In this study,we examine the connectedness between the NASDAQ artificial intelligence index and sectoral cryptocurrency indices.Empirical analyses were conducted via the quantile‒quantile methodology and cross-multiqu...In this study,we examine the connectedness between the NASDAQ artificial intelligence index and sectoral cryptocurrency indices.Empirical analyses were conducted via the quantile‒quantile methodology and cross-multiquantilogram tests across 15 cryptocurrency sectors from June 1,2021,to May 28,2024.The results show that dynamic total spillovers primarily occur in extremely low and high quantiles,corresponding to the left and right tails of the return distributions.Net directional spillovers indicate the dominance of the AI sector over the cryptocurrency market,which intensifies during significant crashes or booms.The most substantial effect of AI is observed in the DeFi,NFT,and Smart Contracts sectors,highlighting the prominence of financial operation-based blockchain applications in their interaction with artificial intelligence.The cross-multiquantilogram results also suggest that developments in artificial intelligence dominate the cryptocurrency market and have high predictability in its price movements.On the basis of our findings,we recommend using the AI market as an early indicator for the cryptocurrency market and advise against combining these two asset groups in the same portfolio to maintain diversification benefits.展开更多
文摘In this study,we examine the connectedness between the NASDAQ artificial intelligence index and sectoral cryptocurrency indices.Empirical analyses were conducted via the quantile‒quantile methodology and cross-multiquantilogram tests across 15 cryptocurrency sectors from June 1,2021,to May 28,2024.The results show that dynamic total spillovers primarily occur in extremely low and high quantiles,corresponding to the left and right tails of the return distributions.Net directional spillovers indicate the dominance of the AI sector over the cryptocurrency market,which intensifies during significant crashes or booms.The most substantial effect of AI is observed in the DeFi,NFT,and Smart Contracts sectors,highlighting the prominence of financial operation-based blockchain applications in their interaction with artificial intelligence.The cross-multiquantilogram results also suggest that developments in artificial intelligence dominate the cryptocurrency market and have high predictability in its price movements.On the basis of our findings,we recommend using the AI market as an early indicator for the cryptocurrency market and advise against combining these two asset groups in the same portfolio to maintain diversification benefits.
