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- Are Mobility and COVID-19 Related? A Dynamic Analysis for Portuguese DistrictsPublication . Casa Nova, António; Ferreira, Paulo; Almeida, Dora; Dionísio, Andreia; Quintino, Derick
- From wars to waves: geopolitical risks and environmental investment behaviourPublication . Gabriel, Vítor; Dionísio, Andreia; Almeida, Dora; Ferreira, PauloThis study investigates the impact of geopolitical risk (GPR) on sustainable investments, focusing on five global environmental indices and two global GPR indices. Using Corrected Dynamic Conditional Correlation Generalised Autoregressive Conditional Heteroskedasticity (cDCC-GARCH) model and Diebold and Yilmaz’s spillover analysis, we use daily data from January 2009 to October 2022, covering various market phases, including the European sovereign debt crisis, the COVID-19 pandemic, and the war in Ukraine. Results from the cDCC-GARCH model reveal high dynamic conditional correlations. During periods of high volatility, environmental indices displayed simultaneous and more intense responses, limiting investment diversification alternatives when considering only the environmental side. Diebold and Yilmaz’s static analysis demonstrates that environmental segments are more influenced by systemic shocks than specific causes, with GPR’s influence proving relatively weak. In the dynamic analysis, the spillover effects of GPR in environmental segments intensified during the pandemic crisis and the invasion of Ukraine, affecting market conditions.
- Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA AnalysisPublication . Almeida, Dora; Dionísio, Andreia; Ferreira, Paulo Jorge Silveira; Isabel VieiraExtraordinary events, regardless of their financial or non-financial nature, are a great challenge for financial stability. This study examines the impact of one such occurrence—the COVID19 pandemic—on cryptocurrency markets. A detrended cross-correlation analysis was performed to evaluate how the links between 16 cryptocurrencies were changed by this event. Cross-correlation coefficients that were calculated before and after the onset of the pandemic were compared, and the statistical significance of their variation was assessed. The analysis results show that the markets of the assessed cryptocurrencies became more integrated. There is also evidence to suggest that the pandemic crisis promoted contagion, mainly across short timescales (with a few exceptions of non-contagion across long timescales). We conclude that, in spite of the distinct characteristics of cryptocurrencies, those in our sample offered no protection against the financial turbulence provoked by the COVID-19 pandemic, and thus, our study provided yet another example of ‘correlations breakdown’ in times of crisis.
- A Three-Level Decision Support Approach Based on Multi-objective Simulation-Optimization and DEA: A Supply Chain ApplicationPublication . Luís Pedro Gomes; António Vieira; Rui Fragoso; Almeida, Dora; Luís Coelho; José Maia NevesDecision-making in multi-objective problems is a complex problem with several approaches existing in the literature. Many such approaches typically combine simulation and optimization methods to achieve a robust tool capable of providing useful information to decision-makers. While simulation helps decision-makers to test alternative scenarios and allows uncertainty to be considered, optimization enables them to find the best alternatives for specific conditions. This paper proposes an alternative approach consisting of three levels, wherein we use simulation to model complex scenarios, simulation-optimization to identify the scenarios of the Pareto-front, and Data Envelopment Analysis to identify the most efficient solutions, including those not belonging to the Pareto-front, thereby exploiting the benefits of efficiency analysis and simulation-optimization. This can be useful when decisionmakers decide to consider scenarios that, while not optimum, are efficient for their decision-making profile. To test our approach, we applied it to a supply chain design problem. Our results show how our approach can be used to analyze a given system from three different perspectives and that some of the solutions, while not optimum, are efficient. In traditional approaches, such scenarios could be overlooked, despite their efficiency for specific decision-making profiles.
- When two banks fall, how do markets react?Publication . Almeida, Dora; Dionísio, Andreia; Ferreira, Paulo Jorge SilveiraThe most recent fall of the Silicon Valley (SVB) and Credit Suisse (CS) banks increased the fear of a worldwide banking crisis. We analyse the impacts of their fall on five financial indices. We apply detrended fluctuation analysis, static and with sliding windows. We find a higher impact of the SVB fall on the efficiency dynamic of the studied indices, which revealed fluctuating efficiency and a loss of efficiency during the period of the falls. The fall of both banks contributed to some persistence in stock indices returns. The Nasdaq and STOXX Europe 600 Banks are the most and the least efficient indices, respectively. Despite the apparent evidence of inefficiency, it might not necessarily mean a capacity for abnormal profits.
- The use of transfer entropy to analyse the comovements of European Union stock markets: a dynamical analysis in times of crisesPublication . Ferreira, Paulo; Almeida, Dora; Dionísio, Andreia; Quintino, Derick; Aslam, FaheemUnderstanding the linkages among stock markets holds great importance for investors, policymakers and portfolio managers. When considering the integration of international stock markets and given they are complex systems, it is important to understand how they are related and how they influéncé each other. Studying data from 25 European Union stock market indices, this piece of research aims to evaluate the dynamics of influéncé among them. In terms of method, a non-linear approach has been applied, based on transfer entropy with static and dynamic analysis. As the main finding, a strongly influéntial relationship between some indices should be highlighted. The static analysis allows us to infer that central and western European Union countries are the main influéncérs, while the dynamic analysis leads us to the conclusion that the relationships between the stock markets have changed over time, revealing their dynamism. The results obtained have several implications. For instance, for investors and portfolio managers, the information about comovements is relevant for divérsification purposes and for their decisions on where to make their investments, build portfolio strategies and manage risks; however, for policymakers, the constant monitoring of stock markets may detect increases in the connection between markets, which could be understood as signs of instability.
- Uncertainty and Risk in the Cryptocurrency MarketPublication . Almeida, Dora; Dionísio, Andreia; Vieira, Isabel; Ferreira, PauloCryptocurrency investments are often perceived as uncertain and risky. In this study, we assessed if this is indeed the case, using a sample of seven cryptocurrencies and considered a period that encompassed the first real global shock in the life of these relatively new financial assets, the COVID-19 pandemic. Uncertainty was evaluated using Shannon’s symbolic entropy. To measure risk, we use value-at-risk and conditional value-at-risk. The results indicate that, except for Tether, the analyzed cryptocurrencies’ returns exhibited similar patterns of uncertainty and risk. Levels of uncertainty were close to the maximum values, but high uncertainty is not always associated with high risk. During the pandemic crisis, uncertainty increased while risk decreased, suggesting that the considered assets may have safe haven properties.