Browsing by Author "Dias, Rui"
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- Analysing Comovements Between Dirty and Green Energies: An Econometric ApproachPublication . João, Esperança; Dias, Rui; Galvão, Rosa; Alexandre, Paulo; Teixeira, Nuno; Gonçalves, SidalinaThis study analyses the movement patterns between clean energy indices and oil benchmarks such as Brent and WTI from 7 January 2022 to 8 November 2024, intending to verify whether clean energy indices can serve as effective risk diversification instruments. The research focuses on the Nasdaq Clean Edge Green Energy (CELS), S&P Global Clean Energy (SPGTCLEN), Clean Energy Fuels (CLNE) indices and the Invesco Wilderhill Clean Energy (PBW) ETF. The results show that Brent influences the prices of the CELS, CLNE and PBW indices but is unaffected by SPGTCLEN or WTI. WTI has a broad influence, influencing all the other indices. CELS only affects WTI and CLNE, while SPGTCLEN influences CELS and CLNE without influencing the oil markets. CLNE affects CELS, SPGTCLEN and PBW but not Brent or WTI. PBW influences WTI and CLNE but does not affect the other markets. WTI is a key indicator that affects all the other indices, while Brent is the most independent. This indicates that investors can reduce their exposure to oil risk by investing in clean energy indices such as CELS and CLNE, which have limited influences on each other. In conclusion, this study has contributed to understanding the dynamics of movement between clean energy indices and oil benchmarks over the period analysed, offering relevant implications for risk management and portfolio diversification.
- Are Precious Metals Hedging Assets for Clean Energy Indices?Publication . Amândio, Helena; Dias, Rui; Galvão, Rosa; Alexandre, Paulo; Gonçalves, Sidalina; Leote, FranciscoThis study aims to analyse whether precious metals can be hedged assets concerning green energy indices from 8 January 2019 to 6 December 2024. About precious metals, the futures market was analysed: copper (HGH5) and silver (SIH5), the gold spot market (XAU) was also included to provide robustness, and the green indices are S&P Global Clean Energy (SPGTCLEN), NASDAQ Clean Edge Green Energy (CELS), and the iShares Global Clean Energy ETF (ICLN). The sample was divided into four sub periods: 8 January 2019 to 31 December 2019, referred to as Pre-Covid-19; the second sub-period, referred to as the first Covid-19 Wave, comprises the period from 2 January 2020 to 31 December 2020; the second Covid-19 Wave includes the years from 2 January 2021 to 23 February 2022; Finally, the last sub-period, called Conflict, covers the years from 24 February 2022 to 6 December 2024. The green indices (CELS, ICLN, SPGTCLEN) showed extremely high correlations with each other in all periods, reducing the effectiveness of diversification in the sector. Gold remained a consistent, safe haven asset, with negative or very low correlations with the green indices, especially during global crises. Silver evolved from moderate to negative correlations with the green indices, reinforcing its usefulness as a hedging asset. Copper, initially positively correlated with green indices, has exhibited negative correlations recently, making it a strategic asset in portfolios with green energy assets. It was also found that only copper (HGH5) was contagious during the first wave of COVID-19, which validates the evidence found earlier through unconditional correlations. In conclusion, these results highlight that gold and silver effectively protect against market shocks, while copper can be used as a diversifying asset in green energy portfolios, thus requiring differentiated strategies to maximise diversification benefits.
- Big Data as an emerging paradigm in organisations' management: a bibliometric analysisPublication . Gonçalves, Sidalina; Ventura, José Biléu; Rua, Orlando Lima; Dias, Rui; Galvão, RosaThe Big Data Age defines the present era, and the globalisation of business makes it pressing to derive valuable insights from data so that organisations can make sustained decisions. There is no consensus in the literature on how organisations should guide the vast volume of data in value creation or galvanise performance gains. The study aims to address these gaps by reviewing the literature searching WoS using R. Bibliometrix. 4,019 documents were identified between 2008 and early February 2022 through a current mapping of Big Data in management. The results indicate a strong collaboration network among authors and a notable trend in Big Data, Big Data Analytics, Machine Learning, and Artificial Intelligence. These keywords reveal a concern for the predictive analysis of data and the emergence of new research trends, namely management, performance, decision-making, business and value creation, supporting the thesis that Big Data is an emerging paradigm in organisational management.
- Can renewable energy be a driving factor for economic stability? an inDepth study of sector expansion and economic dynamicsPublication . Agrawal, Manali; Irfan, Mohammad; Dias, Rui; Galvão, Rosa; Leote, Francisco; Gonçalves, SidalinaIndia has emerged as one of the world's most appealing locations for renewable energy development. It has set lofty renewable energy goals to reach 450 gigawatts (GW) capacity by 2030. These aims indicate India's determination to move to greener and more sustainable energy sources. India has been investing in R&D to promote technological innovation in renewable energy. This includes improvements to solar photovoltaic technology, wind energy, energy storage technologies, and smart grid systems. Innovation is critical for improving efficiency, lowering prices, and increasing the reliability of renewable energy sources. This paper aims to analyse the linkages between economic growth and renewable energy usage in India. For this, the Granger Causality technique is adopted, and it is found that no short-run causality exists among the economic growth and RE installed capacity. However, Industrial Production Granger Causes both GDP and Renewable Energy Capacity. When the stock price data of the last five years of top renewable energy companies was also collected, it was found that all the companies are showing an upward trend. While renewable energy is growing rapidly, especially solar and wind power, it is insufficient to meet the bulk of India's energy demands. Renewables contribute to reducing carbon emissions and diversifying the energy mix, but they still account for a smaller percentage compared to thermal power.
- Complex and multifaceted nature of cryptocurrency markets: a study to understand its time-varying volatility dynamicsPublication . Agrawal, Manali; Dias, Rui; Irfan, Mohammad; Galvão, Rosa; Gonçalves, SidalinaDecentralised Finance (DeFi) provides a new way to perform complex financial transactions by exploiting blockchain's ability to maintain a decentralised ledger of transactions without being constrained by centralised systems or human intermediaries. DeFi provides alternative financial instruments that might lessen portfolio risk, especially given the erratic state of the financial markets today. This study analyses the association between the year of the coin in which it was introduced and the market capitalisation of the respective companies. Furthermore, the study also tries to understand the volatility associated with cryptocurrencies using EGARCH & GJRGARCH models. The results reveal that market capitalisation is not similar for all three stages of the age of cryptocurrency. Also, negative news tends to impact Bitcoin more than positive news, and the volatility is persistent and long-lasting. Ethereum, BNB & Solana see more volatility from absolute past shocks; however, Tether exhibits low but persistent volatility as a stablecoin
- 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.
- Determinants of auditor choice: evidence from Sharia Commercial Banks in IndonesiaPublication . Filianti, Dian; Dias, Rui; Rusmita, Sylva Alif; Irfan, Mohammad; Putri, Athifa Hafizha; Galvão, RosaThis research aims to determine the impact of corporate governance, firm complexity, foreign ownership, and ownership concentration towards auditor choice for Sharia commercial banks in Indonesia in 2016-2023. Firm size is also accounted for as a control variable. This research was conducted using a quantitative approach using the logit logistic regression analysis method through the Eviews 13 software. The sampling method was carried out using a purposive sampling method, which produced a sample of 9 Sharia commercial banks in Indonesia with a total of 72 observations. This study aims to provide an overview of the factors that Sharia commercial banks in Indonesia consider in choosing their external auditors, namely between Big 4 and non-Big Four auditors, which differ from other companies and industries. The results show that in partial analysis, corporate governance mechanisms and ownership concentration significantly and negatively affect auditor choice. Meanwhile, firm complexity and foreign ownership do not affect auditor choice. Low demands cause the negative influence of ownership concentration due to the private nature of the banks and efforts to achieve efficiency in audit fees while maintaining the same quality standards.
- 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.
- Does Haryana's SHG participation help the quality of life of Dalit women? an approach based on composite index and treatment effectPublication . Kumari, Lalita; Dias, Rui; Irfan, Mohammad; Manglani, Hemlata; Galvão, Rosa; Varela, MiguelThis study aimed to assess the impact of Self Help Groups and their specific interventions, such as vocational training programmes and the use of loans in productive means, on the empowerment of Dalit women of Haryana. A selected control group from OBCs was studied, and it was shown how the livelihood interventions of Self Help Groups bridged the gap between SC (Dalit) and OBC women beneficiaries. The study selected four districts from Haryana with an equitable distribution of SC and OBC women beneficiaries and 360 respondents with equal distribution of SC and OBC women beneficiaries from Haryana and used a Likert scale data for the analysis. Principal component analysis (PCA) and treatment effects were carried out using the propensity score matching method (PSM), the composite index for women's economic empowerment was inferred, and important empowerment factors were identified in Haryana. Results compared and contrasted the implications for different social groups and districts selected for the study and concluded that Self Help Group interventions significantly affected the women empowerment of both social groups and uplifted the Dalit women beneficiaries to the level of OBC women in Haryana. A large number of training programmes are to be conducted to promote more small businesses and micro-enterprises.
- Efficiency of traditional and green cryptocurrencies: A comparative analysisPublication . Dias, Rui; Galvão, Rosa; Filho, Aloísio Machado da Silva; Teixeira, Nuno; Alexandre, Paulo; Gonçalves, SidalinaThe main objective of this research is to evaluate the efficiency, in its weak form, of digital currencies classified as "dirty", such as Bitcoin (BTC) and Ethereum (ETH), and the green ones, namely Lisk (LISK), Metaverse (METAVERSE), Quantum (QTUM), Litecoin (LTC), Augur (REP), Cardano (ADA), Dash (DASH), EOS (EOS), Quantum (QTUM), Litecoin (LTC), Ripple (XRP), Augur (REP), Cardano (ADA), Dash (DASH), EOS (EOS), IOTA (IOTA), Monero (XMR), Neo (NEO), Omisego (OMG), Stellar (XLM) and Zcash (ZEC), for the period from 1 January 2018 to 23 November 2023. The results show that Bitcoin (BTC), Metaverse, Litecoin (LTC) and Cardano (ADA) have persistent behaviour with a long memory, which favours long-term strategies. Long memories indicate that markets are less efficient, where trends tend to continue, making long-term strategies more effective. On the other hand, cryptocurrencies such as Lisk, Quantum, Ethereum (ETH), Ripple (XRP), Augur, Dash, EOS, IOTA, Monero, Neo, Omisego, Stellar and Zcash show antipersistent behaviour, with rapid correction of deviations, suggesting more efficient markets, but with less predictability. This favours short-term strategies such as arbitrage and scalping. The analysis reveals that cryptocurrencies with long memory, such as BTC, LTC and ADA, are more predictable in the long term, while most others, such as ETH and XRP, are more suitable for short-term trading, reflecting structural differences in the market.