Fig. 2

DY Spillover—without Regime Switching. Notes: This network graph illustrates the degree of total connectedness in a system that consists of the 18 cryptocurrencies over the full sample period. Total connectedness is measured using the Diebold–Yilmaz framework. The size of the node shows the magnitude of the contribution of each variable to system connectedness, while the colour indicates the origin of connectedness. In particular, red implies a contribution from the variable under consideration to the other variables of the system and green means a contribution from the other variables to the variable under analysis. The colour and thickness of edges refers to the strength of the connectedness. Specifically, arrows in red full lines indicate that the magnitude of the connectedness is greater than 10%, arrows in green dashed lines imply that the strength of the connectedness is between 5 and 10%, blue dotted lines are associated with connectedness between 1 and 5%. Finally, connectedness lower than the 1% is not reported to preserve clarity in the figure