Abstract
This research explores the distributional and directional predictabilities among Fintech, Bitcoin, and artificial intelligence stocks from March 2018 to January 2021 using nonparametric causality-in-quantile and crossquantilogram approaches. We also examine connectedness across the assets using a quantile VAR approach. The results indicate the existence of bidirectional causality-in-variance between the variables in a normal market. We also find that directional predictability among the assets is oscillatory over time lags. Finally, we observe a strong price connectedness for highly positive and negative changes. These results further document the diversification potential and safe-haven properties of technology-related assets for portfolio investors.
| Original language | English |
|---|---|
| Pages (from-to) | 187-205 |
| Number of pages | 19 |
| Journal | International Review of Finance |
| Volume | 23 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - Mar 2023 |
| Externally published | Yes |
Keywords
- Bitcoin
- Fintech
- artificial intelligence
- predictability
- quantile causality