Time and frequency domain connectedness and spill-over among fintech, green bonds and cryptocurrencies in the age of the fourth industrial revolution

TN-Lan Le, Emmanuel Abakah and Aviral Tiwari

Technological Forecasting and Social Change, 2021, vol. 162, issue C

Abstract: 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%.

Keywords: Fourth industrial revolution; Portfolio diversification; Fintech; Green bonds; Equity and other prices (search for similar items in EconPapers)
JEL-codes: C59 G11 G19 G32 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (107)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:tefoso:v:162:y:2021:i:c:s0040162520312087

DOI: 10.1016/j.techfore.2020.120382

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