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Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution
The study in the age of the 4th industrial revolution examines the time and frequency domain connectedness and spill-over among Fintech, green bonds, and cryptocurrencies. Using daily data from November 2018 to June 2020, we use both DY (Diebold & Yilmaz, 2012) and BK (Baruník et al., 2017) to e...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Inc.
2021
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7566767/ https://www.ncbi.nlm.nih.gov/pubmed/33100414 http://dx.doi.org/10.1016/j.techfore.2020.120382 |
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author | Le, TN-Lan Abakah, Emmanuel Joel Aikins Tiwari, Aviral Kumar |
author_facet | Le, TN-Lan Abakah, Emmanuel Joel Aikins Tiwari, Aviral Kumar |
author_sort | Le, TN-Lan |
collection | PubMed |
description | The study in the age of the 4th industrial revolution examines the time and frequency domain connectedness and spill-over among Fintech, green bonds, and cryptocurrencies. Using daily data from November 2018 to June 2020, we use both DY (Diebold & Yilmaz, 2012) and BK (Baruník et al., 2017) to examine the volatility connectedness of returns series. The results of DY suggest that, first, the total connectedness of 21st century technology assets and traditional common stocks is very high, and hence in the turbulent economy, there is a high probability of contemporaneous losses. Second, Bitcoin, MSCIW, MSCI US, and KFTX are net contributors of volatility shocks whereas US dollar, oil, gold, VIX, green bond and green bond select are net receivers. Therefore, Fintech and common equities are not good hedging instruments in the same portfolio. Third, the short-term witnesses higher volatility transmission than the long-term. That is, holding assets for a long-term is likely to mitigate risks whereas trading financial assets in the short-term can increase risk because of higher volatility. Fourth, the traditional assets, gold and oil, as well as modern assets, green bonds, are useful as good hedgers compared with other assets because shock transmissions from them to Fintech, KFTX are below 0.1% and, more importantly, the total volatility spill-over of all assets in the sample is moderately average, accounting for 44.39%. |
format | Online Article Text |
id | pubmed-7566767 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | Elsevier Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-75667672020-10-19 Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution Le, TN-Lan Abakah, Emmanuel Joel Aikins Tiwari, Aviral Kumar Technol Forecast Soc Change Article The study in the age of the 4th industrial revolution examines the time and frequency domain connectedness and spill-over among Fintech, green bonds, and cryptocurrencies. Using daily data from November 2018 to June 2020, we use both DY (Diebold & Yilmaz, 2012) and BK (Baruník et al., 2017) to examine the volatility connectedness of returns series. The results of DY suggest that, first, the total connectedness of 21st century technology assets and traditional common stocks is very high, and hence in the turbulent economy, there is a high probability of contemporaneous losses. Second, Bitcoin, MSCIW, MSCI US, and KFTX are net contributors of volatility shocks whereas US dollar, oil, gold, VIX, green bond and green bond select are net receivers. Therefore, Fintech and common equities are not good hedging instruments in the same portfolio. Third, the short-term witnesses higher volatility transmission than the long-term. That is, holding assets for a long-term is likely to mitigate risks whereas trading financial assets in the short-term can increase risk because of higher volatility. Fourth, the traditional assets, gold and oil, as well as modern assets, green bonds, are useful as good hedgers compared with other assets because shock transmissions from them to Fintech, KFTX are below 0.1% and, more importantly, the total volatility spill-over of all assets in the sample is moderately average, accounting for 44.39%. Elsevier Inc. 2021-01 2020-10-16 /pmc/articles/PMC7566767/ /pubmed/33100414 http://dx.doi.org/10.1016/j.techfore.2020.120382 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active. |
spellingShingle | Article Le, TN-Lan Abakah, Emmanuel Joel Aikins Tiwari, Aviral Kumar Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution |
title | Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution |
title_full | Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution |
title_fullStr | Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution |
title_full_unstemmed | Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution |
title_short | Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution |
title_sort | time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7566767/ https://www.ncbi.nlm.nih.gov/pubmed/33100414 http://dx.doi.org/10.1016/j.techfore.2020.120382 |
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