제목:
Quantile time frequency connectedness between aerospace and defense, artificial intelligence, blockchain, cybersecurity, MLP, and software ETFs, and uncertainty indices


저자 : Sang Hoon Kang

요약
We examine ETF and uncertainty indexes’ (VIX, GVZ, and OVZ) spillover dynamics and interconnectedness at different quantile frequencies. Our study is the first to offer a thorough analysis that measures interconnectedness for different market states using a quantile-frequency spillover methodology, quadruple wavelet coherence, and wavelet quantile correlation analysis. We identify the total connectedness index’s value exceeds 70% and is much higher in the upper and lower tails across the quantiles. Specifically, under extreme market conditions, most ETFs are net spillover transmitters, whereas uncertainty indices are net spillover receivers, indicating uncertainty indexes’ diversification role against the contagion risk of ETF investments. We also find that the joint effects of uncertainty indexes on ETFs are significant in the long term. By conducting a wavelet quantile correlation analysis, we find a negative correlation between ETFs and uncertainties at different frequencies, implying that uncertainty indexes can be used to hedge investment against the risk of ETF portfolios.