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Energy markets – Who are the influencers?

2021-09Journal article Open access
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dc.contributor.authorPaulo Ferreira
dc.contributor.authorDora Almeida
dc.contributor.authorAndreia Dionísio
dc.contributor.authorElie Bouri
dc.contributor.authorDerick Quintino
dc.date.accessioned2025-01-14T11:14:27Z
dc.date.available2025-01-14T11:14:27Z
dc.date.issued2021-09
dc.date.updated2025-01-04T14:20:41Z
dc.description.abstractThe energy markets have recently undergone important transformations (e.g. deregulation, technological progress, renewable energy deployment and changing energy consumer behaviour) and witnessed a variety of crisis periods, affecting the relationships among energy commodities and their interactions with clean energy indices. This has implications for price discovery, asset allocation and risk management, which requires in-depth analysis to uncover and identify which energy indices (or forms of energy) lead others or are the most influential, while accounting for asymmetry and non-linearity characteristics. To uncover the complex structure of the relationship across the returns of seven different energy commodities and two clean energy stock indices, we apply Granger causality and transfer entropy in both static and dynamic approaches. The results from the Granger causality analysis identify the influence of the other energy products on natural gas, whereas the transfer entropy analysis reveals the importance of WTI oil and the influence of clean energy indices. Diesel is the most influenced energy commodity. A rolling windows analysis confirms those findings and shows evidence of a time-variation that reflects the impacts of crisis periods, especially the pandemic, on the dynamics of relationshipspt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1016/j.energy.2021.121962pt_PT
dc.identifier.eid2-s2.0-85114243385
dc.identifier.slugcv-prod-2623463
dc.identifier.urihttp://hdl.handle.net/10400.26/53788
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherELSEVIERpt_PT
dc.subjectEnergy marketspt_PT
dc.subjectClean and dirty energy assetspt_PT
dc.subjectGranger causalitypt_PT
dc.subjectTransfer entropypt_PT
dc.subjectInfluencerpt_PT
dc.titleEnergy markets – Who are the influencers?pt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleEnergypt_PT
oaire.citation.volume239pt_PT
rcaap.cv.cienciaid181D-7395-0348 | Dora Maria Fortes de Almeida
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT

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