Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion

Yadav, Miklesh Prasad; Abedin, Mohammad; Sinha, Neena; Arya, Vandana

doi:10.1016/j.ribaf.2023.102146

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Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion

Miklesh Prasad Yadav, Mohammad Abedin, Neena Sinha, Vandana Arya

Research in International Business and Finance, Volume: 67, Start page: 102146

Swansea University Author: Mohammad Abedin

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DOI (Published version): 10.1016/j.ribaf.2023.102146

Abstract

This paper investigates the connectedness of Artificial intelligence stocks with agri-commodity stocks during COVID-19 and Russia-Ukraine invasion. To measure the Artificial intelligence stocks, we consider Microsoft, Google, Amazon, Meta and NVIDA while US wheat, US corn, US soyabean, US oats and U...

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Published in:	Research in International Business and Finance
ISSN:	0275-5319 1878-3384
Published:	Elsevier BV 2024
Online Access:	Check full text
URI:	https://cronfa.swan.ac.uk/Record/cronfa64915
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first_indexed	2023-11-03T23:48:07Z
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spelling	v2 64915 2023-11-03 Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion 4ed8c020eae0c9bec4f5d9495d86d415 Mohammad Abedin Mohammad Abedin true false 2023-11-03 BAF This paper investigates the connectedness of Artificial intelligence stocks with agri-commodity stocks during COVID-19 and Russia-Ukraine invasion. To measure the Artificial intelligence stocks, we consider Microsoft, Google, Amazon, Meta and NVIDA while US wheat, US corn, US soyabean, US oats and US Rice are proxied to represent the agri-commodity stocks. The daily closing price of these stocks is taken from December 31, 2019 to February 23, 2022 (COVID-19) and February 24, 2022 to August 10, 2022 (Russia-Ukraine Invasion). For an empirical estimation, Diebold & Yilmaz (2012) and Barunik & Krehlik (2018) models are employed to investigate the connectedness among these assets class. The result reveals that Microsoft is highest receiver as well as highest contributor of the shocks; US rice and US corn are least receiver and contributor of the shocks respectively during COVID-19 period. Journal Article Research in International Business and Finance 67 102146 Elsevier BV 0275-5319 1878-3384 Artificial intelligence, Agri-commodity, Connectedness, COVID-19, Russia-Ukraine Invasion 31 1 2024 2024-01-31 10.1016/j.ribaf.2023.102146 http://dx.doi.org/10.1016/j.ribaf.2023.102146 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2023-12-04T14:39:46.4847072 2023-11-03T23:47:31.7236759 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Miklesh Prasad Yadav 1 Mohammad Abedin 2 Neena Sinha 3 Vandana Arya 4 64915__29198__cb2a402a9f1c4c0e8874a87f2498ed72.pdf 64915.VOR.pdf 2023-12-04T14:35:40.0665631 Output 3671170 application/pdf Version of Record true © 2023 The Authors. Published by Elsevier B.V. Distributed under the terms of a Creative Commons Attribution 4.0 International License (CC BY 4.0). true eng https://creativecommons.org/licenses/by/4.0/
title	Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion
spellingShingle	Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion Mohammad Abedin
title_short	Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion
title_full	Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion
title_fullStr	Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion
title_full_unstemmed	Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion
title_sort	Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion
author_id_str_mv	4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv	4ed8c020eae0c9bec4f5d9495d86d415_***_Mohammad Abedin
author	Mohammad Abedin
author2	Miklesh Prasad Yadav Mohammad Abedin Neena Sinha Vandana Arya
format	Journal article
container_title	Research in International Business and Finance
container_volume	67
container_start_page	102146
publishDate	2024
institution	Swansea University
issn	0275-5319 1878-3384
doi_str_mv	10.1016/j.ribaf.2023.102146
publisher	Elsevier BV
college_str	Faculty of Humanities and Social Sciences
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hierarchy_top_title	Faculty of Humanities and Social Sciences
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department_str	School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url	http://dx.doi.org/10.1016/j.ribaf.2023.102146
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description	This paper investigates the connectedness of Artificial intelligence stocks with agri-commodity stocks during COVID-19 and Russia-Ukraine invasion. To measure the Artificial intelligence stocks, we consider Microsoft, Google, Amazon, Meta and NVIDA while US wheat, US corn, US soyabean, US oats and US Rice are proxied to represent the agri-commodity stocks. The daily closing price of these stocks is taken from December 31, 2019 to February 23, 2022 (COVID-19) and February 24, 2022 to August 10, 2022 (Russia-Ukraine Invasion). For an empirical estimation, Diebold & Yilmaz (2012) and Barunik & Krehlik (2018) models are employed to investigate the connectedness among these assets class. The result reveals that Microsoft is highest receiver as well as highest contributor of the shocks; US rice and US corn are least receiver and contributor of the shocks respectively during COVID-19 period.
published_date	2024-01-31T14:39:47Z
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Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion

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