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Open AccessArticle

An Econophysics Study of the S&P Global Clean Energy Index

by Paulo Ferreira 1,2,3,* and Luís Carlos Loures 1,2
1
VALORIZA—Research Center for Endogenous Resource Valorization, 7300-555 Portalegre, Portugal
2
Instituto Politécnico de Portalegre, 7300-110 Portalegre, Portugal
3
CEFAGE-UE, IIFA, Universidade de Évora, 7000 Évora, Portugal
*
Author to whom correspondence should be addressed.
Sustainability 2020, 12(2), 662; https://doi.org/10.3390/su12020662
Received: 5 November 2019 / Revised: 5 January 2020 / Accepted: 14 January 2020 / Published: 16 January 2020
(This article belongs to the Special Issue Sustainability and Econophysics)
The study of how financial markets behave continues to be interesting. The existence of more and more data and the development of statistical techniques are some reasons for the increase in research in finance. However, the difficulty in understanding some markets’ behavior is a continuous challenge. In this context, a new research area called Econophysics has emerged, which is constantly increasing in size. We propose in this work to use methodologies related to Econophysics to analyze one stock index composed of firms producing clean energy (S&P Global Clean Energy Index) and compare it with the New York Stock Exchange (NYSE) as a stock market benchmark and with the price of crude oil. In a context where environmental issues are on the agenda, this is an important area of research, because it could help investors to make their decisions. Our results show that the clean energy index seems to have higher time serial dependence than the others, and is less exposed to oil price than the NYSE. View Full-Text
Keywords: correlation coefficient; detrended cross-correlation analysis; detrended fluctuation analysis; econophysics; efficiency correlation coefficient; detrended cross-correlation analysis; detrended fluctuation analysis; econophysics; efficiency
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Ferreira, P.; Loures, L.C. An Econophysics Study of the S&P Global Clean Energy Index. Sustainability 2020, 12, 662.

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