The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset?
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.26/43425 |
Resumo: | The relevance of alternative energy sources has been growing exponentially. Therefore, it becomes timely and relevant to explore the performance and diversification capability of financial instruments related to them, particularly during a market downturn. This dissertation assesses the efficiency of alternative energy equity Exchange-Traded Funds (ETFs) and conventional energy equity ETFs in two different time periods that include the COVID-19 pandemic. For that purpose, we employ an output-oriented slacks-based measure Data Envelopment Analysis (DEA) model combined with cluster analysis to determine the efficiency of 69 ETFs in the period 2018-2020. Our results show that alternative energy ETFs can outperform conventional energy ones in terms of efficiency in the long term; however, during a financial crisis period, the differences between the two types of ETFs attenuate, with neither of them significantly outperforming the other. The factors that most affect the efficiency of both ETF categories are the expense ratio and net asset value. Nevertheless, it is interesting to observe that environmental, social, and governance metrics positively affect much more conventional energy ETFs than alternative energy ones, highlighting the increasing importance of this factor in the performance of financial assets. |
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The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset?ETFsEnergyEfficiencyCovid-19DiversificationCrisisThe relevance of alternative energy sources has been growing exponentially. Therefore, it becomes timely and relevant to explore the performance and diversification capability of financial instruments related to them, particularly during a market downturn. This dissertation assesses the efficiency of alternative energy equity Exchange-Traded Funds (ETFs) and conventional energy equity ETFs in two different time periods that include the COVID-19 pandemic. For that purpose, we employ an output-oriented slacks-based measure Data Envelopment Analysis (DEA) model combined with cluster analysis to determine the efficiency of 69 ETFs in the period 2018-2020. Our results show that alternative energy ETFs can outperform conventional energy ones in terms of efficiency in the long term; however, during a financial crisis period, the differences between the two types of ETFs attenuate, with neither of them significantly outperforming the other. The factors that most affect the efficiency of both ETF categories are the expense ratio and net asset value. Nevertheless, it is interesting to observe that environmental, social, and governance metrics positively affect much more conventional energy ETFs than alternative energy ones, highlighting the increasing importance of this factor in the performance of financial assets.Henriques, Carla Margarida Saraiva de OliveiraNeves, Maria Elisabete DuarteRepositório ComumJorge, João Augusto Martins Rendeiro Couceiro2023-12-13T01:30:34Z20222022-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.26/43425TID:203199286enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-12-14T02:15:23Zoai:comum.rcaap.pt:10400.26/43425Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T16:45:59.757728Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset? |
title |
The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset? |
spellingShingle |
The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset? Jorge, João Augusto Martins Rendeiro Couceiro ETFs Energy Efficiency Covid-19 Diversification Crisis |
title_short |
The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset? |
title_full |
The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset? |
title_fullStr |
The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset? |
title_full_unstemmed |
The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset? |
title_sort |
The efficiency of alternative and conventional energy ETFs: Are clean energy ETFs a safer asset? |
author |
Jorge, João Augusto Martins Rendeiro Couceiro |
author_facet |
Jorge, João Augusto Martins Rendeiro Couceiro |
author_role |
author |
dc.contributor.none.fl_str_mv |
Henriques, Carla Margarida Saraiva de Oliveira Neves, Maria Elisabete Duarte Repositório Comum |
dc.contributor.author.fl_str_mv |
Jorge, João Augusto Martins Rendeiro Couceiro |
dc.subject.por.fl_str_mv |
ETFs Energy Efficiency Covid-19 Diversification Crisis |
topic |
ETFs Energy Efficiency Covid-19 Diversification Crisis |
description |
The relevance of alternative energy sources has been growing exponentially. Therefore, it becomes timely and relevant to explore the performance and diversification capability of financial instruments related to them, particularly during a market downturn. This dissertation assesses the efficiency of alternative energy equity Exchange-Traded Funds (ETFs) and conventional energy equity ETFs in two different time periods that include the COVID-19 pandemic. For that purpose, we employ an output-oriented slacks-based measure Data Envelopment Analysis (DEA) model combined with cluster analysis to determine the efficiency of 69 ETFs in the period 2018-2020. Our results show that alternative energy ETFs can outperform conventional energy ones in terms of efficiency in the long term; however, during a financial crisis period, the differences between the two types of ETFs attenuate, with neither of them significantly outperforming the other. The factors that most affect the efficiency of both ETF categories are the expense ratio and net asset value. Nevertheless, it is interesting to observe that environmental, social, and governance metrics positively affect much more conventional energy ETFs than alternative energy ones, highlighting the increasing importance of this factor in the performance of financial assets. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022 2022-01-01T00:00:00Z 2023-12-13T01:30:34Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.26/43425 TID:203199286 |
url |
http://hdl.handle.net/10400.26/43425 |
identifier_str_mv |
TID:203199286 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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