Time–frequency dependence and connectedness between financial technology and green assets

Christian Urom
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引用次数: 1

Abstract

This paper provides new evidence on the dynamic dependence and connectedness between investments in Financial Technology (FinTech) and green assets across different market conditions and investment horizons. The paper uses daily data and relies on wavelets coherency and quantile-based connectedness methods. First, our results indicate that the co-movement between FinTech and green bonds and clean energy stocks is mostly positive and strongest in the long-term but weak in the short-term, indicating a high probability of large joint losses for long-term investors and hedging opportunities of FinTech stocks for short-term investors in green financial assets. Second, the level of connectedness is stronger at both tails of the return distribution and similar in the short- and long-term while in the medium-term, normal market period total connectedness became stronger than the bearish market period connectedness during the COVID-19 pandemic. Lastly, results also indicate that across all market conditions and time scales, FinTech stocks dominate most of the green financial assets as demonstrated by the net pairwise directional risk spillover. This suggests that FinTech stocks may not offer good hedging opportunities for green financial indexes. The paper provides some crucial implications based on these findings.

金融科技与绿色资产的时频依赖性与关联性
本文提供了新的证据,证明在不同的市场条件和投资范围内,金融科技(FinTech)投资与绿色资产之间的动态依赖和联系。本文使用日常数据,并依赖于小波相干性和基于分位数的连接方法。首先,我们的研究结果表明,金融科技与绿色债券和清洁能源股票之间的协同运动在长期内大多是正的,并且在长期内最强,但在短期内较弱,这表明长期投资者很可能共同遭受巨大损失,而金融科技股票为短期投资者提供了对冲绿色金融资产的机会。第二,收益分布两端的连通性水平均较强,且短期和长期相似,而中期,正常市场时期的总连通性强于新冠肺炎大流行期间的熊市时期的连通性。最后,研究结果还表明,在所有市场条件和时间尺度上,金融科技股主导了大部分绿色金融资产,这体现在净两两定向风险溢出上。这表明,金融科技股可能无法为绿色金融指数提供良好的对冲机会。基于这些发现,本文提供了一些重要的启示。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
International Economics
International Economics Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)
CiteScore
6.30
自引率
0.00%
发文量
74
审稿时长
71 days
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