TY - JOUR
T1 - Financial technology stocks, green financial assets, and energy markets
T2 - A quantile causality and dependence analysis
AU - Tiwari, Aviral Kumar
AU - Abakah, Emmanuel Joel Aikins
AU - Shao, Xuefeng
AU - Le, TN Lan
AU - Gyamfi, Matthew Ntow
N1 - Publisher Copyright:
© 2023 Elsevier B.V.
PY - 2023/2
Y1 - 2023/2
N2 - With the development of Industry 4.0 and the urgency of transitioning to a low-carbon economy, fintech and environmentally friendly financial instruments have been widely employed because they have played a crucial role in restoring investor confidence in the financial services sector since the global financial crisis in 2008. They not only help investors diversify their portfolios to hedge against risks and enhance returns, but they also help to reduce the negative impacts of climate change. In this study, we analyze the connections among financial technology stocks, green financial assets, and energy markets using nonparametric causality-in-quantile and cross-quantilogram approaches based on the financial contagion theory. We explore whether the performance of fintech prices across booms and busts affects the prices of eco-friendly assets and energy market prices. Our results indicate that in the short run, fintech is highly directionally predictable in all markets except that of green bonds in the lower quantile. Additionally, in the bullish state, the predictability of all lag lengths is negative. Thus, price movements in fintech markets contribute to the vulnerability of the price levels of renewable and non-renewable energy stocks, green bonds, green equities, and sustainable development. Because financial contagion is closely related to asset pricing, portfolio allocation, risk measurement, and monetary policy, the findings of this paper will be informative to investors, portfolio managers, and policy makers.
AB - With the development of Industry 4.0 and the urgency of transitioning to a low-carbon economy, fintech and environmentally friendly financial instruments have been widely employed because they have played a crucial role in restoring investor confidence in the financial services sector since the global financial crisis in 2008. They not only help investors diversify their portfolios to hedge against risks and enhance returns, but they also help to reduce the negative impacts of climate change. In this study, we analyze the connections among financial technology stocks, green financial assets, and energy markets using nonparametric causality-in-quantile and cross-quantilogram approaches based on the financial contagion theory. We explore whether the performance of fintech prices across booms and busts affects the prices of eco-friendly assets and energy market prices. Our results indicate that in the short run, fintech is highly directionally predictable in all markets except that of green bonds in the lower quantile. Additionally, in the bullish state, the predictability of all lag lengths is negative. Thus, price movements in fintech markets contribute to the vulnerability of the price levels of renewable and non-renewable energy stocks, green bonds, green equities, and sustainable development. Because financial contagion is closely related to asset pricing, portfolio allocation, risk measurement, and monetary policy, the findings of this paper will be informative to investors, portfolio managers, and policy makers.
KW - Causality-in-quantiles
KW - Cross-quantilogoram correlation
KW - Fintech
KW - Green bonds
KW - Quantile predictability
KW - Renewable and nonrenewable energy
UR - http://www.scopus.com/inward/record.url?scp=85147124592&partnerID=8YFLogxK
U2 - 10.1016/j.eneco.2022.106498
DO - 10.1016/j.eneco.2022.106498
M3 - Article
AN - SCOPUS:85147124592
SN - 0140-9883
VL - 118
JO - Energy Economics
JF - Energy Economics
M1 - 106498
ER -