Connectedness Among Technology Stocks duringBear and Bull Market Phases

This paper examines the spillover effects among main technology stocks (&P Kensho Artificial Intelligence (AI), S&P Kensho Cleantech (Cleantech), S&P Kensho Space (Space), S&P Kensho Smart Factories (Smart-Fact), S&P Kensho Enterprise Collaboration (Ent-Collabor), S&P Kensho Robotics (Robotics), S&P Kensho Autonomous Vehicles (Auto-Vehc), S&P Kensho Digital Communities (Dig-Comm), S&P Kensho Alternative Finance (Alt-Fin).) during bear and bull market modes and at both short and long terms. To do so, we use the relatively new quantile VAR model. The results show that the total spillover is dynamic and crisis sensitive. Moreover, the short-term spillover is stronger that the long-term spillover during bear, normal, and bull market scenarios. Furthermore, the short-term (long-term) spillover is higher during bull (bear) market conditions. AI and Smart-Fact stocks (Space stock) are (is) net shock receivers (transmitters) under different market scenarios and time horizons. For the remaining stocks, their role as a net shock receiver/transmitter is sensitive to the market modes and time investment horizons.