The contagion effect of artificial intelligence across innovative industries: From blockchain and metaverse to cleantech and beyond

Abstract

Artificial Intelligence (AI) emerges as a transformative power reshaping numerous realms, including business, technology, and scientific inquiry. Despite its widespread influence, the depth of AI’s impact on innovation-driven industries has not been thoroughly investigated. This study aims to bridge that gap by examining the synergies between AI and pioneering sectors such as cryptocurrency, blockchain, the metaverse, democratized banking, and Cleantech. Using advanced econometric techniques, namely the conditional autoregressive value-at-risk (CAViaR) and time-varying parameters vector autoregressions (TVP-VAR), we meticulously analyze daily data ranging from June 1, 2018, to October 11, 2023. This dataset encompasses 12 stock indices, each symbolizing a particular industry. Our research reveals a pronounced contagion effect from AI to other sectors pivotal for innovation, with the notable exception of Cleantech, which appears to chart an independent course from AI’s pervasive influence. Intriguingly, democratized banking and the metaverse stand out as key recipients of this contagion effect. Further scrutiny of risk spillovers positions AI as a dominant risk transmitter in times of market volatility, whereas cryptocurrency and blockchain sectors persist as net receivers of risk throughout the examined timeframe.

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ORCID for Larisa Yarovaya: orcid.org/0000-0002-9638-2917

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