Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks

【Author】 Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; Lee, Chi-Chuan; Ntow-Gyamfi, Matthew

【Source】INTERNATIONAL REVIEW OF FINANCE

【影响因子】2.175

【Abstract】This research explores the distributional and directional predictabilities among Fintech, Bitcoin, and artificial intelligence stocks from March 2018 to January 2021 using nonparametric causality-in-quantile and crossquantilogram approaches. We also examine connectedness across the assets using a quantile VAR approach. The results indicate the existence of bidirectional causality-in-variance between the variables in a normal market. We also find that directional predictability among the assets is oscillatory over time lags. Finally, we observe a strong price connectedness for highly positive and negative changes. These results further document the diversification potential and safe-haven properties of technology-related assets for portfolio investors.

【Keywords】artificial intelligence; Bitcoin; Fintech; predictability; quantile causality

【发表时间】

【收录时间】2022-11-01

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析