Quantile price convergence and spillover effects among Bitcoin,Fintech, and artificial intelligence stocks |
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| Authors: | Emmanuel Joel Aikins Abakah Aviral Kumar Tiwari Chi-Chuan Lee Matthew Ntow-Gyamfi |
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| Institution: | 1. Department of Finance, University of Ghana Business School, Accra, Ghana;2. Indian Institute of Management Bodh Gaya, Bodh Gaya, India;3. School of Public Administration, Southwestern University of Finance and Economics, Chengdu, China |
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| 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. |
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| Keywords: | artificial intelligence Bitcoin Fintech predictability quantile causality |
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