Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2025
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866913882326433792 |
|---|---|
| author | Shao, Ying-Hui Yang, Yan-Hong Zhou, Han-Xian Zhou, Wei-Xing |
| author_facet | Shao, Ying-Hui Yang, Yan-Hong Zhou, Han-Xian Zhou, Wei-Xing |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2503_01148 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets Shao, Ying-Hui Yang, Yan-Hong Zhou, Han-Xian Zhou, Wei-Xing Risk Management Artificial Intelligence 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. |
| title | Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets |
| topic | Risk Management Artificial Intelligence |
| url | https://arxiv.org/abs/2503.01148 |