Tail risk intersection between tech-tokens and tech-stocks

Mohammad Abdullah, Provash Sarker, Emmanuel Abakah, Aviral Tiwari and Mohd Ziaur Rehman

Global Finance Journal, 2024, vol. 61, issue C

Abstract: This study investigates the interconnectedness of upside and downside tail risks between tech-industry tokens and equities, focusing on uncertainties and portfolio implications. We estimate tail-risk measures at various quantiles using the conditional autoregressive value-at-risk method and investigate selected assets' static and dynamic connectedness using a time-varying parameter-vector autoregression approach. The findings reveal a moderate level of time-varying tail-risk interconnectedness. Furthermore, we examine the role of global uncertainty factors in tail-risk contagion and identify the factors driving connectedness. Moreover, this study analyzes portfolio implications, offering insights into effective risk management strategies and the potential benefits of diversification. These findings have significant implications for investors, regulators, and policymakers in risk management in the technology industry.

Keywords: Tail risk; Tech-industry token; Equity; Portfolio; Uncertainty (search for similar items in EconPapers)
JEL-codes: C32 D53 G01 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:61:y:2024:i:c:s1044028324000619

DOI: 10.1016/j.gfj.2024.100989

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