Asset Returns and CO2 Emissions: Evidence on Contemporaneous and Lagged Connectedness

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

No 12333, CESifo Working Paper Series from CESifo

Abstract: This study examines the contemporaneous and lagged connectedness between the daily returns of AI and robotics-related assets, a global stock market index, commodity prices (gold and Brent crude oil), cryptocurrencies, and a carbon index over the period from 3 January 2023 to 30 September 2025, against a backdrop of persistent geopolitical tensions, using the innovative R² connectedness method developed by Balli et al. (2023). The results reveal that contemporaneous effects predominate over lagged ones. Furthermore, AI and robotics-related assets behave primarily as net emitters of shocks, as does the MSCI World Index, which exerts positive contagion effects and plays a central role in risk transmission. By constrast, gold and Brent crude oil act as net receivers of shocks, which in the case of the former reflects its role as a safe-haven asset. Cryptocurrencies instead exhibit heterogeneous dynamics : Cardano (ADA) acts as a net transmitter of shocks, while Bitcoin (BTC) and Stellar (XLM) behave more as receivers, contributing to market stability. Finally, the CO₂ index displays net negative connectedness, which confirm its role as a receiver of shocks. These findings provide useful information to investors and portfolio managers for risk diversification purposes and to policy-makers for ensuring financial stabilily, especially during periods of market turbulence.

Keywords: assets returns; CO2 emissions; contemporaneous and lagged R2 connectedness (search for similar items in EconPapers)
JEL-codes: C32 G11 (search for similar items in EconPapers)
Date: 2025
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