Table 6 Determinants of the Ethereum market’s efficiency

Constant

C

− 0.1566***

− 0.5283***

− 0.3663***

− 0.2735***

− 0.1724***

− 0.1262***

− 0.0589***

0.0206

0.0963***

0.2036***

(0.0175)

(0.0341)

(0.0223)

(0.0257)

(0.0182)

(0.0169)

(0.0201)

(0.0202)

(0.0198)

(0.0288)

Global financial and monetary policy

FSI

− 0.0626***

− 0.1305***

− 0.0955***

− 0.0737***

− 0.0574***

− 0.0530***

− 0.0473***

− 0.0456***

− 0.0444***

− 0.0446***

(0.0036)

(0.0126)

(0.0074)

(0.0103)

(0.0045)

(0.0038)

(0.0036)

(0.0036)

(0.0039)

(0.0074)

MSCI

− 0.0041

− 0.0595**

− 0.0245

− 0.0028

− 0.0008

− 0.0013

− 0.0003

0.0005

0.0028

0.0056

(0.0081)

(0.0279)

(0.0198)

(0.0234)

(0.0132)

(0.0112)

(0.0068)

(0.0063)

(0.0067)

(0.0062)

FFR

− 1.5e−03

− 4.2e−03

− 1.7e−03

1.8e−04

− 2.4e−04

− 2.0e−05

− 1.8e−04

− 5.0e−05

− 5.8e−04

− 8.1e−04*

(9.3e−04)

(3.4e−03)

(2.2e−03)

(1.7e−03)

(1.5e−03)

(5.2e−04)

(3.9e−04)

(3.6e−04)

(4.0e−04)

(4.8e−04)

Investment substitutes

GSCI

0.0042

0.0120

0.0149*

0.0086

0.0021

0.0043

0.0027

− 0.0005

− 0.0005

− 0.0003

(0.0030)

(0.0136)

(0.0077)

(0.0058)

(0.0039)

(0.0038)

(0.0032)

(0.0019)

(0.0014)

(0.0013)

GOLD

0.0140*

0.0333

0.0110

0.0150

0.0139*

0.0158**

0.0086

0.0041

0.0089

0.0037

(0.0078)

(0.0209)

(0.0113)

(0.0111)

(0.0073)

(0.0069)

(0.0075)

(0.0076)

(0.0061)

(0.0046)

Uncertainty factors

EPU

5.3e−05

− 5.2e−05

7.0e−05

1.4e−04

7.2e−05

1.0e−06

− 3.0e−05

− 3.9e−05

− 1.9e−04

− 3.6e−05

(1.5e−04)

(2.2e−04)

(1.4e−04)

(1.4e−04)

(1.3e−04)

(1.4e−04)

(1.5e−04)

(1.5e−04)

(1.4e−04)

(1.8e−04)

VIX

− 9.2e−04

− 8.4e−03*

1.0e−03

1.2e−03

3.8e−04

− 3.5e−04

− 8.7e−04

− 9.2e−04

4.4e−04

3.1e−04

(1.7e−03)

(4.8e−03)

(3.4e−03)

(2.8e−03)

(2.2e−03)

(1.9e−03)

(1.6e−03)

(1.5e−03)

(1.4e−03)

(9.2e−04)

Internal factors

VOL

− 2.9e−06**

2.5e−04

1.7e−04***

4.2e−05

− 6.7e−05

− 1.2e−04**

− 8.8e−05

− 4.2e−05

8.3e−05

1.9e−05

(6.6e−05)

(1.6e−04)

(4.7e−05)

(7.1e−05)

(5.0e−05)

(4.5e−05)

(2.1e−04)

(1.3e−04)

(2.7e−04)

(1.4e−04)

LIQ

0.4044***

− 0.0244

0.1181*

0.3279***

0.4172***

0.4742***

0.4991***

0.5035***

0.5260***

0.4743***

(0.0339)

(0.0694)

(0.0633)

(0.1028)

(0.0520)

(0.0475)

(0.0415)

(0.0430)

(0.0611)

(0.1282)

MFC

2.1e−04

3.5e−04

2.1e−04

2.7e−04

− 3.7e−05

− 1.4e−04

− 2.1e−05

− 3.7e−04

3.4e−04

− 4.0e−04

(6.0e−04)

(1.1e−03)

(6.4e−04)

(6.0e−04)

(5.5e−04)

(5.2e−04)

(5.0e−04)

(5.3e−04)

(5.7e−04)

(5.8e−04)

COVID-19 factor

COVID-19

0.1259***

0.1349***

0.1793***

0.1811***

0.1565***

0.1594***

0.1338***

0.0844***

0.0443***

− 0.0016

(0.0158)

(0.0301)

(0.0186)

(0.0205)

(0.0144)

(0.0137)

(0.0140)

(0.0168)

(0.0168)

(0.0274)