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Clean Energy Action Index Efficiency: An Analysis in Global Uncertainty Contexts

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  • Rui Dias

    (ESCE, Instituto Politécnico de Setúbal, 2910-761 Setúbal, Portugal)

  • Nicole Horta

    (ESCE, Instituto Politécnico de Setúbal, 2910-761 Setúbal, Portugal)

  • Mariana Chambino

    (ESCE, Instituto Politécnico de Setúbal, 2910-761 Setúbal, Portugal)

Abstract

Climate change, the scarcity of fossil fuels, advances in clean energy, and volatility of crude oil prices have led to the recognition of clean energy as a viable alternative to dirty energy. This paper investigates the multifractal scaling behavior and efficiency of green finance markets, as well as traditional markets such as gold, crude oil, and natural gas between 1 January 2018, and 9 March 2023. To test the serial dependency (autocorrelation) and the efficient market hypothesis, in its weak form, we employed the Lo and Mackinlay test and the DFA method. The empirical findings showed that returns data series exhibit signs of (in)efficiency. Additionally, there is a negative autocorrelation among the crude oil market, the Clean Energy Fuels Index, the Global Clean Energy Index, the gold market, and the natural gas market. Arbitration strategies can be used to obtain abnormal returns, but caution should be exercised as prices may increase above their actual market value and reduce the profitability of trading. This work contributes to the body of knowledge on sustainable finance by teaching investors how to use predictive strategies on the future values of their investments.

Suggested Citation

  • Rui Dias & Nicole Horta & Mariana Chambino, 2023. "Clean Energy Action Index Efficiency: An Analysis in Global Uncertainty Contexts," Energies, MDPI, vol. 16(9), pages 1-18, May.
    • Handle: RePEc:gam:jeners:v:16:y:2023:i:9:p:3937-:d:1140829
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    Cited by:

    1. Rosa Galvão & Rui Dias, 2024. "Asymmetric Efficiency: Contrasting Sustainable Energy Indices with Dirty Cryptocurrencies," Financial Economics Letters, Anser Press, vol. 3(1), pages 28-39, January.
    2. Rui Dias & Nuno Teixeira & Paulo Alexandre & Mariana Chambino, 2023. "Exploring the Connection between Clean and Dirty Energy: Implications for the Transition to a Carbon-Resilient Economy," Energies, MDPI, vol. 16(13), pages 1-21, June.
    3. Rui Manuel Dias & Mariana Chambino & Nuno Teixeira & Paulo Alexandre & Paula Heliodoro, 2023. "Balancing Portfolios with Metals: A Safe Haven for Green Energy Investors?," Energies, MDPI, vol. 16(20), pages 1-21, October.

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