Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets
It addresses risk management for investors in AI and green financial assets, but is incremental in applying existing methods to these markets.
This paper investigated risk spillovers between AI ETFs, AI tokens, and green markets, finding that AI ETFs and clean energy transmit risk while AI tokens and green bonds receive it, with multivariate portfolios reducing AI token investment risk and the minimum correlation portfolio performing best.
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.