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AI advancement and financial market spillover

Author

Listed:
  • Lu, Yunzhi
  • Fu, Hang
  • Cai, Jinghan
  • Zhou, Kaiguo

Abstract

How does artificial intelligence (AI) advancement affect the global stock market spillover? This study provides empirical evidence to this question. Using panel data from 63 countries (regions), we document that higher AI advancement (publication, talent concentration, and venture capital) in the source country significantly exerts stronger spillovers to other markets, where the financial market spillover is proxied by Diebold-Yilmaz index from a high-dimensional time-varying parameter vector autoregression (HD-TVP-VAR) model. We further show evidence that AI advancement affects spillover effects via enhanced information efficiency and improved uncertainty management.

Suggested Citation

  • Lu, Yunzhi & Fu, Hang & Cai, Jinghan & Zhou, Kaiguo, 2026. "AI advancement and financial market spillover," Finance Research Letters, Elsevier, vol. 99(C).
    • Handle: RePEc:eee:finlet:v:99:y:2026:i:c:s1544612326004411
    DOI: 10.1016/j.frl.2026.109912
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    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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