Browsing by Author "Faheem Aslam"
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- Bitcoin’s multifractal influence: deciphering the relationship with conventional and renewable energy marketsPublication . Ayesha Rasool Malik; Faheem Aslam; Paulo FerreiraThe annual electricity consumption of cryptocurrency mining has witnessed significant growth in recent years, fueled by an increase in market participation and the escalating complexity of the mining process. This has led to carbon emissions that exceed those generated by several developed nations. The growing impact of global warming and rising environmental concerns has brought increased scrutiny to Bitcoin’s energy consumption, particularly its potential to influence prices in unforeseen ways. This study investigates multifractal behavior in the cross-correlation of the Cambridge Bitcoin Electricity Consumption Index (CBECI) with both conventional and renewable energy prices using the Multifractal Detrended Cross-Correlation Analysis (MFDCCA) method. For renewable energy, we considered WilderHill Clean Energy, S&P Global Eco, S&P Global Clean Energy, OMX Solar Energy, and OMX Renewable Energy Index. For conventional energy, we considered the daily prices of WTI crude oil, Brent oil, heating oil, Newcastle coal, and natural gas. The daily price data range from 2 April 2013, to 29 August 2023, encompassing 1709 observations. Additionally, we employed a rolling window analysis to uncover the time-varying dynamics in the cross-correlations and persistence levels between Bitcoin electricity consumption and energy prices. The findings reveal the existence of a cross-correlation between the CBECI and energy markets. Overall, the CBECI exhibits a persistent cross-correlation with both energy markets; however, it is more persistent in the fossil fuel market, specifically in the coal market. These findings suggest the incorporation of dynamic changes in the CBECI in portfolio management for effective risk management strategies.
- 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 between asset classes during extreme eventsPublication . Dora Almeida; Andreia Dionísio; Paulo Ferreira; Faheem Aslam; Derick Quintino
- Islamic vs. Conventional Equity Markets: A Multifractal Cross-Correlation Analysis with Economic Policy UncertaintyPublication . Faheem Aslam; Paulo Ferreira; Haider Ali; Arifa; Márcia Oliveira
- Return connectedness and portfolio implications of green equities: A comparison of green and conventional investment modesPublication . Nasir Nadeem; Imran Abbas Jadoon; Faheem Aslam; Paulo FerreiraThe notable expansion of the green equity market has opened up new avenues for investment for market participants. This study looks at return connectedness, and the implications for portfolio management of green sector equities, and compares the performance of green and traditional investments. To achieve the research objectives, this study uses the TVP-VAR model along with portfolio strategies such as minimum variance portfolio (MVP), minimum correlation portfolio (MCP), and minimum connectedness portfolio (MCoP). Results demonstrate that the energy efficiency sector leads all others in information spillover while the bio/clean fuels sector is the largest net information absorber. Overall, energy efficiency, water, recycling and green building are found to be closely connected sectors, whereas bio/clean fuels, healthy living, natural resources and advanced materials are the least integrated industries in the system. However, a dynamic analysis demonstrates that inter-sector connectedness is time-varying and event-dependent. The MVP approach excels in the full and pre-COVID-19 sample, whilst the MCoP outperforms other methods in the post-COVID-19 scenario. In general, the portfolio exercise shows that green portfolios outperformed commodities but underperformed conventional equity and cryptocurrency portfolios. In contrast, following the COVID-19 pandemic, green portfolios have shown a greater return performance than all other conventional portfolios. The findings not only provide valuable insights to investors and policymakers in the effective management of investments and the green equity market, but also aid the achievement of objectives of environmental policies such as SDGs and the Paris Agreement.
- Temporal changes in global stock markets during COVID-19: an analysis of dynamic networksPublication . Kashif Zaheer; Faheem Aslam; Yasir Tariq Mohmand; Paulo Ferreira
- Time-frequency connectedness and volatility spillovers among green equity sectors: A novel TVP-VAR frequency connectedness approachPublication . Nasir Nadeem; Imran Abbas Jadoon; Faheem Aslam; Paulo FerreiraInvestment in green equity market is growing more specifically after COVID-19 due to rising awareness of climate and environmental issues. Investors and policymakers require updated information about the connectedness and shock spillover pattern among green sectors to manage portfolios effectively. The novel TVP–VAR frequency connectedness approach is applied to daily volatility series of green equity indices to explore the volatility spillover dynamics in the time-frequency domain. The findings demonstrate strong interlinkages among green sectors that have become more pronounced during crisis events, with water, energy efficiency, green building and recycling as the largest transmitters of volatility shocks, being considered as systemically important sectors. In contrast, bio-clean fuels, healthy living, advanced materials and natural resources are primary risk absorber sectors. The dynamic analysis reveals the heterogeneous behavior of sectors during turmoil periods. Additionally, the frequency decomposition analysis reveals that volatility spillover is mainly concentrated in the short run, suggesting diversification opportunities for investors in the long run. Empirical findings help investors and policymakers to manage risk in the green equity market. Understanding how sectors influence market instability is crucial. Policymakers must closely and systematically monitor important sectors to prevent systemic risk, as shocks in these sectors can spread to others.