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Financial Innovation

Table 4 High and low spillover periods for Bitcoin

From: Exploring Bitcoin dynamics against the backdrop of COVID-19: an investigation of major global events

From

Contagion level

To

Contagion level

2020.03.09–2020.08.10

Extremely high

2020.03.12–2020.08.10

Extremely high

2020.08.11–2020.11.27

High

2020.08.31–2020.12.22

High

2021.05.20–2021.05.24

Medium

2021.05.20–2021.05.24

High

2022.01.13–2022.04.30

High

2021.01.21–2022.04.30

High

  1. This table describes the “high” and “extremely high” spillover periods between Bitcoin and other markets. “From” means spillover from other markets to Bitcoin, and “to” means Bitcoin spillovers to other markets. The criteria for “high” and “extremely high” periods are based on the abovementioned risk levels. For “from” spillovers, 0.5 quantile is 25.30%, 0.75 quantile is 42.05%, and 0.9 quantile is 50.84%. For “to” spillovers, 0.5 quantile is 19.08%, 0.75 quantile is 31.03%, and 0.9 quantile is 58.44%
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