Skip to main content
Financial Innovation

Table 5 Averaged connectedness among tail risks over the entire sample period

From: Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes

 

BTC

ETC

USD

BNB

XRP

ADA

FROM others

Panel A: tail risk (CAViaR) at 1%

BTC

37.41

20.57

6.01

13.72

9.93

12.37

62.59

ETC

17.62

34.76

4.79

15.56

13.6

13.67

65.24

USD

8.69

7.52

66.33

6.11

5.3

6.06

33.67

BNB

13.43

16.63

3.87

40.41

13.12

12.55

59.59

XRP

9.33

13.9

3.61

11.21

48.18

13.77

51.82

ADA

11.73

15.56

4.02

11.73

14.91

42.05

57.95

TO others

60.8

74.17

22.3

58.33

56.84

58.41

TCI

NET connectedness

− 1.79

8.93

− 11.38

− 1.26

5.03

0.46

66.17

NPT transmitter

1

5

0

2

4

3

 

Panel B: tail risk (CAViaR) at 5%

BTC

38.13

20.75

6.46

13.63

8.69

12.33

61.87

ETC

16.47

35.52

5.16

15.73

13.45

13.67

64.48

USD

8.59

7.47

66.04

6.34

5.42

6.14

33.96

BNB

12.29

16.71

4.28

41.21

13.16

12.36

58.79

XRP

7.53

13.65

3.87

11.12

50.60

13.23

49.40

ADA

11.09

15.73

4.34

11.81

14.48

42.55

57.45

TO others

55.98

74.31

24.1

58.63

55.19

57.73

TCI

NET connectedness

− 5.89

9.84

− 9.85

− 0.16

5.79

0.28

65.19

NPT transmitter

1

5

0

2

4

3

 
  1. The table presents the results of averaged connectedness index among tail risks (at 1% and 5% CAViaR) over the entire sample period (11/9/2017–9/18/2022) based on a TVP-VAR model with a length of order 1 selected by the BIC. The generalized forecast error variance decomposition is based on a 20-step-ahead. BTC, Bitcoin; ETC, Ethereum; USD, Tether; BNB; Binance; XRP, XRP; ADA, Cardano; TCI, total connectedness index; TO others, The transmits shock of asset \(i\) to all other assets \(j\); FROM others, the directional connectedness asset \(i\) receives from asset \(j\); NET connectedness, the influence of asset \(i\), while a positive value indicates that asset \(i\) influences the network more than itself being influenced, a negative value indicates that asset \(i\) is driven by the network; NPT transmitter: net pairwise directional connectedness, A positive (negative) value indicates that asset \(i\) leads (is led by) asset \(j\)
Back to article page