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

Shahzad, Syed Jawad Hussain; Bouri, Elie; Kang, Sang Hoon; Saeed, Tareq

doi:10.1186/s40854-020-00210-4

Financial Innovation

Table 3 Directional spillovers under single normal regime—full sample

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
BTC	82.23	1.32	0.49	2.68	1.14	0.77	1.01	0.39	1.39	0.17	0.56	0.84	0.10	1.72	1.51	0.42	2.72	0.55	17.77
ETH	0.56	69.40	0.68	3.30	3.84	1.09	5.16	3.59	2.16	0.24	0.68	1.68	0.88	0.34	0.42	0.11	1.30	4.57	30.60
XRP	0.48	0.69	74.50	2.10	0.67	15.03	0.25	0.15	1.28	2.89	0.05	0.07	0.24	0.12	0.69	0.38	0.25	0.17	25.50
LTC	2.55	3.62	1.59	72.22	2.14	1.44	2.51	3.82	1.65	2.55	0.71	0.83	0.34	0.60	0.48	0.15	1.11	1.70	27.78
XMR	1.57	3.99	1.05	2.14	72.24	3.15	7.24	0.75	1.13	0.20	0.62	0.90	1.22	0.52	0.78	0.54	0.80	1.15	27.77
XLM	0.66	0.76	13.56	1.10	2.24	68.95	0.10	0.35	2.21	3.43	0.16	0.40	0.33	0.07	2.35	1.41	1.62	0.27	31.05
DASH	0.75	4.95	0.22	2.56	7.05	0.13	70.45	3.06	1.55	0.12	2.38	2.59	0.50	0.72	0.32	0.67	1.25	0.74	29.55
ETC	0.34	3.62	0.22	4.07	0.68	0.70	2.65	80.37	0.84	0.80	0.28	2.05	0.03	0.31	0.12	0.14	1.45	1.32	19.64
XEM	0.96	2.45	1.47	1.61	1.38	2.52	1.62	1.08	76.30	0.78	0.92	3.31	0.37	0.91	0.41	1.67	1.26	0.96	23.70
DOGE	0.02	0.30	2.93	2.74	0.22	4.13	0.33	0.73	0.77	77.20	0.12	0.43	0.03	0.01	3.88	0.67	5.30	0.19	22.80
DCR	0.05	0.57	0.06	0.87	0.61	0.18	3.28	0.04	1.15	0.11	85.06	1.05	0.64	0.53	1.25	1.86	2.30	0.40	14.94
LSK	0.38	1.86	0.25	0.79	1.30	0.64	2.93	2.06	2.92	0.29	0.94	76.65	2.17	1.00	0.43	1.18	2.45	1.75	23.35
WAVES	0.10	1.02	0.07	0.60	1.16	0.51	0.44	0.07	0.42	0.07	0.70	2.48	89.02	0.01	0.82	0.76	1.31	0.44	10.98
MONA	0.34	0.51	0.13	0.76	0.59	0.10	0.96	0.42	0.98	0.05	0.46	0.94	0.02	92.56	0.09	0.32	0.36	0.41	7.44
DGB	0.70	0.11	1.78	0.41	0.22	3.13	0.10	0.09	0.32	3.23	1.61	0.49	0.67	0.16	74.30	0.71	11.72	0.25	25.70
STEEM	0.09	0.17	0.46	0.14	0.70	3.14	0.94	0.28	1.02	0.40	1.90	1.23	0.76	0.31	1.04	86.27	0.97	0.17	13.73
SC	0.59	1.26	0.13	0.56	0.59	1.72	1.15	1.04	1.16	4.71	1.47	2.20	0.72	0.59	11.36	1.02	69.13	0.59	30.87
DGD	0.50	5.42	0.22	2.10	1.30	0.31	1.03	1.39	0.83	0.01	0.43	1.83	0.27	0.49	0.12	0.12	0.57	83.07	16.93
To	10.65	32.64	25.32	28.53	25.82	38.69	31.73	19.32	21.79	20.05	13.99	23.32	9.29	8.40	26.05	12.14	36.73	15.63	Total
Net	− 7.12	2.04	− 0.18	0.75	− 1.94	7.64	2.19	− 0.31	− 1.92	− 2.75	− 0.96	− 0.03	− 1.69	0.97	0.34	− 1.59	5.86	− 1.30	22.23

This table shows connectedness across the cryptocurrencies computed using the approach of Diebold and Yilmaz (2012). “To” and “From” mean direction spillover to and from other markets to a specific currency. “Net” is the difference between “To” and “From”. A currency is a receiver if “Net” is negative and a transmitter of spillover if “Net” is positive

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