial variables, were analyzed over a thirteen-year period, which included various crisis moments, such as the sovereign debt crisis, the COVID-19 pandemic and the onset of the Russia/Ukraine conflict. Using dynamic and nonlinear models, our research reveals statistically significant and consistent relationships between the variables under investigation, particularly during periods of global financial and pandemic crises. The analysis revealed that the VIXCLS is the most influential global risk factor, with certain risk factors being influenced by environmental segments, particularly Alternative Energy. This influence can create conditions conducive to contagion risk and diminish the benefits of portfolio diversification. This study contributes to a deeper understanding of the connection between environmental investments and their vulnerability to significant global events and risks.
- Energy markets – Who are the influencers?Publication . Paulo Ferreira; Dora Almeida; Andreia Dionísio; Elie Bouri; Derick QuintinoThe energy markets have recently undergone important transformations (e.g. deregulation, technological progress, renewable energy deployment and changing energy consumer behaviour) and witnessed a variety of crisis periods, affecting the relationships among energy commodities and their interactions with clean energy indices. This has implications for price discovery, asset allocation and risk management, which requires in-depth analysis to uncover and identify which energy indices (or forms of energy) lead others or are the most influential, while accounting for asymmetry and non-linearity characteristics. To uncover the complex structure of the relationship across the returns of seven different energy commodities and two clean energy stock indices, we apply Granger causality and transfer entropy in both static and dynamic approaches. The results from the Granger causality analysis identify the influence of the other energy products on natural gas, whereas the transfer entropy analysis reveals the importance of WTI oil and the influence of clean energy indices. Diesel is the most influenced energy commodity. A rolling windows analysis confirms those findings and shows evidence of a time-variation that reflects the impacts of crisis periods, especially the pandemic, on the dynamics of relationships
- Exploring the connection between geopolitical risks and energy marketsPublication . Dora Almeida; Paulo Ferreira; Andreia Dionísio; Faheem AslamThis study delves into the complexities of energy commodity futures and clean energy indexes, analyzing their responses to geopolitical risk. The detrended fluctuation analysis was applied, and the efficiency index was estimated to assess energy market behavior better. This approach allows the evaluation of long-range depen dence and market efficiency. The findings show evolving patterns influenced by significant geopolitical events such as the COVID-19 pandemic and geopolitical conflicts. Transfer entropy analysis also uncovers directional dependence between energy markets and geopolitical risk, highlighting energy commodities’ influential (or anticipated) role on geopolitical indexes. The dynamic analysis emphasizes time-varying relationships, with fluctuations notably impacted by global events like the European sovereign debt crisis and escalating geopolitical tensions. Additionally, clean energy indexes exhibit sensitivity to geopolitical risk, offering valuable insights into market behavior and informing risk management strategies. The study highlights the complex and dynamic relationships between energy markets and geopolitical factors and provides useful information for investors and policymakers on energy markets.
- Information flow dynamics between cryptocurrency returns and electricity consumption: A comparative analysis of Bitcoin and EthereumPublication . Dora Almeida; Andreia Dionísio; Paulo FerreiraUnderstanding energy consumption associated with cryptocurrency mining gained increasing attention, with the literature focusing mainly on Bitcoin. This study uses data from the two energy consumption indices, to estimate static and dynamic transfer entropies. The results provide a nuanced understanding of the bidirectional relationships and their implications. The dominant direction of information flow for Bitcoin is from electricity consumption to returns, while for Ethereum, it is from returns to electricity consumption, suggesting that Ethereum’s returns significantly impact electricity consumption patterns. Results highlight the need for policies that integrate energy forecasting and environmental sustainability considerations and has significant implications for policymaking