| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.37 MB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
Nos últimos anos, o aumento da procura por energia combinado com o desenvolvimento
tecnológico e surgimento de tecnologias orientadas para a produção e armazenamento de
energias renováveis, as preocupações com os efeitos das alterações climáticas e a
implementação de políticas ambientais mais rigorosas, levou a que as relações entre o
mercado de energias fósseis e o mercado de energias renováveis se tornassem o alvo de
estudo por parte de académicos e que o mercado de energias renováveis se tornasse objeto
de operações de investimentos por parte de entidades públicas e de investidores
institucionais. É crescente a literatura que estuda o efeito que as variações no preço do
petróleo, até então uma poderosa fonte de geração de energia, têm no mercado das energias
renováveis, nomeadamente no preço das ações de empresas que atuam neste sector. Apesar
dos múltiplos estudos, não há na literatura um consenso sobre a direção deste efeito e quais
os fatores que ajudam a explicar estas relações.
Este estudo tem dois objetivos principais. Primeiro, procura mostrar as principais
evidências e conclusões sugeridas na literatura recente sobre as relações entre o preço do
petróleo e os mercados de energias renováveis. Segundo, busca realizar uma análise
empírica sobre as interações entre o preço do petróleo e o preço das ações de empresas que
operam nos sectores das energias solar e eólica, nos últimos 10 anos, identificando os
principais fatores que ajudam a explicar este fenómeno.
Utilizando o modelo de avaliação de ativos de Fama-French (1992) de 3 fatores de risco e o
modelo de Vetores Autoregressivos (VAR), os resultados sugerem que, ao longo da última
década, as variações do preço do petróleo não se mostraram estatisticamente significativas
na explicação do preço das empresas do sector de energias renováveis. Os resultados do
modelo de Fama-French de 3 fatores de risco, acrescido do fator de variação de preços do
petróleo, sugerem que variações nos preços do petróleo exercem efeitos contemporâneos
positivos e significativos apenas nas empresas de energia eólica; que variações positivas do
petróleo no período anterior exercem efeitos positivos e significativos nos preços correntes
das empresas de energia eólica e nas tecnológicas e que variações positivas no petróleo
exercem efeitos significativos e positivos apenas nas empresas eólicas; porém, variações
negativas no petróleo não tendem a exercer efeitos estatisticamente significativos nas
empresas dos três sectores.
Os resultados do VAR sugerem que as variações do preço do petróleo aparentam estar mais
fortemente relacionadas e a ter maior conteúdo informacional e capacidade preditiva da
evolução do preço das empresas do sector tecnológico. Os resultados sugerem ainda que as conclusões sobre os efeitos causados pela volatilidade dos preços do petróleo dependem das
premissas adotadas ao decorrer do estudo, como seja a frequência das séries temporais
analisadas, a localização geográfica dos mercados, a agregação de índices e o período
histórico em que as observações são feitas.
During the recent years, the increasing demand for energy combined with technological development, the emerging technologies oriented towards renewables production and storage, the concerns about the effects of climate change and the implementation of stricter environmental policies, has made the relationship between the fossil energy market and the renewable energy market the target of studies and brought the renewable energy market as object of investments made by public entities and institutional investors. There is a growing literature regarding the effect that oil prices variations have on the renewable energies stock market. Despite the diverse literature and all the previous findings, there is no consensus among them about the direction of this effect and what factors help to explain these relationships. This work has two main goals. First, it seeks to show the main evidence and conclusions suggested in recent literature regarding the relationship between oil prices and renewable stock markets. Second, it seeks to carry out an empirical analysis of the interactions between the oil prices and the share price of companies operating in the solar and wind energy sectors, over the last 10 years, identifying the main factors that help explain this phenomenon. Using the Fama-French (1992) asset valuation model of 3 factors and the Vector Autoregressive (VAR) model, the results suggest that, over the last decade, oil price variations have not been shown to be statistically significant in explaining the renewable stock prices. The results of the Fama-French 3 factor model, plus the oil price variation factor, suggest that variations in oil prices exert positive and significant contemporary effects only on wind energy companies; that positive changes in oil in the previous period have positive and significant effects on current prices of wind energy and technology companies and that positive changes in oil have significant and positive effects only on wind companies; however, negative variations in oil do not tend to exert statistically significant effects on companies in these three sectors. The VAR results suggest that oil price variations appear to be more strongly related and to have greater informational content and predictive capacity of the evolution of the price of companies in the technology sector. The results also suggest that the conclusions about the effects caused by the volatility of oil prices depend on the assumptions adopted during the study, such as the frequency of the analyzed time series, the geographic location of the markets, the aggregation of indices and the historical period in that observations are made.
During the recent years, the increasing demand for energy combined with technological development, the emerging technologies oriented towards renewables production and storage, the concerns about the effects of climate change and the implementation of stricter environmental policies, has made the relationship between the fossil energy market and the renewable energy market the target of studies and brought the renewable energy market as object of investments made by public entities and institutional investors. There is a growing literature regarding the effect that oil prices variations have on the renewable energies stock market. Despite the diverse literature and all the previous findings, there is no consensus among them about the direction of this effect and what factors help to explain these relationships. This work has two main goals. First, it seeks to show the main evidence and conclusions suggested in recent literature regarding the relationship between oil prices and renewable stock markets. Second, it seeks to carry out an empirical analysis of the interactions between the oil prices and the share price of companies operating in the solar and wind energy sectors, over the last 10 years, identifying the main factors that help explain this phenomenon. Using the Fama-French (1992) asset valuation model of 3 factors and the Vector Autoregressive (VAR) model, the results suggest that, over the last decade, oil price variations have not been shown to be statistically significant in explaining the renewable stock prices. The results of the Fama-French 3 factor model, plus the oil price variation factor, suggest that variations in oil prices exert positive and significant contemporary effects only on wind energy companies; that positive changes in oil in the previous period have positive and significant effects on current prices of wind energy and technology companies and that positive changes in oil have significant and positive effects only on wind companies; however, negative variations in oil do not tend to exert statistically significant effects on companies in these three sectors. The VAR results suggest that oil price variations appear to be more strongly related and to have greater informational content and predictive capacity of the evolution of the price of companies in the technology sector. The results also suggest that the conclusions about the effects caused by the volatility of oil prices depend on the assumptions adopted during the study, such as the frequency of the analyzed time series, the geographic location of the markets, the aggregation of indices and the historical period in that observations are made.
Description
Keywords
Índices Financeiros Mercados Acionistas Mercados de Energias Renováveis Modelo de Fama-French de 3 Fatores de Risco Preços do Petróleo Vetores Autoregressivos