Asymmetric time-frequency risk spillovers between the Fourth Industrial Revolution assets and commodity futures: Is economic policy uncertainty a driving factor?

IF 5.5 2区经济学 Q1 BUSINESS, FINANCE

Global Finance Journal Pub Date : 2025-01-11 DOI:10.1016/j.gfj.2025.101076

Xianfang Su , Yachao Zhao

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引用次数: 0

Abstract

This study examines the asymmetric time-frequency risk spillovers between the Fourth Industrial Revolution assets and commodity futures by utilizing a time-varying parameter vector autoregressive connectedness approach. The results indicate that financial technology stocks, artificial intelligence stocks, and blockchain stocks are net transmitters of spillovers in relation to energy, metal, and agriculture futures. Moreover, the spillover effect is asymmetric, with spillovers triggered by bad news dominating those sourced from good news. Also, risk spillovers are exceedingly intense in the short term in comparison with the medium term and long term. Further dynamic analyses show that the outbreak of the COVID-19 pandemic and the Russia-Ukraine conflict substantially enhanced risk spillovers. Finally, this study finds that economic policy uncertainty has a significantly positive impact on the asymmetric time-frequency spillover effects, indicating its role as a driving factor of spillover effects. These findings have great significance for investors and policymakers.

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来源期刊

Global Finance Journal BUSINESS, FINANCE-

CiteScore

7.30

自引率

13.50%

发文量

106

审稿时长

53 days

期刊介绍： Global Finance Journal provides a forum for the exchange of ideas and techniques among academicians and practitioners and, thereby, advances applied research in global financial management. Global Finance Journal publishes original, creative, scholarly research that integrates theory and practice and addresses a readership in both business and academia. Articles reflecting pragmatic research are sought in areas such as financial management, investment, banking and financial services, accounting, and taxation. Global Finance Journal welcomes contributions from scholars in both the business and academic community and encourages collaborative research from this broad base worldwide.