Tail Connectedness Between Robotics and AI ETFs and Traditional Us Assets Under Different Market Conditions: A Quantile Var Approach

Fekria Belhouichet, Guglielmo Maria Caporale and Luis Alberiko Gil-Alana

No 12143, CESifo Working Paper Series from CESifo

Abstract: This paper examines tail connectedness between various exchange-traded funds (ETFs) focused on artificial intelligence (AI) and some traditional assets such as bonds, equities, Bitcoin, and oil, as well as the VIX uncertainty index, using US daily data over the period from 1 January 2023 to 23 June 2025. The investigation is carried out following the QVAR (Quantile VAR) approach introduced by Ando et al. (2022); this is an extension of the connectedness measure of Diebold and Yilmaz (2012, 2014) which captures the dynamic relationships between assets under different market conditions. The results show that AI and robotics ETFs, along with the S&P 500 Index, act as net transmitters of shocks, while other assets and the VIX serve as net receivers. Furthermore, connectedness intensifies under extreme market conditions. These findings suggest that technology ETFs play a central role in shock transmission and could be effectively employed for hedging purposes. Our findings provide valuable information to investors for diversification and hedging purposes, and to policy makers for maintaining financial stability, particularly during periods of market turbulence.

Keywords: exchange-traded funds (ETFs); artificial intelligence (AI); connectedness; quantile VAR (QVAR) (search for similar items in EconPapers)
JEL-codes: C32 G11 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.ifo.de/DocDL/cesifo1_wp12143.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_12143

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().