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Table 9 Time-series averages of cross-sectional correlations

From: Lottery-like preferences and the MAX effect in the cryptocurrency market

 

MAX

MAX(5)

MIN

TVOL

IVOL

VOL

MAX

1

     

MAX(5)

0.9978

1

    

MIN

− 0.0354

0.0107

1

   

TVOL

0.7695

0.7716

− 0.0219

1

  

IVOL

0.7957

0.7525

0.6506

0.9881

1

 

VOL

0.0028

0.0036

0.5538

0.0042

0.0013

1

  1. Table reports the averages of the weekly cross-sectional correlations of the maximum daily return in a month (MAX), the average of the highest five daily returns in a month (MAX(5)), the minimum daily return in a month (MIN), total volatility (TVOL), idiosyncratic volatility (IVOL), and Garman-Klass volatility (VOL)