IDEAS home Printed from https://ideas.repec.org/a/eee/finana/v92y2024ics105752192400005x.html
   My bibliography  Save this article

Measuring the extreme linkages and time-frequency co-movements among artificial intelligence and clean energy indices

Author

Listed:
  • Zeng, Hongjun
  • Abedin, Mohammad Zoynul
  • Zhou, Xiangjing
  • Lu, Ran

Abstract

This is the first study analyzing the volatility connectedness and time-frequency interdependence between AI index and clean energy index. Specifically, we use the QVAR frequency connectedness, Wavelet Local Multiple Correlations (WLMC) and Granger causality quantile methods to check the risk spillovers and multivariate time and frequency relationships among the eight clean energy indexes and the AI index. This is over the period from December 18, 2017 to April 4, 2023. Our results show: (1) NASDAQ OMX Geothermal Index is the strongest net sender of short- and long-term shocks in the system during extreme upside market conditions. In downturn conditions, the S&P Global Clean Energy Index is the largest net shock sender. The AI Index exports shocks at all frequencies. In addition, market connectedness among markets is stronger under extreme market conditions. (2) We find that the AI Index predominantly exhibited positive co-movements with clean energy indices, primarily concentrated within the long-term frequency domain. However, they displayed robust cooperative dynamics across all frequency domains within the context of multivariate wavelet interconnections. (3) The quantile granger causality analysis revealed that below the extreme bullish threshold (0.95), the NASDAQ CTA Artificial Intelligence & Robotics index could predict changes in the risk associated with all clean energy indices. However, under extremely bullish quantile conditions, the NASDAQ CTA Artificial Intelligence & Robotics index statistically exhibited Granger causality only with respect to the NASDAQ OMX Renewable Energy Index, NASDAQ OMX Geothermal Index, and WilderHill Clean Energy Index.

Suggested Citation

  • Zeng, Hongjun & Abedin, Mohammad Zoynul & Zhou, Xiangjing & Lu, Ran, 2024. "Measuring the extreme linkages and time-frequency co-movements among artificial intelligence and clean energy indices," International Review of Financial Analysis, Elsevier, vol. 92(C).
    • Handle: RePEc:eee:finana:v:92:y:2024:i:c:s105752192400005x
    DOI: 10.1016/j.irfa.2024.103073
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S105752192400005X
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.irfa.2024.103073?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Artificial intelligence; Clean energy; Tail risk; Quantile time-frequency; Wavelet; Quantile granger causality;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finana:v:92:y:2024:i:c:s105752192400005x. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620166 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.