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Do AI incidents and hazards matter for AI-themed cryptocurrency returns?

Author

Listed:
  • Wang, Jying-Nan
  • Liu, Hung-Chun
  • Hsu, Yuan-Teng

Abstract

Yes! We use a novel repository of AI incidents and hazards (AIIH) provided by OECD.AI to measure the risks and harms of AI systems and investigate their effects on returns of both AI-themed and non-AI cryptocurrencies. Employing an augmented GJR-GARCH model, our results show that AIIH has no effect on returns of the two types of cryptocurrencies before the launch of ChatGPT-3.5; however, after ChatGPT's launch, AIIH has a negative impact on AI-themed cryptocurrency returns. Furthermore, AIIHs associated with OECD AI principles (i) transparency and explainability, (ii) robustness, security and safety, or (iii) accountability, negatively affect returns of AI-themed cryptocurrencies.

Suggested Citation

  • Wang, Jying-Nan & Liu, Hung-Chun & Hsu, Yuan-Teng, 2025. "Do AI incidents and hazards matter for AI-themed cryptocurrency returns?," Finance Research Letters, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:finlet:v:74:y:2025:i:c:s154461232500042x
    DOI: 10.1016/j.frl.2025.106777
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    References listed on IDEAS

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    More about this item

    Keywords

    AI incidents and hazards; OECD AI principle; AI-themed cryptocurrencies; ChatGPT; GJR-GARCH;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • 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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