Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets
This paper investigates the risk spillovers among AI ETFs, AI tokens, and green markets using the R2 decomposition method. We reveal several key insights. First, the overall transmission connectedness index (TCI) closely aligns with the contemporaneous TCI, while the lagged TCI is significantly lower. Second, AI ETFs and clean energy act as risk transmitters, whereas AI tokens and green bond function as risk receivers. Third, AI tokens are difficult to hedge and provide limited hedging ability compared to AI ETFs and green assets. However, multivariate portfolios effectively reduce AI tokens investment risk. Among them, the minimum correlation portfolio outperforms the minimum variance and minimum connectedness portfolios.
Code (0)
등록된 구현이 없습니다.
Similar Papers 제목 키워드 기반
Stochastic Discount Factors with Cross-Asset Spillovers
This paper develops a unified framework that links firm-level predictive signals, cross-asset spillovers, and the stochastic discount factor (SDF). Signals and spillovers are jointly estimated by maximizing the Sharpe ra…
Industry Characteristics and Financial Risk Spillovers
This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. …
Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets
Agricultural products play a critical role in human development. With economic globalization and the financialization of agricultural products continuing to advance, the interconnections between different agricultural fu…
Assessing innovation in the nascent value chains of climate-mitigating technologies
Accelerating climate-tech innovation in the formative stage of the technology life cycle is crucial to meeting climate policy goals. During this period, competing technologies are often undergoing major technical improve…
Making Leveraged Exchange-Traded Funds Work for your Portfolio
We examine strategically incorporating broad stock market leveraged exchange-traded funds (LETFs) into investment portfolios. We demonstrate that easily understandable and implementable strategies can enhance the risk-re…