Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications

Mensi, Waild; Gubareva, Mariya; Al-Yahyaee, Khamis Hamed; Teplova, Tamara; Kang, Sang Hoon

doi:10.1186/s40854-023-00586-z

Financial Innovation

Table 2 The quantile connectedness table

From: Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications

	BCH	BTC	ETH	LTC	XRP	THETA	TEZOS	ENJIN	FROM
Panel A: Lower quantile \(\left(q=0.05\right)\)
BCH	16.24	13.15	12.32	13.56	12.21	10.52	11.13	10.86	83.76
BTC	13.44	15.46	12.67	13.2	12.03	10.64	11.46	11.08	84.54
ETH	12.99	13	14.65	13.38	12.36	10.84	11.7	11.08	85.35
LTC	13.65	13.15	12.71	15.26	12.2	10.84	11.18	11	84.74
XRP	13.19	12.5	12.22	12.82	15.39	10.72	11.92	11.24	84.61
THETA	12.01	11.97	12.14	12.22	11.59	16.55	11.64	11.89	83.45
TEZOS	12.57	12.36	12.11	12.46	12.04	11.05	15.8	11.61	84.2
ENJIN	12.23	11.96	12.04	12.06	11.65	11.67	12	16.4	83.6
TO	90.09	88.07	86.21	89.72	84.08	76.29	81.03	78.77	674.26
ALL	106.32	103.54	100.86	104.98	99.47	92.84	96.82	95.17	TCI
NET	6.32	3.54	0.86	4.98	− 0.53	− 7.16	− 3.18	− 4.83	84.28
Panel B: Median quantile \(\left(q=0.5\right)\)
BCH	21.93	13.33	14.33	15.68	11.65	7.03	9.66	6.39	78.07
BTC	14.1	22.73	15.54	14.72	10.49	6.79	8.98	6.66	77.27
ETH	13.87	14.3	21.05	14.66	11.68	6.99	9.92	7.53	78.95
LTC	15.47	13.78	14.84	21.18	11.72	7.03	9.25	6.74	78.82
XRP	13.13	11.16	13.5	13.34	25.42	6.61	9.95	6.89	74.58
THETA	9.96	9.06	10.46	10.21	8.7	33.3	8.85	9.46	66.7
TEZOS	11.72	10.62	12.34	11.51	10.63	7.37	27.88	7.92	72.12
ENJIN	9.03	8.81	10.9	9.69	8.78	9.64	9.31	33.83	66.17
TO	87.29	81.06	91.9	89.8	73.65	51.47	65.93	51.57	592.67
ALL	109.22	103.79	112.95	110.98	99.07	84.77	93.81	85.41	TCI
NET	9.22	3.79	12.95	10.98	− 0.93	− 15.23	− 6.19	− 14.59	74.08
Panel C: Upper quantile \(\left(q=0.95\right)\)
BCH	15	12.96	12.95	13.35	12.25	11.2	11.63	10.66	85
BTC	12.99	15.31	13.14	13.11	11.95	10.96	11.66	10.89	84.69
ETH	12.76	12.96	14.95	13.13	12.22	11.04	11.67	11.27	85.05
LTC	13.21	12.95	13.1	14.89	12.42	11	11.51	10.92	85.11
XRP	12.66	12.33	12.83	12.97	15.54	11.02	11.63	11.02	84.46
THETA	12.05	11.83	12.25	12.14	11.29	16.63	11.68	12.14	83.37
TEZOS	12.21	12.21	12.59	12.46	11.99	11.51	15.59	11.45	84.41
ENJIN	11.57	11.81	12.45	12.08	11.57	12.13	11.66	16.72	83.28
TO	87.45	87.05	89.3	89.23	83.7	78.86	81.44	78.34	675.36
ALL	102.45	102.35	104.25	104.13	99.24	95.48	97.02	95.07	TCI
NET	2.45	2.35	4.25	4.13	− 0.76	− 4.52	− 2.98	− 4.93	84.42

The table presents pairwise connectedness measures along with the total connectedness index (TCI) for the lower (Panel A), median (Panel B) and the upper (Panel C) quantiles. Quantile VAR model uses a lag length of order 1 (BIC) and a 10-step-ahead forecast

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