On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum

Financial Innovation

Table 10 Correlation matrix between independent variables used in the analysis of efficiency drivers

	FSI	MSCI	FFR	GSCI	GOLD	EPU	VIX	VOL_BTC	VOL_ETH	LIQ_BTC	LIQ_ETH	MFC	AMIM_BTC	AMIM_ETH
FSI	1.000
MSCI	− 0.071	1.000
FFR	− 0.078	0.095	1.000
GSCI	− 0.086	0.353	0.117	1.000
GOLD	0.021	0.138	0.032	0.140
EPU	0.017	0.033	− 0.037	0.028	− 0.005	1.000
VIX	− 0.022	− 0.523	− 0.033	− 0.190	− 0.039	− 0.041	1.000
VOL_BTC	0.069	− 0.241	− 0.001	− 0.058	− 0.069	− 0.034	0.085	1.000
VOL_ETH	0.083	− 0.228	0.000	− 0.071	− 0.069	− 0.008	0.083	0.895	1.000
LIQ_BTC	0.435	− 0.040	− 0.155	− 0.069	− 0.006	0.026	0.027	0.210	0.220	1.000
LIQ_ETH	0.335	− 0.046	− 0.145	− 0.069	− 0.002	0.016	0.031	0.171	0.187	0.930	1.000
MFC	0.014	0.144	0.062	0.104	0.123	0.003	− 0.106	− 0.022	− 0.025	− 0.015	− 0.003	1.000
AMIM_BTC	− 0.355	0.038	− 0.047	0.018	0.003	− 0.023	0.021	0.008	− 0.016	0.133	0.166	0.002	1.000
AMIM_ETH	− 0.304	0.032	− 0.040	0.064	0.035	0.008	0.002	0.042	0.016	0.117	0.145	0.012	0.693	1.000

This table shows the Pearson correlation coefficient between the variables used on the right side of Eq. (7). Financial Stress Indicator (FSI), MSCI world stock market index (MSCI), Fed Fund rates (FFR), GSCI Energy Index (GSCI), Gold Bullion Index (Gold), economic policy uncertainty (EPU), CBOE volatility index (VIX), volatility of the cryptocurrency (VOL), liquidity (LIQ), money flow to cryptocurrencies (MFC), and adjusted market inefficiency magnitude