标题： 人工智能 ETF、人工智能代币和绿色市场之间的动态溢出效应与投资策略 显示英文标题

标题： Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets

摘要： 本文利用R²分解法研究了人工智能（AI）ETF、AI代币与绿色市场之间的风险溢出效应。 我们揭示了几个关键见解。 首先，总体传递连接性指数（TCI）与同期TCI紧密相关，而滞后TCI显著较低。 其次，AI ETF和清洁能源充当风险传播者，而AI代币和绿色债券则充当风险接收者。 第三，与AI ETF和绿色资产相比，AI代币难以对冲且提供有限的对冲能力。 然而，多元投资组合有效降低了AI代币的投资风险。 其中，最小相关性投资组合的表现优于最小方差和最小连接性投资组合。 显示英文摘要

摘要： This paper investigates the risk spillovers among AI ETFs, AI tokens, and green markets using the R2 decomposition method. We reveal several key insights. First, the overall transmission connectedness index (TCI) closely aligns with the contemporaneous TCI, while the lagged TCI is significantly lower. Second, AI ETFs and clean energy act as risk transmitters, whereas AI tokens and green bond function as risk receivers. Third, AI tokens are difficult to hedge and provide limited hedging ability compared to AI ETFs and green assets. However, multivariate portfolios effectively reduce AI tokens investment risk. Among them, the minimum correlation portfolio outperforms the minimum variance and minimum connectedness portfolios.