Le Tn-Lan, Abakah Emmanuel Joel Aikins, Tiwari Aviral Kumar
The University of Sydney, Business School, Australia.
University of Finance-Marketing, Vietnam.
Technol Forecast Soc Change. 2021 Jan;162:120382. doi: 10.1016/j.techfore.2020.120382. Epub 2020 Oct 16.
The study in the age of the 4th industrial revolution examines the time and frequency domain connectedness and spill-over among Fintech, green bonds, and cryptocurrencies. Using daily data from November 2018 to June 2020, we use both DY (Diebold & Yilmaz, 2012) and BK (Baruník et al., 2017) to examine the volatility connectedness of returns series. The results of DY suggest that, first, the total connectedness of 21st century technology assets and traditional common stocks is very high, and hence in the turbulent economy, there is a high probability of contemporaneous losses. Second, Bitcoin, MSCIW, MSCI US, and KFTX are net contributors of volatility shocks whereas US dollar, oil, gold, VIX, green bond and green bond select are net receivers. Therefore, Fintech and common equities are not good hedging instruments in the same portfolio. Third, the short-term witnesses higher volatility transmission than the long-term. That is, holding assets for a long-term is likely to mitigate risks whereas trading financial assets in the short-term can increase risk because of higher volatility. Fourth, the traditional assets, gold and oil, as well as modern assets, green bonds, are useful as good hedgers compared with other assets because shock transmissions from them to Fintech, KFTX are below 0.1% and, more importantly, the total volatility spill-over of all assets in the sample is moderately average, accounting for 44.39%.
这项关于第四次工业革命时代的研究考察了金融科技、绿色债券和加密货币之间的时域和频域连通性及溢出效应。利用2018年11月至2020年6月的日数据，我们使用迪博尔德和伊尔马兹（2012年）的DY方法以及巴鲁尼克等人（2017年）的BK方法来检验收益序列的波动连通性。DY方法的结果表明，首先，21世纪科技资产与传统普通股的总连通性非常高，因此在动荡的经济中，同时出现损失的可能性很大。其次，比特币、MSCIW、MSCI美国指数和韩国加密货币交易平台（KFTX）是波动冲击的净贡献者，而美元、石油、黄金、波动率指数（VIX）、绿色债券和精选绿色债券是净接受者。因此，金融科技和普通股在同一投资组合中不是好的套期保值工具。第三，短期的波动传导高于长期。也就是说，长期持有资产可能会降低风险，而短期交易金融资产由于波动性较高可能会增加风险。第四，与其他资产相比，传统资产黄金和石油以及现代资产绿色债券是很好的套期保值工具，因为它们向金融科技、韩国加密货币交易平台的冲击传导低于0.1%，更重要的是，样本中所有资产的总波动溢出处于适度平均水平，占44.39%。
