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Financial Innovation

Table 4 Granger causality on market capitalizations

From: On the role of stablecoins in cryptoasset pricing dynamics

Hypothesis (\(H_0\))

Short-term

Long-term

(df = [2, 1941])

(df = [4, 1938])

F-stat

p value

F-stat

p value

Bitcoin does not G-cause stablecoins

1.7818

0.1686

2.7213

0.0282

Altcoins do not G-cause stablecoins

2.1937

0.1118

1.0928

0.3584

Stablecoins do not G-cause Bitcoin

3.0146

0.0493

1.5559

0.1835

Altcoins do not G-cause Bitcoin

4.5221

0.0110

2.6620

0.0311

Stablecoins do not G-cause altcoins

3.6879

0.0252

2.2342

0.0631

Bitcoin does not G-cause altcoins

1.2256

0.2938

1.1036

0.3532

  1. The short-term Granger causality testing statistic is based on the joint significance of the VAR components in the VECM model. The long-term causality testing statistic is based on the joint significance of the VAR components in the nonstationary VAR on the system of original (logarithmic) series, according to Toda and Yamamoto (1995)
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