Multidimensional connectedness among the fourth industrial revolution assets
This study investigates the multidimensional connectedness between various Fourth Industrial Revolution assets and global commodities to analyze their role in portfolio diversification. Using dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH), Barun...
محفوظ في:
| المؤلف الرئيسي: | |
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| مؤلفون آخرون: | , |
| التنسيق: | article |
| منشور في: |
2023
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| الوصول للمادة أونلاين: | http://hdl.handle.net/10725/14978 https://doi.org/10.1016/j.bir.2023.04.002 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2214845023000546 |
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| _version_ | 1864513470078124032 |
|---|---|
| author | El Khoury, Rim |
| author2 | Alshater, Muneer M. Li, Yanshuang |
| author2_role | author author |
| author_facet | El Khoury, Rim Alshater, Muneer M. Li, Yanshuang |
| author_role | author |
| dc.creator.none.fl_str_mv | El Khoury, Rim Alshater, Muneer M. Li, Yanshuang |
| dc.date.none.fl_str_mv | 2023-08-29T09:54:30Z 2023-08-29T09:54:30Z 2023 2023-07-20 |
| dc.identifier.none.fl_str_mv | 2214-8450 http://hdl.handle.net/10725/14978 https://doi.org/10.1016/j.bir.2023.04.002 El Khoury, R., Alshater, M. M., & Li, Y. (2023). Multidimensional connectedness among the fourth industrial revolution assets. Borsa Istanbul Review, 23(4), 953-979. http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2214845023000546 |
| dc.language.none.fl_str_mv | en |
| dc.relation.none.fl_str_mv | Borsa Istanbul Review |
| dc.rights.*.fl_str_mv | info:eu-repo/semantics/openAccess |
| dc.title.none.fl_str_mv | Multidimensional connectedness among the fourth industrial revolution assets |
| dc.type.none.fl_str_mv | Article info:eu-repo/semantics/publishedVersion info:eu-repo/semantics/article |
| description | This study investigates the multidimensional connectedness between various Fourth Industrial Revolution assets and global commodities to analyze their role in portfolio diversification. Using dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH), Baruník and Křehlík (BK) frequency connectedness, and quantile connectedness, we estimate the time-frequency connectedness involved in the transmission mechanism at the upper, middle, and lower quantiles, using empirical data from April 30, 2018, to January 9, 2023, which incorporates data before and during the pandemic and consider the impact of the Russia-Ukraine conflict. Our findings reveal that Fourth Industrial Revolution assets are highly correlated, especially during periods of stress and crisis, which necessitates portfolio diversification during such periods. We also find that holding these assets over the long run is better than holding them in the short run. Our results indicate that the connectedness network assessed at the conditional median quantile is not reflective of the level of connectedness associated with substantial positive or negative shocks. This study is of high importance to investors in Fourth Industrial Revolution assets. |
| eu_rights_str_mv | openAccess |
| format | article |
| id | LAURepo_c7b12d6291a75314c43cee30dfa702ae |
| identifier_str_mv | 2214-8450 El Khoury, R., Alshater, M. M., & Li, Y. (2023). Multidimensional connectedness among the fourth industrial revolution assets. Borsa Istanbul Review, 23(4), 953-979. |
| language_invalid_str_mv | en |
| network_acronym_str | LAURepo |
| network_name_str | Lebanese American University repository |
| oai_identifier_str | oai:laur.lau.edu.lb:10725/14978 |
| publishDate | 2023 |
| repository.mail.fl_str_mv | |
| repository.name.fl_str_mv | |
| repository_id_str | |
| spelling | Multidimensional connectedness among the fourth industrial revolution assetsEl Khoury, RimAlshater, Muneer M.Li, YanshuangThis study investigates the multidimensional connectedness between various Fourth Industrial Revolution assets and global commodities to analyze their role in portfolio diversification. Using dynamic conditional correlation-generalized autoregressive conditional heteroskedasticity (DCC-GARCH), Baruník and Křehlík (BK) frequency connectedness, and quantile connectedness, we estimate the time-frequency connectedness involved in the transmission mechanism at the upper, middle, and lower quantiles, using empirical data from April 30, 2018, to January 9, 2023, which incorporates data before and during the pandemic and consider the impact of the Russia-Ukraine conflict. Our findings reveal that Fourth Industrial Revolution assets are highly correlated, especially during periods of stress and crisis, which necessitates portfolio diversification during such periods. We also find that holding these assets over the long run is better than holding them in the short run. Our results indicate that the connectedness network assessed at the conditional median quantile is not reflective of the level of connectedness associated with substantial positive or negative shocks. This study is of high importance to investors in Fourth Industrial Revolution assets.Published2023-08-29T09:54:30Z2023-08-29T09:54:30Z20232023-07-20Articleinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article2214-8450http://hdl.handle.net/10725/14978https://doi.org/10.1016/j.bir.2023.04.002El Khoury, R., Alshater, M. M., & Li, Y. (2023). Multidimensional connectedness among the fourth industrial revolution assets. Borsa Istanbul Review, 23(4), 953-979.http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.phphttps://www.sciencedirect.com/science/article/pii/S2214845023000546enBorsa Istanbul Reviewinfo:eu-repo/semantics/openAccessoai:laur.lau.edu.lb:10725/149782024-07-10T11:18:59Z |
| spellingShingle | Multidimensional connectedness among the fourth industrial revolution assets El Khoury, Rim |
| status_str | publishedVersion |
| title | Multidimensional connectedness among the fourth industrial revolution assets |
| title_full | Multidimensional connectedness among the fourth industrial revolution assets |
| title_fullStr | Multidimensional connectedness among the fourth industrial revolution assets |
| title_full_unstemmed | Multidimensional connectedness among the fourth industrial revolution assets |
| title_short | Multidimensional connectedness among the fourth industrial revolution assets |
| title_sort | Multidimensional connectedness among the fourth industrial revolution assets |
| url | http://hdl.handle.net/10725/14978 https://doi.org/10.1016/j.bir.2023.04.002 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.sciencedirect.com/science/article/pii/S2214845023000546 |