Table 2 Static Contagion, nine asset classes
From: Exploring Bitcoin dynamics against the backdrop of COVID-19: an investigation of major global events
btc | us | eu | cn | usd | gold | gsci | vix | bond | FROM | |
|---|---|---|---|---|---|---|---|---|---|---|
Panel A: before COVID-19 | ||||||||||
btc | 97.08 | 0.07 | 0.04 | 0.20 | 0.63 | 1.22 | 0.06 | 0.63 | 0.06 | 0.32 |
us | 0.36 | 43.80 | 13.70 | 1.14 | 0.42 | 1.27 | 3.92 | 29.42 | 5.96 | 6.24 |
eu | 0.51 | 17.55 | 50.82 | 5.51 | 0.60 | 0.86 | 5.49 | 16.46 | 2.21 | 5.46 |
cn | 0.22 | 7.15 | 10.95 | 70.31 | 0.83 | 0.23 | 3.96 | 5.45 | 0.90 | 3.30 |
usd | 0.40 | 0.67 | 0.44 | 0.20 | 75.96 | 20.47 | 0.51 | 0.35 | 1.01 | 2.67 |
gold | 0.85 | 1.02 | 1.82 | 0.08 | 17.74 | 66.19 | 0.28 | 0.56 | 11.46 | 3.76 |
gsci | 1.68 | 6.56 | 7.34 | 3.67 | 1.04 | 0.66 | 69.35 | 5.02 | 4.69 | 3.41 |
vix | 0.54 | 30.85 | 12.99 | 0.70 | 0.36 | 0.61 | 3.65 | 45.90 | 4.40 | 6.01 |
bond | 0.13 | 7.90 | 2.77 | 0.34 | 1.48 | 12.44 | 4.40 | 5.30 | 65.24 | 3.86 |
TO | 0.52 | 7.98 | 5.56 | 1.32 | 2.57 | 4.19 | 2.47 | 7.02 | 3.41 | 35.04 |
Panel B: during COVID-19 | ||||||||||
btc | 67.79 | 10.46 | 8.56 | 0.37 | 2.00 | 1.07 | 2.01 | 7.73 | 0.01 | 3.58 |
us | 6.95 | 41.18 | 20.43 | 3.10 | 2.06 | 0.34 | 5.06 | 20.19 | 0.70 | 6.54 |
eu | 5.85 | 23.41 | 46.97 | 3.82 | 1.61 | 0.27 | 5.63 | 11.94 | 0.49 | 5.89 |
cn | 1.08 | 6.89 | 6.09 | 70.34 | 2.29 | 1.54 | 6.00 | 4.41 | 1.37 | 3.30 |
usd | 3.17 | 10.11 | 7.04 | 0.85 | 63.20 | 5.50 | 1.47 | 4.72 | 3.94 | 4.09 |
gold | 1.61 | 0.77 | 0.67 | 1.01 | 6.48 | 78.88 | 3.27 | 0.91 | 6.40 | 2.35 |
gsci | 2.06 | 8.40 | 7.49 | 5.54 | 0.03 | 2.57 | 65.67 | 6.93 | 1.32 | 3.81 |
vix | 5.74 | 25.54 | 11.49 | 1.39 | 1.70 | 0.05 | 5.10 | 48.31 | 0.69 | 5.74 |
bond | 0.72 | 4.17 | 2.80 | 2.21 | 2.44 | 4.87 | 1.75 | 1.61 | 79.43 | 2.29 |
TO | 3.02 | 9.97 | 7.17 | 2.03 | 2.07 | 1.80 | 3.36 | 6.49 | 1.66 | 37.58 |