From: On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum
 | FSI | MSCI | FFR | GSCI | GOLD | EPU | VIX | VOL_BTC | VOL_ETH | LIQ_BTC | LIQ_ETH | MFC | AMIM_BTC | AMIM_ETH |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FSI | 1.000 | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â |
MSCI | − 0.071 | 1.000 |  |  |  |  |  |  |  |  |  |  |  |  |
FFR | − 0.078 | 0.095 | 1.000 |  |  |  |  |  |  |  |  |  |  |  |
GSCI | − 0.086 | 0.353 | 0.117 | 1.000 |  |  |  |  |  |  |  |  |  |  |
GOLD | 0.021 | 0.138 | 0.032 | 0.140 | Â | Â | Â | Â | Â | Â | Â | Â | Â | Â |
EPU | 0.017 | 0.033 | − 0.037 | 0.028 | − 0.005 | 1.000 |  |  |  |  |  |  |  |  |
VIX | − 0.022 | − 0.523 | − 0.033 | − 0.190 | − 0.039 | − 0.041 | 1.000 |  |  |  |  |  |  |  |
VOL_BTC | 0.069 | − 0.241 | − 0.001 | − 0.058 | − 0.069 | − 0.034 | 0.085 | 1.000 |  |  |  |  |  |  |
VOL_ETH | 0.083 | − 0.228 | 0.000 | − 0.071 | − 0.069 | − 0.008 | 0.083 | 0.895 | 1.000 |  |  |  |  |  |
LIQ_BTC | 0.435 | − 0.040 | − 0.155 | − 0.069 | − 0.006 | 0.026 | 0.027 | 0.210 | 0.220 | 1.000 |  |  |  |  |
LIQ_ETH | 0.335 | − 0.046 | − 0.145 | − 0.069 | − 0.002 | 0.016 | 0.031 | 0.171 | 0.187 | 0.930 | 1.000 |  |  |  |
MFC | 0.014 | 0.144 | 0.062 | 0.104 | 0.123 | 0.003 | − 0.106 | − 0.022 | − 0.025 | − 0.015 | − 0.003 | 1.000 |  |  |
AMIM_BTC | − 0.355 | 0.038 | − 0.047 | 0.018 | 0.003 | − 0.023 | 0.021 | 0.008 | − 0.016 | 0.133 | 0.166 | 0.002 | 1.000 |  |
AMIM_ETH | − 0.304 | 0.032 | − 0.040 | 0.064 | 0.035 | 0.008 | 0.002 | 0.042 | 0.016 | 0.117 | 0.145 | 0.012 | 0.693 | 1.000 |