Table 3 Performance of optimal hedge ratio strategy for portfolio
From: Extreme connectedness between cryptocurrencies and non-fungible tokens: portfolio implications
| Â | Mean | SD | 5% | 95% | HE (%) | p value |
|---|---|---|---|---|---|---|
BTC/BCH | 0.47 | 0.12 | 0.29 | 0.67 | 57 | 0 |
ETH/BCH | 0.63 | 0.11 | 0.42 | 0.8 | 57 | 0 |
LTC/BCH | 0.7 | 0.11 | 0.53 | 0.85 | 65 | 0 |
XRP/BCH | 0.64 | 0.24 | 0.39 | 1.05 | 44 | 0 |
THETA/BCH | 0.54 | 0.18 | 0.25 | 0.81 | 22 | 0 |
TEZOS/BCH | 0.56 | 0.18 | 0.29 | 0.88 | 36 | 0 |
ENJIN/BCH | 0.51 | 0.18 | 0.21 | 0.81 | 15 | 0 |
BCH/BTC | 1.35 | 0.35 | 0.91 | 1.99 | 59 | 0 |
ETH/BTC | 1.1 | 0.24 | 0.78 | 1.54 | 66 | 0 |
LTC/BTC | 1.19 | 0.27 | 0.83 | 1.61 | 64 | 0 |
XRP/BTC | 1.01 | 0.38 | 0.58 | 1.68 | 41 | 0 |
THETA/BTC | 0.93 | 0.31 | 0.45 | 1.47 | 20 | 0 |
TEZOS/BTC | 0.92 | 0.32 | 0.5 | 1.54 | 35 | 0 |
ENJIN/BTC | 0.9 | 0.34 | 0.41 | 1.39 | 21 | 0 |
BCH/ETH | 1.02 | 0.18 | 0.81 | 1.3 | 61 | 0 |
BTC/ETH | 0.63 | 0.14 | 0.42 | 0.87 | 67 | 0 |
LTC/ETH | 0.9 | 0.12 | 0.72 | 1.11 | 70 | 0 |
XRP/ETH | 0.83 | 0.26 | 0.61 | 1.3 | 52 | 0 |
THETA/ETH | 0.73 | 0.19 | 0.42 | 1.02 | 26 | 0 |
TEZOS/ETH | 0.78 | 0.2 | 0.5 | 1.12 | 44 | 0 |
ENJIN/ETH | 0.74 | 0.21 | 0.41 | 1.09 | 18 | 0 |
BCH/LTC | 0.99 | 0.16 | 0.76 | 1.25 | 67 | 0 |
BTC/LTC | 0.58 | 0.13 | 0.39 | 0.79 | 65 | 0 |
ETH/LTC | 0.78 | 0.12 | 0.57 | 0.99 | 69 | 0 |
XRP/LTC | 0.76 | 0.24 | 0.5 | 1.19 | 50 | 0 |
THETA/LTC | 0.68 | 0.19 | 0.4 | 0.96 | 26 | 0 |
TEZOS/LTC | 0.68 | 0.2 | 0.38 | 1.02 | 39 | 0 |
ENJIN/LTC | 0.65 | 0.2 | 0.33 | 0.96 | 19 | 0 |
BCH/XRP | 0.85 | 0.25 | 0.39 | 1.19 | 37 | 0 |
BTC/XRP | 0.48 | 0.18 | 0.16 | 0.77 | 36 | 0 |
ETH/XRP | 0.69 | 0.21 | 0.25 | 0.97 | 42 | 0 |
LTC/XRP | 0.73 | 0.21 | 0.3 | 1 | 46 | 0 |
THETA/XRP | 0.62 | 0.23 | 0.16 | 0.94 | 18 | 0 |
TEZOS/XRP | 0.65 | 0.22 | 0.3 | 1.01 | 34 | 0 |
ENJIN/XRP | 0.63 | 0.28 | 0.2 | 0.95 | 16 | 0 |
BCH/THETA | 0.47 | 0.15 | 0.24 | 0.73 | 24 | 0 |
BTC/THETA | 0.29 | 0.12 | 0.13 | 0.5 | 26 | 0 |
ETH/THETA | 0.39 | 0.13 | 0.19 | 0.62 | 26 | 0 |
LTC/THETA | 0.42 | 0.13 | 0.22 | 0.63 | 27 | 0 |
XRP/THETA | 0.4 | 0.18 | 0.18 | 0.72 | 24 | 0 |
TEZOS/THETA | 0.43 | 0.18 | 0.18 | 0.78 | 22 | 0 |
ENJIN/THETA | 0.55 | 0.21 | 0.28 | 0.83 | 26 | 0 |
BCH/TEZOS | 0.63 | 0.21 | 0.3 | 0.95 | 33 | 0 |
BTC/TEZOS | 0.36 | 0.14 | 0.16 | 0.6 | 31 | 0 |
ETH/TEZOS | 0.54 | 0.17 | 0.25 | 0.79 | 37 | 0 |
LTC/TEZOS | 0.54 | 0.17 | 0.26 | 0.78 | 35 | 0 |
XRP/TEZOS | 0.56 | 0.27 | 0.24 | 1.07 | 31 | 0 |
THETA/TEZOS | 0.55 | 0.2 | 0.2 | 0.84 | 23 | 0 |
ENJIN/TEZOS | 0.57 | 0.2 | 0.25 | 0.84 | 23 | 0 |
BCH/ENJIN | 0.41 | 0.15 | 0.16 | 0.66 | 18 | 0 |
BTC/ENJIN | 0.26 | 0.11 | 0.09 | 0.46 | 22 | 0 |
ETH/ENJIN | 0.37 | 0.12 | 0.15 | 0.56 | 24 | 0 |
LTC/ENJIN | 0.37 | 0.13 | 0.15 | 0.56 | 22 | 0 |
XRP/ENJIN | 0.37 | 0.19 | 0.13 | 0.7 | 19 | 0 |
THETA/ENJIN | 0.51 | 0.15 | 0.23 | 0.72 | 13 | 0.01 |
TEZOS/ENJIN | 0.42 | 0.16 | 0.16 | 0.71 | 19 | 0 |