Marketing tokens and marketing stocks: Tail risk connections with portfolio implications

Abstract

This research investigates the spillover of tail risk between marketing tokens and top marketing firm stocks, providing insights into their interconnectedness and implications for portfolio diversification. Our analysis utilizes the Conditional Autoregressive Value at Risk (CAViaR) and time-varying parameter-vector autoregression (TVP-VAR) based dynamic connectedness measures to explore the transmission of shocks over time and the degree of dependency among these assets. Our findings reveal that marketing tokens and stocks demonstrate a lower level of interconnectedness, suggesting possible avenues for enhancing portfolio diversification. Moreover, the results highlight the event-dependent nature of tail risk transmission, with notable peaks observed during periods of market stress, such as the COVID-19 pandemic and geopolitical conflicts. We further examine portfolio weights and hedge ratios, shedding light on optimal allocation strategies and risk management techniques for these assets. These insights offer valuable guidance for investors in managing tail risk and promoting the stability and resilience of financial markets.