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Table 2 Volatility spillover index Bitcoin markets and foreign exchange pairs denominated in major trading currencies

From: Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets

 

USD:BTC

EUR:BTC

JPY:BTC

BPS:BTC

AUD:BTC

CAD:BTC

EUR:USD

JPY:USD

BPS:USD

AUD:USD

CAD:USD

USD:BTC

63.508

0.003

14.031

8.245

11.378

1.902

0.110

0.070

0.039

0.014

0.018

EUR:BTC

0.137

98.407

0.063

0.056

0.060

0.011

0.110

0.082

0.040

0.042

0.178

JPY:BTC

15.207

0.009

63.980

7.038

10.278

1.657

0.025

0.067

0.001

0.191

0.339

BPS:BTC

7.158

0.006

5.061

41.111

38.873

5.999

0.112

0.088

0.160

0.046

0.034

AUD:BTC

9.098

0.007

9.089

36.696

38.546

5.733

0.092

0.091

0.051

0.020

0.012

CAD:BTC

3.161

0.002

3.088

10.549

10.678

71.565

0.018

0.023

0.075

0.167

0.065

EUR:USD

0.063

0.058

0.010

0.065

0.054

0.016

39.846

6.947

10.750

6.787

3.215

JPY:USD

0.039

0.122

0.089

0.069

0.063

0.008

6.150

35.454

1.137

2.424

0.245

BPS:USD

0.021

0.051

0.009

0.171

0.073

0.025

8.535

1.124

33.555

5.108

4.071

AUD:USD

0.026

0.049

0.207

0.040

0.009

0.020

5.363

2.340

5.507

31.928

13.155

CAD:USD

0.038

0.162

0.190

0.022

0.005

0.004

2.118

0.140

3.798

12.324

30.829

JPY:EUR

0.068

0.007

0.030

0.003

0.001

0.007

7.628

7.833

5.171

1.370

1.702

BPS:EUR

0.017

0.034

0.027

0.049

0.024

0.006

4.333

2.684

8.280

0.062

0.346

AUD:EUR

0.011

0.006

0.167

0.139

0.027

0.026

4.353

0.930

0.117

8.716

3.699

CAD:EUR

0.012

0.087

0.134

0.104

0.041

0.008

6.672

3.214

0.480

0.581

8.789

BPS:JPY

0.048

0.094

0.040

0.012

0.007

0.003

0.310

8.135

12.541

0.532

1.316

AUD:JPY

0.030

0.002

0.152

0.062

0.014

0.017

0.188

6.885

1.483

10.183

5.644

CAD:JPY

0.031

0.041

0.154

0.040

0.019

0.009

0.271

10.649

0.650

1.618

9.815

AUD:BPS

0.033

0.088

0.139

0.279

0.066

0.044

0.110

0.139

7.577

8.772

2.114

CAD:BPS

0.041

0.215

0.091

0.183

0.041

0.014

1.429

0.513

9.811

0.766

7.681

CAD:AUD

0.030

0.030

0.028

0.012

0.021

0.024

1.342

1.489

0.209

7.753

2.488

Contribution to others

35.269

1.073

32.799

63.833

71.732

15.533

49.270

53.442

67.879

67.477

64.926

Contribution including own

98.777

99.481

96.779

104.944

110.278

87.098

89.116

88.896

101.434

99.405

95.755

 

JPY:EUR

BPS:EUR

AUD:EUR

CAD:EUR

BPS:JPY

AUD:JPY

CAD:JPY

AUD:BPS

CAD:BPS

CAD:AUD

From others

USD:BTC

0.124

0.031

0.110

0.028

0.135

0.073

0.056

0.017

0.039

0.068

36.492

EUR:BTC

0.038

0.025

0.017

0.202

0.095

0.004

0.108

0.086

0.198

0.041

1.593

JPY:BTC

0.027

0.013

0.109

0.221

0.044

0.136

0.248

0.125

0.254

0.030

36.020

BPS:BTC

0.014

0.066

0.339

0.194

0.041

0.129

0.085

0.277

0.198

0.009

58.889

AUD:BTC

0.008

0.042

0.169

0.088

0.037

0.075

0.053

0.049

0.037

0.008

61.454

CAD:BTC

0.026

0.034

0.203

0.060

0.017

0.093

0.022

0.096

0.037

0.024

28.435

EUR:USD

8.971

5.071

5.545

9.234

0.487

0.285

0.242

0.074

1.385

0.896

60.155

JPY:USD

7.785

2.939

1.205

3.927

11.715

9.636

15.280

0.274

0.525

0.914

64.546

BPS:USD

4.425

6.829

0.216

0.545

14.473

1.595

0.816

8.147

9.896

0.317

66.445

AUD:USD

1.255

0.001

9.208

0.686

0.669

12.842

2.213

9.226

0.819

4.439

68.072

CAD:USD

1.381

0.594

4.065

10.787

1.589

6.895

13.092

2.178

8.289

1.499

69.171

JPY:EUR

34.109

0.891

2.401

1.769

15.403

11.013

9.352

0.670

0.536

0.037

65.891

BPS:EUR

0.884

39.476

5.917

7.229

13.184

1.247

3.062

7.618

4.379

1.140

60.524

AUD:EUR

2.252

5.339

30.027

13.678

0.133

10.717

4.376

10.219

3.714

1.355

69.973

CAD:EUR

1.497

6.107

12.674

27.528

0.504

3.564

12.311

1.858

10.658

3.176

72.472

BPS:JPY

11.068

9.457

0.110

0.403

26.872

8.088

9.293

6.646

4.618

0.406

73.128

AUD:JPY

7.866

1.260

9.206

3.322

8.371

25.128

13.887

4.264

1.131

0.904

74.873

CAD:JPY

6.117

2.573

3.722

11.033

8.874

13.029

23.731

0.434

4.881

2.310

76.269

AUD:BPS

0.587

5.355

10.599

2.112

7.229

5.292

0.528

31.527

14.084

3.325

68.473

CAD:BPS

0.569

2.655

4.203

12.350

4.878

1.459

6.310

13.998

30.912

1.881

69.088

CAD:AUD

0.068

1.949

2.289

6.851

0.568

2.160

5.118

6.008

3.576

57.988

42.012

Contribution to others

54.962

51.228

72.309

84.718

88.445

88.332

96.451

72.264

69.252

22.779

1223.970

Contribution including own

89.071

90.704

102.336

112.246

115.317

113.460

120.183

103.791

100.164

80.767

58.3%