Dynamic Connectedness Among FinTech, Green Assets, and Global Uncertainty

Abstract

This study investigated the dynamic volatility connectedness among financial technology (FinTech), green indices, and global uncertainty metrics between June 2018 and May 2025. The research was conducted to understand how technological innovation and sustainability indices interact with systemic risk during periods of extreme global stress, such as the COVID-19 pandemic, the Russia–Ukraine conflict, and the market disruptions of early 2025. The analysis employed a time-varying parameter vector autoregression (TVP-VAR) framework to capture time-varying interdependencies and risk spillovers across multiple market regimes. Key findings indicated that total dynamic connectedness intensified significantly during crisis events, with major spikes occurring during the 2020 pandemic onset and the 2025 shocks possibly related to the “DeepSeek” AI disruption and the US tariff announcements. FinTech indices and green assets consistently functioned as net transmitters of shocks, while uncertainty indices, particularly the VIX, served as net recipients. Notably, the Alternative Finance Index (AFI) exhibited regime-dependent behaviour, transitioning from a transmitter to a recipient during the COVID-19 pandemic. These results imply that innovative and sustainable sectors have evolved into systemic drivers of global market sentiment rather than mere recipients of external shocks. The findings provide critical insights for stakeholders in financial markets, helping them to rethink their current approaches and prevent financial losses amid market upheaval.