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Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks

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  • Emmanuel Joel Aikins Abakah
  • Aviral Kumar Tiwari
  • Chi‐Chuan Lee
  • Matthew Ntow‐Gyamfi

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.

Suggested Citation

  • Emmanuel Joel Aikins Abakah & Aviral Kumar Tiwari & Chi‐Chuan Lee & Matthew Ntow‐Gyamfi, 2023. "Quantile price convergence and spillover effects among Bitcoin, Fintech, and artificial intelligence stocks," International Review of Finance, International Review of Finance Ltd., vol. 23(1), pages 187-205, March.
    • Handle: RePEc:bla:irvfin:v:23:y:2023:i:1:p:187-205
    DOI: 10.1111/irfi.12393
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