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Publication
Impacto dos eventos globais na formação de preços dos metais preciosos e índices de energia limpa: uma análise dos períodos de 2018 a 2023
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Abstract(s)
Esta investigação tem como objetivo examinar o comportamento da formação dos
preços dos metais preciosos (Ouro, Prata e Platina) e dos índices ecológicos (Clean Energy
Fuels, NASDAQ Clean Edge Green Energy, S&P Global Clean Energy, WilderHill Clean
Energy) nos diferentes períodos económicos de 1 de janeiro de 2018 a 23 de novembro de
2023. O estudo procura responder as questões: i) "Os eventos ocorridos em 2020 e 2022
tiveram impacto nos preços dos índices de energia verde?” ii) Se sim, “os metais preciosos
(Ouro, Prata e Platina) podem ser usados como estratégias de cobertura financeira para gerir
riscos no mercado de energias verdes durante a pandemia da COVID-19 e a crise
geopolítica?” Para o efeito, foi estimado o modelo VAR Granger Causality/Block Exogeneity
Wald com o propósito de identificar diferentes padrões de influência em cada período. De
forma adicional, foi aplicado o modelo de Detrended Fluctuation Analysis (DFA) para obter
uma visão mais precisa das correlações entre as variáveis analisadas. Os resultados mostram
que, no período de estabilidade, o Ouro e os índices de energia verde a apresentar eficiência
de mercado. No entanto, a pandemia global causou (in) eficiências nos mercados analisados,
tanto os metais preciosos quanto os índices de ecológicos exibiram persistência nas
rentabilidades. No período Pré-Conflito, a rejeição da hipótese de Random Walk foi observada
em todos os mercados, com os metais preciosos a exibir antipersistência, enquanto os índices
de energia verde demonstraram persistência significativa, e posteriormente, ambos os
mercados convergiram para persistência nas rentabilidades, com exceção da Platina, que
mostrou antipersistência. Para concluir, os resultados indicaram variações nas interações
entre os ativos ao longo dos diferentes contextos económicos, evidenciando a importância de
compreender essas dinâmicas para uma tomada de decisão mais informada.
This investigation aims to examine the behavior of the price formation behavior of precious metals (Gold, Silver, and Platinum) and ecological indexes (Clean Energy Fuels, NASDAQ Clean Edge Green Energy, S&P Global Clean Energy, WilderHill Clean Energy) during different economic periods from January 1st, 2018, to November 23rd, 2023. The study seeks to answer the questions: i) "Did the events that occurred in 2020 and 2022 had impact on the prices of clean energy indexes?" ii) If yes, "can precious metals (Gold, Silver, and Platinum) be used as financial hedging strategies to manage risks in the clean energy market during the COVID-19 pandemic and the geopolitical crisis?" For this purpose, the VAR Granger Causality/Test Wald model was estimated to identify different influence patterns in each period. Additionally, the Detrended Fluctuation Analysis (DFA) model was applied to obtain a more accurate view of the correlations between the analyzed variables. The results showed that during the stability period, Gold and green energy indexes exhibit market efficiency. However, the global pandemic caused (in)efficiencies in the analyzed markets, with precious metals and ecological indices exhibiting persistence in returns. In the Pre-Conflict period, the rejection of the Random Walk hypothesis was observed in all markets. The precious metals exhibited anti persistence, while clean energy indices demonstrated significant persistence. Subsequently, both markets converged to return persistence, except for Platinum, which showed anti persistence. In conclusion, the results pointed out variations in the interactions between assets across different economic contexts, highlighting the importance of understanding these dynamics for a more informed decision-making.
This investigation aims to examine the behavior of the price formation behavior of precious metals (Gold, Silver, and Platinum) and ecological indexes (Clean Energy Fuels, NASDAQ Clean Edge Green Energy, S&P Global Clean Energy, WilderHill Clean Energy) during different economic periods from January 1st, 2018, to November 23rd, 2023. The study seeks to answer the questions: i) "Did the events that occurred in 2020 and 2022 had impact on the prices of clean energy indexes?" ii) If yes, "can precious metals (Gold, Silver, and Platinum) be used as financial hedging strategies to manage risks in the clean energy market during the COVID-19 pandemic and the geopolitical crisis?" For this purpose, the VAR Granger Causality/Test Wald model was estimated to identify different influence patterns in each period. Additionally, the Detrended Fluctuation Analysis (DFA) model was applied to obtain a more accurate view of the correlations between the analyzed variables. The results showed that during the stability period, Gold and green energy indexes exhibit market efficiency. However, the global pandemic caused (in)efficiencies in the analyzed markets, with precious metals and ecological indices exhibiting persistence in returns. In the Pre-Conflict period, the rejection of the Random Walk hypothesis was observed in all markets. The precious metals exhibited anti persistence, while clean energy indices demonstrated significant persistence. Subsequently, both markets converged to return persistence, except for Platinum, which showed anti persistence. In conclusion, the results pointed out variations in the interactions between assets across different economic contexts, highlighting the importance of understanding these dynamics for a more informed decision-making.
Description
Keywords
Eventos de 2020 e 2022 Metais preciosos Energias verdes Integração financeira Events of 2020 and 2022 Precious metals Clean energy Financial integration