Table 7 Independent variables of total spillovers
From: Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
Independent Variables | Description |
|---|---|
RES | Simple return, which is estimated in \(100\% \times [(P_{t} - P_{t - 1} )/P_{t - 1} ]\) |
Vol | Cryptocurrency’s trading volume in one exchange, which excludes coin-to-coin trading |
PV | The Wikipedia search for the keyword of corresponding cryptocurrency or exchange, which is collected from https://pageviews.wmcloud.org/ |
MSCI_World | The Morgan Stanley Capital International World (MSCI_World) index is collected from https://www.msci.com/. This illustrates the large- and mid-cap stock performance across developed-market countries |
SP500 | The S&P500 index, which is collected from https://www.spglobal.com/spdji/en/indices/equity/sp-500/#overview |
LBMA Gold | The LBMA Gold price set at 10:30 in US dollars per fine troy ounce, which is collected from https://www.lbma.org.uk/prices-and-data/precious-metal-prices#/ |
GEPU | The Global Economic Policy Uncertainty index based on PPP-Adjusted GDP, which is collected from http://www.policyuncertainty.com/global_monthly.html |
ElePrice | The average retail price of electricity of all sections in USA, which is collected from https://www.eia.gov/electricity/data/browser/ |