Market Risk Connectedness and Tail Risk in the Global High-Bandwidth Memory Oligopoly
Keywords:
Artificial intelligence (AI) semiconductors, High-Bandwidth Memory (HBM), Micron, Samsung Electronics, SK HynixAbstract
High-Bandwidth Memory (HBM) is a critical AI-semiconductor bottleneck concentrated among Micron, Samsung Electronics, and SK Hynix. Using 1,895 aligned daily USD log returns (2018–2025), this study combines asymmetric GARCH, rolling Diebold-Yilmaz connectedness, and 99% Value-at-Risk (VaR) and Expected Shortfall (ES). The five-variable network has a total connectedness index (TCI) of 38.1%, versus 20.0% for the memory-only triad. Contrary to the initial hypothesis, post-AI connectedness falls from about 43% to 39%. HBM suppliers are net receivers—especially SK Hynix—while SOX and NVIDIA transmit risk. The equal-weighted HBM portfolio's tail risk rises in the AI regime but remains below SOX. HBM firms are therefore best interpreted as downstream risk-absorbing nodes with a supplier-specific connectedness component.
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