Browsing by Author "Dias, Rui"
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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.
- Gestão da Segurança e Prevenção do socorro no Rio DouroPublication . Dias, RuiEsta dissertação, pretende apresentar, uma proposta para a elaboração de um Plano Integrado de Salvamento, criando uma metodologia, para sustentar uma coordenação e planeamento da gestão e, comandamento, face à inexistência de tal instrumento operacional no local em estudo. Por outro lado, pretende também capacitar os agentes de proteção civil ao nível da segurança e salvamento aquático no Rio Douro, dando a conhecer as suas valências materiais, humanas e as entidades públicas e privadas, que gerem parte dele ou que lá operam, bem como outros agentes imateriais que o dinamizam enquanto destino turistico. Atualmente, o Rio Douro está essencialmente aproveitado na vertente turística. No entanto, já se vão apresentando projetos na perspetiva de tráfego fluvial de pessoas, entre margens. Através de um inquérito dirigido aos agentes de proteção civil que lá operam, assim como a alguns operadores com responsabilidades na zona em estudo, percebeu-se que entre os agentes de proteção civil, desconhecem as valências entre si ao nível do socorro. Assim, concluiu-se que é preciso que se unifiquem todos os envolvidos no socorro, ajudando a criar uma base de trabalho uniforme, em que cada um terá a sua parte de intervenção, numa melhoria contínua na prontidão ao nível do socorro. Como resultados neste trabalho desenvolvido, emergem um conjunto de propostas de alguns investimentos, mais e melhor adequadas infraestruturas, equipamentos e passagem de conhecimentos, bem como, a implementação de estratégias. Propõe-se nesta dissertação a criação de uma ferramenta que faça uma gestão integrada do Rio Douro, gerando informação num clique, sob a responsabilidade da Autoridade Marítima, como comandamento e detentor de tal base, de organização material, humana e geográfica.
- Holistic framework to data-driven sustainability assessmentPublication . Peças, Paulo; John, Lenin; Ribeiro, Inês; Baptista, António J.; Pinto, Sara M.; Dias, Rui; Henriques, Juan; Estrela, Marco; Pilastri, André; Cunha, FernandoIn recent years, the Twin-Transition reference model has gained notoriety as one of the key options for decarbonizing the economy while adopting more sustainable models leveraged by the Industry 4.0 paradigm. In this regard, one of the most relevant challenges is the integration of data-driven approaches with sustainability assessment approaches, since overcoming this challenge will foster more agile sustainable development. Without disregarding the effort of academics and practitioners in the development of sustainability assessment approaches, the authors consider the need for holistic frameworks that also encourage continuous improvement in sustainable develop- ment. The main objective of this research is to propose a holistic framework that supports companies to assess sustainability performance effectively and more easily, supported by digital capabilities and data-driven concepts, while integrating improvement procedures and methodologies. To achieve this objective, the research is based on the analysis of published approaches, with special emphasis on the data-driven concepts supporting sustainability assessment and Lean Thinking methods. From these results, we identified and extracted the metrics, scopes, boundaries, and kinds of output for decision-making. A new holistic framework is described, and we have included a guide with the steps necessary for its adoption in a given company, thus helping to enhance sustainability while using data availability and data-analytics tools.
- Industrial symbiosis implementation potential: an applied assessment tool for companiesPublication . Azevedo, João; Ferreira, Inês; Dias, Rui; Ascenço, Cristina; Magalhães, Bruno; Henriques, Juan; Iten, Muriel; Cunha, FernandoA successful and broad implementation of industrial symbiosis (IS) initiatives is highly related to stakeholder’s involvement and technical considerations on its process’ development. This paper presents a mixed research study (quantitative and qualitative) focusing on the development of a dedicated tool based on sequential modules’ that support companies in the assessment of their potential to develop and implement IS scenarios. The first module considers the identification and characterization of the economic activity of the company to support an IS contextualization analysis. The second module provides the evaluation of the company’s current state, allowing key intervention areas to be defined. The third module focuses on the assessment of the potential scenarios for synergies implementation based on an economic benefit comparison of different valorization scenarios regarding the available surplus or waste. Complementarily, a SWOT analysis for the identification of the internal strengths and weaknesses, the external opportunities and threats associated with the IS process implementation is presented. The final output compiles qualitative and quantitative results regarding each module. The presented tool is currently under validation at industrial case studies. The preliminary results show the high applicability of the proposed tool in order to support decision making processes on surpluses valorization scenarios selection.
- The influence of the international oil price on the EUR/USD exchange ratePublication . Dias, Rui; Galvão, Rosa; Alexandre, Paulo; Teixeira, Nuno; Palma, Cristina; Leote, FranciscoThe study analyses the influence of the international oil price, focusing on the CBOE Crude Oil Volatility Index and Brent crude oil, on the main exchange rates: EUR/GBP, EUR/USD, GBP/USD, USD/CHF and USD/JPY. The analysis covers the period from 3 January 2022 to 8 December 2024 to examine the relationship between fluctuations in the oil market and the behaviour of exchange rates. The results show that the CBOE index directly impacts the EUR/GBP currency pair, reflecting the influence of global volatility on financial markets. The EUR/USD pair is influenced by the behaviour of the USD/JPY currency pair, showing the interconnection between the major currencies. Brent futures significantly affect the USD/CHF and USD/JPY currency pairs due to the importance of oil as a strategic commodity and the sensitivity of currencies such as the Yen and Swiss franc to fluctuations in energy prices. These relationships show the strong interconnectedness of global markets, highlighting the importance of informed risk management and decision-making strategies in interdependent environments.
- Livro de atas do IV encontro de reflexão e partilha pedagógica em Ciências SociaisPublication . Carvalho, Luísa Margarida Cagica; SARDINHA, BOGUSLAWA MARIA BARSZCZAK; Delgado, Catarina; Nabais, João Lemos; Bogas, Paulo Sérgio Ribeiro de Araújo; Mares, Pedro; Dias, Rui; Nunes, Sandra Cristina Dias; Galvão, Susana C. Brito; Barbosa, Vítor
- Novas oportunidades para os Mercados Municipais: O caso do Mercado do Livramento em Setúbal, PortugalPublication . Xara-Brasil, Duarte; Pardal, Pedro; Carvalho, Luísa Margarida Cagica; Cordeiro, João Pedro Pina; Dias, Rui
- Proceedings of the V International Forum on Management Connected in a Multipolar World: Everything Becomes Smart and DigitalPublication . Carvalho, Luísa Margarida Cagica; Mata, Carlos; Simões, David Alexandre Mendes da Silva; Xara-Brasil, Duarte; Reis, Leonilde; Cordeiro, João Pedro Pina; Nabais, João Lemos; Dias, Rui; Galvão, Susana C. Brito; Barbosa, Vítor
- Proceedings of the V International Forum on Management Connected in a Multipolar World: Everything Becomes Smart and DigitalPublication . Carvalho, Luísa Margarida Cagica; Mata, Carlos; Simões, David Alexandre Mendes da Silva; Xara-Brasil, Duarte; Reis, Leonilde; Cordeiro, João Pedro Pina; Nabais, João Lemos; Dias, Rui; Galvão, Susana C. Brito; Barbosa, Vítor