Uncovering Dynamic Connectedness of Artificial Intelligence Stocks with Agri-Commodity Market in Wake of COVID-19 and Russia-Ukraine Invasion

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 & Krehlic (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.