This paper employs wavelet coherence,Cross-Quantilogram(CQ),and Time-Varying Parameter Vector-Autoregression(TVP-VAR)estimation strategies to investigate the dependence structure and connectedness between investments ...This paper employs wavelet coherence,Cross-Quantilogram(CQ),and Time-Varying Parameter Vector-Autoregression(TVP-VAR)estimation strategies to investigate the dependence structure and connectedness between investments in artificial intelligence(AI)and eight different energy-focused sectors.We find significant evidence of dependence and connectedness between the stock returns of AI and those of the energy-focused sectors,especially during intermediate and long-term investment horizons.The relationship has become stronger since the COVID-19 pandemic.More specifically,results from the wavelet coherence approach show a stronger association between the stock returns of energy-focused sectors and AI,while results from the CQ analysis show that directional predictability from AI to energy-focused sectors varies across sectors,investment horizons,and market conditions.TVP-VAR results show that since the COVID-19 outbreak,AI has become more of a net shock receiver from the energy market.Our study offers crucial implications for investors and policymakers.展开更多
文摘This paper employs wavelet coherence,Cross-Quantilogram(CQ),and Time-Varying Parameter Vector-Autoregression(TVP-VAR)estimation strategies to investigate the dependence structure and connectedness between investments in artificial intelligence(AI)and eight different energy-focused sectors.We find significant evidence of dependence and connectedness between the stock returns of AI and those of the energy-focused sectors,especially during intermediate and long-term investment horizons.The relationship has become stronger since the COVID-19 pandemic.More specifically,results from the wavelet coherence approach show a stronger association between the stock returns of energy-focused sectors and AI,while results from the CQ analysis show that directional predictability from AI to energy-focused sectors varies across sectors,investment horizons,and market conditions.TVP-VAR results show that since the COVID-19 outbreak,AI has become more of a net shock receiver from the energy market.Our study offers crucial implications for investors and policymakers.
