Browsing by Author "Palma, Cristina"
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- 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.
- 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.
- 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.