Do AI incidents and hazards matter for AI-themed cryptocurrency returns?

Jying-Nan Wang, Hung-Chun Liu and Yuan-Teng Hsu

Finance Research Letters, 2025, vol. 74, issue C

Abstract: Yes! We use a novel repository of AI incidents and hazards (AIIH) provided by OECD.AI to measure the risks and harms of AI systems and investigate their effects on returns of both AI-themed and non-AI cryptocurrencies. Employing an augmented GJR-GARCH model, our results show that AIIH has no effect on returns of the two types of cryptocurrencies before the launch of ChatGPT-3.5; however, after ChatGPT's launch, AIIH has a negative impact on AI-themed cryptocurrency returns. Furthermore, AIIHs associated with OECD AI principles (i) transparency and explainability, (ii) robustness, security and safety, or (iii) accountability, negatively affect returns of AI-themed cryptocurrencies.

Keywords: AI incidents and hazards; OECD AI principle; AI-themed cryptocurrencies; ChatGPT; GJR-GARCH (search for similar items in EconPapers)
JEL-codes: C14 C22 G14 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:74:y:2025:i:c:s154461232500042x

DOI: 10.1016/j.frl.2025.106777

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