Autor(es): Almeida, Dora ; Ferreira, Paulo ; Dionísio, Andreia ; Aslam, Faheem
Data: 2025
Identificador Persistente: http://hdl.handle.net/10174/38944
Origem: Repositório Científico da Universidade de Évora
Assunto(s): Energy markets; Geopolitical risk index; Detrended fluctuation analysis; Informational efficiency; Transfer entropy; Sliding windows
This study delves into the complexities of energy commodity futures and clean energy indexes, analyzing their responses to geopolitical risk. The detrended fluctuation analysis was applied, and the efficiency index was estimated to assess energy market behavior better. This approach allows the evaluation of long-range dependence and market efficiency. The findings show evolving patterns influenced by significant geopolitical events such as the COVID-19 pandemic and geopolitical conflicts. Transfer entropy analysis also uncovers directional dependence between energy markets and geopolitical risk, highlighting energy commodities' influential (or anticipated) role on geopolitical indexes. The dynamic analysis emphasizes time-varying relationships, with fluctuations notably impacted by global events like the European sovereign debt crisis and escalating geopolitical tensions. Additionally, clean energy indexes exhibit sensitivity to geopolitical risk, offering valuable insights into market behavior and informing risk management strategies. The study highlights the complex and dynamic relationships between energy markets and geopolitical factors and provides useful information for investors and policymakers on energy markets.
Dora Almeida, Andreia Dionísio and Paulo Ferreira acknowledge the financial support of Fundação para a Ciência e a Tecnologia (grant UIDB/04007/2020). Dora Almeida, Paulo Ferreira and Faheem Aslam also acknowledge financial support from Fundação para a Ciência e a Tecnologia (grant UIDB/05064/2020).
