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Financial Innovation

Table 5 Directional detailed spillovers under regime switching—COVID-19 period (January 1st, 2020–April 1st, 2020)

From: Regime specific spillover across cryptocurrencies and the role of COVID-19

 

BTC

ETH

XRP

LTC

XMR

XLM

DASH

ETC

XEM

DOGE

DCR

LSK

WAVES

MONA

DGB

STEEM

SC

DGD

From

Regime 1 (low volatility)

BTC

76.50

0.29

1.33

0.29

3.26

1.33

1.47

0.84

0.17

1.20

0.35

0.06

3.22

1.13

4.09

3.13

1.05

0.30

23.50

ETH

1.40

50.74

9.29

8.20

1.67

5.12

3.95

2.10

0.59

1.52

0.30

0.84

1.38

0.99

0.17

4.65

1.27

5.81

49.26

XRP

0.84

9.16

50.42

6.98

1.42

10.10

2.18

2.72

3.34

1.17

0.53

0.55

0.68

1.79

0.51

2.89

3.41

1.31

49.58

LTC

0.10

8.07

6.59

50.40

1.51

4.41

6.40

6.98

2.97

2.02

0.30

0.27

0.23

1.83

1.28

2.66

3.78

0.22

49.60

XMR

3.42

2.35

2.18

2.47

78.63

1.62

3.79

1.70

0.62

0.54

0.31

0.01

0.37

0.56

0.46

0.18

0.09

0.69

21.38

XLM

1.14

6.16

12.09

5.06

1.42

56.54

1.47

1.21

0.74

0.79

0.80

0.07

3.82

1.16

0.19

2.85

1.84

2.65

43.46

DASH

1.88

4.90

2.82

7.96

2.77

2.75

62.70

4.56

0.05

4.83

0.06

1.30

0.74

1.92

0.34

0.06

0.19

0.17

37.30

ETC

1.30

3.28

4.08

8.52

1.62

1.09

4.35

60.71

1.88

2.11

1.54

0.53

0.68

2.21

0.56

3.10

2.17

0.26

39.29

XEM

0.02

0.33

3.95

5.24

0.59

0.81

0.05

1.51

61.53

0.90

0.73

0.93

2.80

8.19

0.39

2.73

8.75

0.56

38.47

DOGE

2.23

2.69

1.28

2.97

0.99

0.89

4.60

2.47

1.15

71.68

1.83

4.34

0.17

0.64

0.38

0.69

0.69

0.31

28.32

DCR

0.14

0.32

0.83

0.14

0.62

0.61

0.34

2.38

0.13

2.10

81.31

0.71

3.30

3.90

0.19

1.74

0.22

1.01

18.69

LSK

0.04

1.32

0.53

1.03

0.09

0.95

1.70

0.70

1.09

4.92

0.68

80.53

1.27

0.90

0.62

1.09

2.05

0.48

19.47

WAVES

2.25

1.02

1.75

0.91

1.31

4.83

0.55

0.51

0.78

0.28

2.22

0.71

72.99

2.17

1.03

2.83

2.78

1.09

27.01

MONA

1.66

1.08

2.10

2.39

0.70

1.50

1.52

2.32

8.33

0.85

2.54

0.63

2.02

55.97

0.77

3.68

11.04

0.90

44.03

DGB

5.71

0.26

1.05

1.77

0.95

0.28

0.37

0.82

0.27

0.57

0.08

0.40

1.61

0.83

84.14

0.13

0.20

0.56

15.86

STEEM

1.90

5.52

3.46

2.92

0.18

3.01

0.05

2.41

2.82

0.52

2.40

0.45

2.22

3.19

0.44

58.84

7.61

2.07

41.16

SC

0.44

1.59

3.93

3.51

0.38

1.76

0.25

0.86

7.99

0.56

0.29

1.65

2.15

9.22

0.73

6.39

56.17

2.15

43.83

DGD

0.20

8.15

2.31

0.37

0.46

3.63

0.37

0.17

0.55

0.59

1.08

0.23

0.53

0.46

0.37

2.74

3.48

74.31

25.69

To

24.65

56.50

59.54

60.73

19.94

44.69

33.39

34.28

33.45

25.50

16.05

13.68

27.18

41.09

12.54

41.52

50.64

20.54

Total

Net

1.15

7.24

9.97

11.13

− 1.44

1.22

− 3.91

− 5.01

− 5.02

− 2.82

− 2.64

− 5.79

0.17

− 2.94

− 3.33

0.36

6.81

− 5.15

34.22

Regime 2 (high volatility)

BTC

12.10

5.84

4.38

5.13

0.61

1.80

26.74

0.47

0.49

17.61

3.17

0.87

1.04

9.36

6.29

1.41

2.31

0.40

87.90

ETH

2.88

8.62

7.89

2.29

1.74

3.60

7.49

1.03

1.86

3.93

3.84

0.79

16.44

2.95

2.16

22.35

1.08

9.08

91.38

XRP

6.07

9.32

10.68

3.89

0.93

5.16

14.60

0.80

0.96

18.57

1.31

1.44

8.15

8.91

4.88

2.52

1.40

0.41

89.33

LTC

11.76

4.79

3.47

5.72

0.57

1.51

27.43

0.48

0.79

15.69

3.76

0.69

1.05

8.84

6.09

3.44

2.68

1.23

94.28

XMR

4.80

4.21

3.74

3.26

1.82

1.99

12.54

1.19

1.30

6.43

4.96

0.74

3.96

5.40

4.39

26.82

0.85

11.58

98.18

XLM

9.21

6.98

6.20

4.24

0.96

3.29

19.89

0.67

0.64

16.80

2.67

1.00

3.04

8.96

5.36

6.01

1.67

2.43

96.71

DASH

12.19

5.57

3.83

5.13

0.57

1.55

28.63

0.38

0.49

17.61

3.33

0.76

0.74

9.50

6.51

0.46

2.44

0.31

71.37

ETC

7.32

8.05

7.57

3.85

0.92

3.15

17.26

3.91

0.28

18.30

1.88

1.24

5.47

7.19

5.75

4.14

1.05

2.69

96.09

XEM

4.57

2.45

2.99

3.44

1.06

3.73

15.97

1.87

7.01

3.20

4.11

3.85

6.42

10.71

3.36

14.45

3.51

7.30

92.99

DOGE

9.03

1.81

4.28

4.50

0.67

2.13

18.28

1.69

2.34

11.06

5.53

1.20

3.22

7.54

3.98

16.44

2.65

3.65

88.94

DCR

8.59

3.15

3.15

4.32

0.67

1.64

18.97

1.09

1.47

7.81

6.27

0.73

3.01

5.22

5.02

19.44

2.00

7.44

93.73

LSK

11.39

1.14

1.59

4.10

0.43

1.26

30.80

0.65

2.96

6.36

5.31

2.06

6.44

9.94

4.53

6.15

3.68

1.21

97.94

WAVES

13.57

2.35

1.42

4.96

0.32

0.81

32.60

0.29

1.22

10.98

5.18

0.48

3.75

8.47

5.68

4.12

3.33

0.48

96.25

MONA

12.76

4.23

2.64

4.90

0.60

1.07

29.84

0.40

1.09

15.47

3.77

0.71

1.01

10.17

6.01

1.64

2.97

0.73

89.83

DGB

7.71

3.83

3.66

4.45

0.65

3.60

18.74

1.08

3.09

9.65

4.68

2.12

3.11

11.75

6.19

10.28

2.91

2.50

93.81

STEEM

6.70

3.86

6.82

3.94

1.49

4.04

12.43

0.72

1.34

9.00

4.81

1.52

4.04

6.34

5.47

23.64

1.15

2.70

76.37

SC

10.47

6.17

4.88

5.20

0.72

2.35

24.65

0.64

0.72

17.53

3.08

1.18

1.69

9.19

6.12

0.92

3.77

0.70

96.23

DGD

12.12

3.32

2.27

4.96

0.62

1.22

29.40

0.39

1.08

12.92

4.51

0.54

1.17

9.05

5.95

5.63

2.81

2.04

97.96

To

151.12

77.07

70.78

72.56

13.55

40.61

357.63

13.84

22.11

207.85

65.90

19.87

70.00

139.30

87.55

146.21

38.47

54.85

Total

Net

63.22

− 14.31

− 18.54

− 21.72

− 84.63

− 56.10

286.26

− 82.25

− 70.87

118.91

− 27.83

− 78.07

− 26.24

49.47

− 6.26

69.84

− 57.75

− 43.11

91.63

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