Fig. 2

Cryptocurrency volatility connectedness network for 4 exchanges based on Diebold and Yilmaz (2012). Notes: This figure shows the cryptocurrency volatility connectedness network for 4 exchanges in the time domain. The red node in a network denotes the net emitter, which indicates that the value of net total directional connectedness is positive. The green node in a network denotes the net receiver, which means the net total directional connectedness is negative. The size of the node represents the magnitude of a net emitter to other cryptocurrencies or a net receiver from the others. The thickness of the directional arrows denotes the magnitude of the net pairwise directional volatility connectedness. The thicker the arrow, the stronger the volatility spillover. These NET indexes are measured in Table 3 based on Sect. “Connectedness measures”. The net pairwise directional connectedness is defined as Eq. (8), which can illustrate the net spillover direction between two coins