Table 8 Definition of the potential drivers of total volatility connectedness among exchanges
From: Heterogeneity in the volatility spillover of cryptocurrencies and exchanges
Category | Variables | Description | |
|---|---|---|---|
Dependent variables | Total_BTC | The total exchange connectedness for BTC | |
Total_ETH | The total exchange connectedness for ETH | ||
Total_LTC | The total exchange connectedness for LTC | ||
Exchanges | Trading volume | VolBF | The BTC’s/ETH’s/LTC’s trading volume in Bitfinex, which excludes coin-to-coin trading |
VolBN | The BTC’s/ETH’s/LTC’s trading volume in Binance, which excludes coin-to-coin trading | ||
VolCB | The BTC’s/ETH’s/LTC’s trading volume in Coinbase, which excludes coin-to-coin trading | ||
VolOE | The BTC’s/ETH’s/LTC’s trading volume in OKEx, which excludes coin-to-coin trading | ||
Network concern | PV_BF | The number of Wikipedia search for the keyword, “Bitfinex” | |
PV_BN | The number of Wikipedia search for the keyword, “Binance” | ||
PV_CB | The number of Wikipedia search for the keyword, “Coinbase” | ||
PV_OE | The number of Wikipedia search for the keyword, “OKEx” and “OKX” | ||
Return | RES_BF_BTC /RES_BF_ETH/RES_BF_LTC | The simple return of BTC/ETH/LTC in Bitfinex | |
RES_BN_BTC/RES_BN_ETH/RES_BN_LTC | The simple return of BTC /ETH/LTC in Binance | ||
RES_CB_BTC/RES_CB_ETH/RES_CB_LTC | The simple return of BTC /ETH/LTC in Coinbase | ||
RES_OE_BTC/RES_OE_ETH/RES_OE_LTC | The simple return of BTC /ETH/LTC in OKEx | ||
Volatility | RV_BF_BTC/RV_BF_ETH/RV_BF_LTC | The realized variance of BTC /ETH/LTC in Bitfinex | |
RV_BN_BTC/RV_BN_ETH/RV_BN_LTC | The realized variance of BTC /ETH/LTC in Binance | ||