1,721,031 research outputs found
The contagion effect of artificial intelligence across innovative industries: From blockchain and metaverse to cleantech and beyond
No full textArtificial Intelligence (AI) stands as a transformative force across business, technology, and science, yet its comprehensive impact on innovative industries remains relatively unexplored. This study delves into the interconnectedness between AI and pivotal sectors such as cryptocurrency, blockchain, metaverse, democratized banking, and Cleantech, among others. Employing the conditional autoregressive value-at-risk (CAViaR) and time-varying parameters vector autoregressions (TVP-VAR) methods, we scrutinize daily data spanning from June 1, 2018, to October 11, 2023, encompassing 12 stock indices representing each industry. Our findings unveil a strong contagion effect from AI to other innovative sectors, with the exception of Cleantech, which appears to have decoupled from the AI surge. Notably, democratized banking and the metaverse emerge as key recipients of this contagion. Examination of tail-risk spillovers highlights AI as one of the most influential risk transmitters during market tumult, while cryptocurrency and blockchain consistently function as net risk receivers throughout the sample period. The implications of these findings are multifaceted, offering substantive insights into the risk profiles of these critical innovative sectors. Investors and regulatory bodies stand to benefit significantly from this analysis, as it illuminates potential avenues for portfolio diversification and deepens understanding of contagion mechanisms within these evolving industries.</p
Gender and mutual fund liquidity
Get PDFWe examine whether US mutual funds managed by females have a higher portfolio liquidity than those of their male counterparts. Single female managers’ holdings are 8–25% more liquid than those of single-male-managed funds. When there is a transition from a male to a female manager, fund holdings liquidity increases compared with a male to male transition. The findings are consistent with the risk-averse and conservative decision-making behaviour of female managers. We do not find evidence to support the excessive trading hypothesis that predicts a higher portfolio liquidity for overconfident male fund managers. Our findings add to growing evidence that gender affects professionals’ investment choices.</p
COVID-induced sentiment and the intraday volatility spillovers between energy and other ETFs
No full textDid Covid19 induce market turmoil and impact the intraday volatility spillovers between energy and other ETFs? To examine this, we first estimate the realized volatility of ETFs using the 5-minute high-frequency data. Next, we employ time-varying parameter vector autoregressions (TVP-VAR). Finally, we utilize the wavelet coherence measure to test the time-frequency impact of COVID-induced sentiment on the spillovers by employing investors’ psychological and behavioural factors. We find that oil and stock markets are net transmitters while currency, bonds, and silver markets are net receivers. The wavelet analysis embarked significant impact of media coverage and fake news index towards shaping investors’ pessimism for their investments. We proposed useful implications for policymakers, governments, investors, and portfolio managers
Systemic risk contagion of green and Islamic markets with conventional markets
No full textFinancial markets are exposed to extreme uncertain circumstances escalating their tail risk. Sustainable, religious, and conventional markets represent three different markets with various characteristics. Motivated with this, the current study measures the tail connectedness between sustainable, religious, and conventional investments by employing a neural network quantile regression approach from December 1, 2008 to May 10, 2021. The neural network recognized religious and conventional investments with maximum exposure to tail risk following the crisis periods reflecting strong diversification benefits of sustainable assets. The Systematic Network Risk Index spots Global Financial Crisis, European Debt Crisis, and COVID-19 pandemic as intensive events yielding high tail risk. The Systematic Fragility Index ranks the stock market in the pre-COVID period and Islamic stocks during the COVID sample as the most susceptible markets. Conversely, the Systematic Hazard Index nominates Islamic stocks as the chief risk contributor in the system. Given these, we portray various implications for policymakers, regulatory bodies, investors, financial market participants, and portfolio managers to diversify their risk using sustainable/green investments
Listening to the market: music sentiment and cryptocurrency returns
No full textThis paper investigates how investor sentiment, captured through a novel Spotify-based mood metric, influences the cross-sectional pricing of cryptocurrencies. Drawing on behavioral finance and psychological theories, we hypothesize that emotional states reflected in musical choices influence cryptocurrency returns. Using weekly data from 2,551 cryptocurrencies over five years, we find that sensitivity to music sentiment significantly predicts future returns. Our results reveal a negative relationship between music sentiment beta and near-term returns, with multivariate regressions confirming its explanatory power beyond traditional risk factors. We also uncover nonlinear and time-varying effects, consistent with sentiment-driven mispricing and investor attention cycles. This study offers a global sentiment measure, contributing to the understanding of mood-driven dynamics in speculative markets and informing trading strategies, policy, and research.</p
What abates environmental efficiency in African economies? Exploring the influence of infrastructure, industrialization, and innovation
No full textThe study investigates the impact of infrastructure, industrialization, and innovation in improving environmental efficiency in Africa toward addressing the pressing needs for environmental sustainability in the region. The study employed both Data Envelopment Analysis (DEA) and Driscoll & Kraay methods to data collected for 19 African countries from 2000 to 2019. The results show a negative and significant relationship between infrastructure, industrialization, and innovation and the environmental efficiency in selected countries. Furthermore, our findings indicate that growth and energy demand have both positive and negative effects on these relationships. This paper has important policy implications, and we conclude that policies aiming at the development of both infrastructure and industry should consider the use of green technology to ensure sustainable development and environmental protection
Unravelling systemic risk commonality across cryptocurrency groups
No full textThis study explores the systemic risk within thirty-four diverse cryptocurrencies, analyzing the commonality across different groups. In light of the cryptocurrency market's significant downturn following the FTX collapse in 2022, this research uniquely examines systemic risk commonality. Interestingly, it reveals no distinct risk-reducing traits in sharia-compliant and gold-backed coins, suggesting asset backing does not mitigate inherent cryptocurrency risks. Moreover, a notable common trend in systemic risk among cryptocurrencies is identified, driven by their complementary characteristics. This insight into common systemic risk trends enables investors to make informed hedging decisions across various cryptocurrency groups, providing a safeguard against severe market downturns.</p
Higher moment connectedness in cryptocurrency market
No full textUsing 5-minute data, we capture higher-moment connectedness among three dominant cryptocurrencies. We find a moderate realized-volatility connectedness wherein Bitcoin and Litecoin (Ripple and Binance Coin) emerge as the leading spillover receivers (transmitters). A robust realized-skewness connectedness is found between Bitcoin, Ethereum and Litecoin, while a strong realized-kurtosis connectedness between Bitcoin and Ethereum. Furthermore, a time-varying connectedness analysis exhibits an enhanced higher-moment connectedness in the cryptocurrency market, which peaks during the COVID-19 pandemic. The study carries critical implications for higher-order pricing in the cryptocurrency market.</p
Non-linear relationship between oil and cryptocurrencies: evidence from returns and shocks
No full textThe price instabilities between oil prices and cryptocurrencies have motivated the current study to examine the nonlinear relationship between oil returns/shocks and cryptocurrencies during March 3, 2018 to October 10, 2021. We employed a novel methodology of cross-quantilogram to unveil the nonlinearity and asymmetry between oil shocks and cryptocurrencies. We find that when markets are normal and bullish, there is a positive correlation between oil returns and cryptocurrency returns at first lag; however, there is a negative correlation between oil returns and cryptocurrencies in all market conditions. Moreover, rising fluctuations in oil demand shocks brings significant movement in cryptocurrency returns in bearish market conditions and it is unlikely that oil demand shocks and cryptocurrencies returns move in same directions. Given these results, we proposed useful implications for policymakers, strategists, regulators, financial market participants, and investors to hedge/diversify their risk.</p
Tail-Event driven NETwork dependence in emerging markets
No full textThis paper employs the Tail Event NETwork (TENET) to identify financial markets with greater potential risk, and simultaneously investigate the interdependence between them. We find strong time-varying connectedness across 23 emerging markets during the main crisis episodes, including the most recent COVID-19 pandemic, using data from January 1995 to May 2021. The network analysis revealed that emerging European markets are top risk transmitters, whereas emerging Asian markets are top risk receivers. China showed disconnection from the network, reflecting its diversification potential for investors. Our findings offer several policy and regulatory implications
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