{"title":"Dependence of green energy markets on big data and other fourth industrial revolution technologies","authors":"","doi":"10.1016/j.intfin.2024.102061","DOIUrl":null,"url":null,"abstract":"<div><div>This paper analyzes the dependence and connectedness among fourth-industrial revolution technology markets (including big data and artificial intelligence, blockchain, and financial technology) and global and regional (US, Europe, and Asia) green energy markets. In particular, we consider the dynamic dependence among these markets in terms of both returns and volatility across different market conditions and investment horizons using the cross-spectral coherence and Quantile-VAR connectedness approach. Three main results emerge from our analysis. First, the return dependence is relatively stronger than volatility dependence and is stronger across most time scales among the technology markets and the European and Asian regional green energy indexes. Second, the return and volatility connectedness is stronger during extreme than normal market conditions. Unless under bullish market times, volatility connectedness appears smaller than return connectedness, implying that market volatility risks spread less forcefully among these markets than return risks under normal and bearish market periods. Third, geopolitical risks, business environment, economic policy, fixed-income, and oil and gold markets’ uncertainties are significant predictors of the degree of return and volatility connectedness. Overall, our findings offer crucial insights for short- and long-term investors interested in portfolios with modern technology and green assets. They also emphasize the roles of market and macroeconomic factors in shock propagation and their implications for low-carbon transition.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":null,"pages":null},"PeriodicalIF":5.4000,"publicationDate":"2024-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Markets Institutions & Money","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042443124001276","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This paper analyzes the dependence and connectedness among fourth-industrial revolution technology markets (including big data and artificial intelligence, blockchain, and financial technology) and global and regional (US, Europe, and Asia) green energy markets. In particular, we consider the dynamic dependence among these markets in terms of both returns and volatility across different market conditions and investment horizons using the cross-spectral coherence and Quantile-VAR connectedness approach. Three main results emerge from our analysis. First, the return dependence is relatively stronger than volatility dependence and is stronger across most time scales among the technology markets and the European and Asian regional green energy indexes. Second, the return and volatility connectedness is stronger during extreme than normal market conditions. Unless under bullish market times, volatility connectedness appears smaller than return connectedness, implying that market volatility risks spread less forcefully among these markets than return risks under normal and bearish market periods. Third, geopolitical risks, business environment, economic policy, fixed-income, and oil and gold markets’ uncertainties are significant predictors of the degree of return and volatility connectedness. Overall, our findings offer crucial insights for short- and long-term investors interested in portfolios with modern technology and green assets. They also emphasize the roles of market and macroeconomic factors in shock propagation and their implications for low-carbon transition.
期刊介绍:
International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.