Center for Advanced Studies in Management and Economics

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Publications

From wars to waves: geopolitical risks and environmental investment behaviour

Publication . Gabriel, Vítor; Dionísio, Andreia; Almeida, Dora; Ferreira, Paulo

This 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.

2024-03-05Journal article

Open access

When two banks fall, how do markets react?

Publication . Almeida, Dora; Dionísio, Andreia; Ferreira, Paulo Jorge Silveira

The 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.

2023-12-15Journal article

Open access

A Three-Level Decision Support Approach Based on Multi-objective Simulation-Optimization and DEA: A Supply Chain Application

Publication . Luís Pedro Gomes; António Vieira; Rui Fragoso; Almeida, Dora; Luís Coelho; José Maia Neves

Decision-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.

2023Book part

Open access

Impact of the COVID-19 Pandemic on Cryptocurrency Markets: A DCCA Analysis

Publication . Almeida, Dora; Dionísio, Andreia; Ferreira, Paulo Jorge Silveira; Isabel Vieira

Extraordinary 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.

2023-05-24Journal article

Open access

Consumer, retailer, and producer green orientation as a marketing driver: an empirical study in an urban food market

Publication . Xara-Brasil, Duarte; Cordeiro, João Pedro Pina; Carvalho, Luísa Margarida Cagica; Pardal, Pedro; Silveira, Paulo Duarte

This article analyzes consumer, local producer, and retailer green orientation regarding local food production and consumption in an urban food market context. This approach extends previous research, mainly focused on green orientation of consumers, by including a broader analysis of the perceptions of different relevant stakeholders. For this purpose, an empirical study was carried out in the context of a local urban market of a medium-sized city through the application of a survey to producers, retailers, and consumers, which included a green orientation scale. Results showed that local consumers and local retailers have a similar high level of green orientation, while local producers are less green-oriented. These conclusions highlight the importance of the green “values” in local communities and the need to reinforce marketing efforts and specific training programs to different stakeholders, namely local producers focused on sustainability.

2023-02Journal article

Open access