Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

Hanif, Waqas; Ko, Hee-Un; Pham, Linh; Kang, Sang Hoon

doi:10.1186/s40854-023-00474-6

Financial Innovation

Table 2 Realized estimates connectedness table

From: Dynamic connectedness and network in the high moments of cryptocurrency, stock, and commodity markets

	BTC	ETH	EURO STOXX 50	FTSE100	NIKKEI 225	SP500	Brent	Gold	FROM
Panel A: realized volatility
BTC	36.47	30.84	5.99	6.31	7.27	6.04	3.15	3.93	63.53
ETH	28.96	37.66	5.15	6.12	8.37	6.74	3.26	3.74	62.34
EURO STOXX50	2.46	2.56	25.54	22.79	13.36	16.28	10.49	6.52	74.46
FTSE100	2.54	2.85	19.58	25.46	14.07	18.55	10.22	6.73	74.54
NIKKEI225	2.78	3.1	15.81	18.16	28.08	15.01	9.67	7.38	71.92
SP500	2.58	3.51	17.39	21.98	14.6	25.9	8.13	5.91	74.1
Brent	2.96	3.51	15.33	15.61	8.87	9.84	36.88	6.99	63.12
Gold	4.41	4.25	10	11.6	8.2	8.04	7.1	46.41	53.59
TO	46.69	50.63	89.25	102.5	74.74	80.51	52.03	41.19	537.6
Own	83.16	88.29	114.7	128.0	102.82	106.41	88.91	87.6	TCI
NET	− 16.84	− 11.71	14.78	28.03	2.82	6.41	− 11.09	− 12.4	67.20
Panel B: TBPV jumps
BTC	37.43	31.58	5.52	5.4	6.72	5.65	3.5	4.2	62.57
ETH	30.08	38.98	5.15	4.96	7.06	6.31	3.08	4.37	61.02
EURO STOXX50	2.73	2.91	23.92	21.09	13.96	17.59	9.92	7.9	76.08
FTSE100	2.94	3.24	21.17	22.68	14.19	17.86	10.26	7.67	77.32
NIKKEI225	3.32	3.37	17.07	16.76	25.49	15.69	10.27	8.04	74.51
SP500	2.77	3.72	19.1	19.51	14.39	24.85	8.62	7.04	75.15
Brent	2.75	2.89	14.18	14.43	10.93	10.31	36.35	8.16	63.65
Gold	5.12	4.51	10.52	10.01	7.75	7.98	6.74	47.36	52.64
TO	49.72	52.22	92.71	92.15	74.99	81.39	52.39	47.37	542.95
Own	87.15	91.2	116.63	114.83	100.48	106.24	88.74	94.73	TCI
NET	− 12.85	− 8.8	16.63	14.83	0.48	6.24	− 11.26	− 5.27	67.87
Panel C: realized skewness
BTC	70.26	24.31	0.9	1.15	0.59	1.11	0.89	0.78	29.74
ETH	23.23	70.96	1.13	1.31	0.9	1.27	0.28	0.91	29.04
EURO STOXX50	0.78	0.93	60.39	14.51	9.22	11.73	0.31	2.12	39.61
FTSE100	0.73	0.75	7.98	51.26	13.5	24.43	0.14	1.22	48.74
NIKKEI225	0.42	0.72	3.76	13.73	55.11	23.16	0.15	2.95	44.89
SP500	0.79	1.11	5.55	22.37	20.61	47.27	0.1	2.21	52.73
Brent	1.65	1.61	2.5	5.39	4.23	3.7	78.59	2.35	21.41
Gold	0.98	0.91	1.56	1.93	4.3	3.88	0.24	86.2	13.8
TO	28.58	30.34	23.37	60.39	53.36	69.29	2.12	12.53	279.98
Own	98.83	101.29	83.76	111.65	108.47	116.55	80.71	98.74	TCI
NET	− 1.17	1.29	− 16.24	11.65	8.47	16.55	− 19.29	− 1.26	35.00
Panel D: realized kurtosis
BTC	57.22	26.31	2.92	2.77	3.44	1.92	2.45	2.95	42.78
ETH	25.49	54.47	2.94	3.9	4.49	2.46	2.52	3.72	45.53
EURO STOXX50	4.41	4.26	56.62	7.9	6.83	6.47	5.09	8.42	43.38
FTSE100	2.49	3.08	5.71	48.36	12.03	17.54	3.53	7.26	51.64
NIKKEI225	3.15	2.82	3.62	9.08	48.44	18.89	4.77	9.24	51.56
SP500	2.14	2.16	3.77	11.83	13.75	46.55	6.5	13.3	53.45
Brent	3.1	3.13	5.24	4.47	5.51	4.33	70.43	3.79	29.57
Gold	3.95	4.14	4.94	7.17	10.56	11.08	6.24	51.92	48.08
TO	44.73	45.9	29.15	47.13	56.61	62.69	31.1	48.68	365.98
Own	101.95	100.37	85.78	95.49	105.04	109.24	101.53	100.6	TCI
NET	1.95	0.37	− 14.22	− 4.51	5.04	9.24	1.53	0.6	45.75

The column “FROM” indicates the total connectedness received by the market i from other variables in the whole system. The row “TO” indicates the total connectedness transmitted by the market i to the whole system, excluding itself. The row “Own” indicates the total connectedness transmitted by the market i to the system, including itself. The row “NET” shows the net connectedness of each market. “TCI” indicates the value of the total connectedness index. Each cell corresponds to the spillover from the column variable to the row variable

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