IDEAS home Printed from https://ideas.repec.org/a/eee/glofin/v64y2025ics1044028325000031.html
   My bibliography  Save this article

Asymmetric time-frequency risk spillovers between the Fourth Industrial Revolution assets and commodity futures: Is economic policy uncertainty a driving factor?

Author

Listed:
  • Su, Xianfang
  • Zhao, Yachao

Abstract

This study examines the asymmetric time-frequency risk spillovers between the Fourth Industrial Revolution assets and commodity futures by utilizing a time-varying parameter vector autoregressive connectedness approach. The results indicate that financial technology stocks, artificial intelligence stocks, and blockchain stocks are net transmitters of spillovers in relation to energy, metal, and agriculture futures. Moreover, the spillover effect is asymmetric, with spillovers triggered by bad news dominating those sourced from good news. Also, risk spillovers are exceedingly intense in the short term in comparison with the medium term and long term. Further dynamic analyses show that the outbreak of the COVID-19 pandemic and the Russia-Ukraine conflict substantially enhanced risk spillovers. Finally, this study finds that economic policy uncertainty has a significantly positive impact on the asymmetric time-frequency spillover effects, indicating its role as a driving factor of spillover effects. These findings have great significance for investors and policymakers.

Suggested Citation

  • Su, Xianfang & Zhao, Yachao, 2025. "Asymmetric time-frequency risk spillovers between the Fourth Industrial Revolution assets and commodity futures: Is economic policy uncertainty a driving factor?," Global Finance Journal, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:glofin:v:64:y:2025:i:c:s1044028325000031
    DOI: 10.1016/j.gfj.2025.101076
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1044028325000031
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.gfj.2025.101076?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:glofin:v:64:y:2025:i:c:s1044028325000031. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620162 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.