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AI uncertainty and global stock market volatility: Any signals of a Dot-com 2.0?

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  • Gaies, Brahim

Abstract

Motivated by “Dot-com 2.0” concerns around AI, this letter asks whether AI-related uncertainty spills over to global stock-market implied volatility. Using a newly released news-based AI uncertainty index and major VIX-type benchmarks, we estimate time-varying quantile and quantile-on-quantile connectedness models. We find that AI-related uncertainty is usually a passenger, not a driver, but in the tails, it can episodically switch roles and transmit shocks during waves of AI attention and policy news. Strikingly, these transmitter episodes are most pronounced in misaligned uncertainty-volatility states (low volatility/high AI-related uncertainty; high volatility/low AI-related uncertainty), consistent with rational inattention and liquidity and margin spirals.

Suggested Citation

  • Gaies, Brahim, 2026. "AI uncertainty and global stock market volatility: Any signals of a Dot-com 2.0?," Economics Letters, Elsevier, vol. 264(C).
    • Handle: RePEc:eee:ecolet:v:264:y:2026:i:c:s0165176526001485
    DOI: 10.1016/j.econlet.2026.112954
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    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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