TY - JOUR
T1 - The contagion effect of artificial intelligence across innovative industries
T2 - From blockchain and metaverse to cleantech and beyond
AU - Naeem, Muhammad Abubakr
AU - Arfaoui, Nadia
AU - Yarovaya, Larisa
N1 - Publisher Copyright:
© 2024 The Author(s)
PY - 2025/1
Y1 - 2025/1
N2 - Artificial Intelligence (AI) stands as a transformative force across business, technology, and science, yet its comprehensive impact on innovative industries remains relatively unexplored. This study delves into the interconnectedness between AI and pivotal sectors such as cryptocurrency, blockchain, metaverse, democratized banking, and Cleantech, among others. Employing the conditional autoregressive value-at-risk (CAViaR) and time-varying parameters vector autoregressions (TVP-VAR) methods, we scrutinize daily data spanning from June 1, 2018, to October 11, 2023, encompassing 12 stock indices representing each industry. Our findings unveil a strong contagion effect from AI to other innovative sectors, with the exception of Cleantech, which appears to have decoupled from the AI surge. Notably, democratized banking and the metaverse emerge as key recipients of this contagion. Examination of tail-risk spillovers highlights AI as one of the most influential risk transmitters during market tumult, while cryptocurrency and blockchain consistently function as net risk receivers throughout the sample period. The implications of these findings are multifaceted, offering substantive insights into the risk profiles of these critical innovative sectors. Investors and regulatory bodies stand to benefit significantly from this analysis, as it illuminates potential avenues for portfolio diversification and deepens understanding of contagion mechanisms within these evolving industries.
AB - Artificial Intelligence (AI) stands as a transformative force across business, technology, and science, yet its comprehensive impact on innovative industries remains relatively unexplored. This study delves into the interconnectedness between AI and pivotal sectors such as cryptocurrency, blockchain, metaverse, democratized banking, and Cleantech, among others. Employing the conditional autoregressive value-at-risk (CAViaR) and time-varying parameters vector autoregressions (TVP-VAR) methods, we scrutinize daily data spanning from June 1, 2018, to October 11, 2023, encompassing 12 stock indices representing each industry. Our findings unveil a strong contagion effect from AI to other innovative sectors, with the exception of Cleantech, which appears to have decoupled from the AI surge. Notably, democratized banking and the metaverse emerge as key recipients of this contagion. Examination of tail-risk spillovers highlights AI as one of the most influential risk transmitters during market tumult, while cryptocurrency and blockchain consistently function as net risk receivers throughout the sample period. The implications of these findings are multifaceted, offering substantive insights into the risk profiles of these critical innovative sectors. Investors and regulatory bodies stand to benefit significantly from this analysis, as it illuminates potential avenues for portfolio diversification and deepens understanding of contagion mechanisms within these evolving industries.
KW - Artificial intelligence
KW - CAViaR
KW - Cryptocurrency
KW - Metaverse
KW - TVP-VAR
UR - http://www.scopus.com/inward/record.url?scp=85208925981&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85208925981&partnerID=8YFLogxK
U2 - 10.1016/j.techfore.2024.123822
DO - 10.1016/j.techfore.2024.123822
M3 - Article
AN - SCOPUS:85208925981
SN - 0040-1625
VL - 210
JO - Technological Forecasting and Social Change
JF - Technological Forecasting and Social Change
M1 - 123822
ER -