Complexity

Research Article

Information Flow between Global Equities and Cryptocurrencies: A VMD-Based Entropy Evaluating Shocks from COVID-19 Pandemic

Table 2

Information flow between global equities and cryptocurrencies (full sample period).


	Signal			M1			M2			M3			MAgg
	ETE	SE	T-S	ETE	SE	T-S	ETE	SE	T-S	ETE	SE	T-S	ETE	SE	T-S

Bitcoin
DMI->BTC	0.010	0.053	0.197	−0.062	0.057	−1.086	−0.058	0.058	−1.000	−0.004	0.059	−0.068	−0.026	0.056	−0.460
BTC->DMI	0.067	0.047	1.417	0.004	0.055	0.075	−0.007	0.063	−0.108	−0.023	0.054	−0.438	0.061	0.060	1.002
EMI->BTC	0.045	0.047	0.955	−0.132	0.055	−2.414	0.062	0.058	1.069	0.015	0.053	0.278	−0.096	0.059	−1.630
BTC->EMI	0.102	0.050	2.040	0.026	0.054	0.482	−0.074	0.063	−1.184	0.036	0.053	0.684	0.023	0.055	0.412
EUROPI->BTC	0.037	0.050	0.741	−0.108	0.057	−1.903	−0.077	0.057	−1.348	−0.030	0.058	−0.517	0.039	0.055	0.705
BTC->EUROPI	0.017	0.050	0.343	−0.002	0.055	−0.029	0.044	0.059	0.753	−0.037	0.052	−0.712	0.028	0.058	0.472
EUROZI->BTC	0.029	0.045	0.640	−0.062	0.059	−1.048	−0.088	0.059	−1.498	−0.034	0.058	−0.576	0.040	0.058	0.679
BTC->EUROZI	−0.054	0.045	−1.194	0.039	0.059	0.668	0.049	0.060	0.814	−0.050	0.053	−0.950	0.041	0.053	0.777
GMI->BTC	0.028	0.051	0.544	−0.057	0.057	−1.009	−0.080	0.061	−1.315	−0.020	0.060	−0.334	−0.013	0.061	−0.211
BTC->GMI	0.051	0.047	1.070	−0.010	0.056	−0.176	−0.023	0.066	−0.352	0.021	0.052	0.409	−0.031	0.058	−0.535
GREITs->BTC	−0.010	0.049	−0.205	−0.068	0.059	−1.153	−0.087	0.063	−1.391	−0.073	0.059	−1.242	0.056	0.061	0.914
BTC->GREITs	0.002	0.046	0.043	0.010	0.054	0.176	−0.073	0.061	−1.205	−0.066	0.053	−1.248	0.038	0.061	0.623

Dash
DMI->DASH	0.014	0.061	0.222	−0.116	0.056	−2.077	−0.091	0.060	−1.515	0.011	0.056	0.205	0.013	0.062	0.203
DASH->DMI	0.041	0.048	0.871	−0.015	0.057	−0.268	−0.049	0.057	−0.846	0.046	0.047	0.965	−0.027	0.054	−0.512
EMI->DASH	0.018	0.049	0.373	−0.163	0.055	−2.962	−0.058	0.061	−0.953	0.019	0.056	0.332	−0.077	0.059	−1.292
DASH->EMI	0.002	0.049	0.031	−0.011	0.056	−0.199	−0.025	0.056	−0.452	0.008	0.049	0.167	0.024	0.053	0.463
EUROPI->DASH	0.019	0.059	0.332	−0.064	0.061	−1.040	−0.083	0.060	−1.387	0.026	0.056	0.468	0.030	0.059	0.503
DASH->EUROPI	−0.012	0.044	−0.277	0.062	0.057	1.089	−0.014	0.055	−0.244	−0.003	0.047	−0.074	0.002	0.050	0.036
EUROZI->DASH	0.075	0.056	1.343	−0.130	0.059	−2.220	−0.082	0.061	−1.341	0.069	0.057	1.207	−0.030	0.059	−0.506
DASH->EUROZI	0.081	0.046	1.766	0.022	0.058	0.379	−0.066	0.058	−1.145	0.081	0.046	1.745	0.053	0.051	1.035
GMI->DASH	−0.040	0.058	−0.691	−0.072	0.056	−1.277	−0.095	0.066	−1.445	−0.042	0.060	−0.700	−0.015	0.059	−0.261
DASH->GMI	−0.061	0.048	−1.259	−0.035	0.057	−0.624	−0.123	0.054	−2.296	−0.067	0.045	−1.512	−0.084	0.048	−1.742
GREITs->DASH	0.010	0.056	0.176	−0.052	0.057	−0.905	−0.084	0.060	−1.392	0.005	0.058	0.088	−0.020	0.066	−0.305
DASH->GREITs	0.109	0.048	2.269	0.002	0.054	0.039	−0.041	0.056	−0.733	0.111	0.048	2.290	0.166	0.051	3.249

Litecoin
DMI->LTC	−0.040	0.049	−0.816	−0.086	0.057	−1.519	−0.033	0.060	−0.556	−0.022	0.056	−0.384	0.039	0.064	0.604
LTC->DMI	0.049	0.048	1.017	0.011	0.050	0.223	−0.012	0.063	−0.191	−0.007	0.056	−0.117	−0.049	0.054	−0.898
EMI->LTC	−0.029	0.047	−0.628	−0.111	0.050	−2.199	0.059	0.058	1.020	−0.012	0.054	−0.216	0.057	0.058	0.981
LTC->EMI	−0.016	0.049	−0.328	−0.087	0.049	−1.768	−0.059	0.060	−0.971	−0.032	0.054	−0.590	0.028	0.055	0.505
EUROPI->LTC	0.015	0.049	0.304	−0.075	0.056	−1.347	−0.019	0.057	−0.331	0.008	0.060	0.134	0.035	0.054	0.639
LTC->EUROPI	−0.002	0.043	−0.043	−0.118	0.048	−2.445	0.004	0.059	0.061	0.001	0.053	0.023	−0.032	0.057	−0.557
EUROZI->LTC	−0.037	0.049	−0.745	−0.077	0.057	−1.365	−0.036	0.065	−0.553	−0.036	0.058	−0.623	0.036	0.058	0.627
LTC->EUROZI	−0.044	0.046	−0.956	−0.100	0.050	−1.993	0.019	0.064	0.294	0.029	0.054	0.548	−0.018	0.056	−0.317
GMI->LTC	−0.084	0.048	−1.754	−0.077	0.053	−1.434	−0.022	0.062	−0.357	−0.060	0.054	−1.122	−0.054	0.061	−0.881
LTC->GMI	0.021	0.048	0.443	−0.007	0.051	−0.140	−0.026	0.060	−0.436	0.059	0.052	1.133	0.047	0.056	0.841
GREITs->LTC	−0.014	0.048	−0.281	−0.036	0.059	−0.621	0.088	0.058	1.513	0.011	0.057	0.187	0.100	0.064	1.562
LTC->GREITs	−0.021	0.049	−0.426	0.017	0.048	0.362	0.034	0.062	0.538	0.048	0.053	0.917	0.067	0.055	1.236

Ripple
DMI->XRP	0.034	0.055	0.612	−0.101	0.060	−1.698	−0.050	0.055	−0.910	−0.005	0.057	−0.080	−0.002	0.059	−0.041
XRP->DMI	−0.004	0.053	−0.079	−0.062	0.052	−1.197	0.021	0.062	0.339	0.061	0.055	1.125	−0.012	0.059	−0.208
EMI->XRP	0.039	0.046	0.838	−0.113	0.051	−2.227	−0.036	0.055	−0.644	0.186	0.054	3.432	0.002	0.055	0.028
XRP->EMI	−0.022	0.051	−0.435	0.026	0.054	0.470	−0.049	0.063	−0.784	0.007	0.053	0.133	−0.077	0.058	−1.328
EUROPI->XRP	0.060	0.046	1.298	−0.173	0.059	−2.932	−0.042	0.059	−0.716	0.138	0.054	2.575	0.000	0.055	−0.006
XRP->EUROPI	0.015	0.053	0.281	−0.044	0.051	−0.870	0.007	0.062	0.105	0.086	0.054	1.587	−0.055	0.060	−0.920
EUROZI->XRP	0.021	0.049	0.432	−0.190	0.057	−3.336	0.012	0.058	0.202	0.138	0.054	2.544	−0.017	0.057	−0.290
XRP->EUROZI	−0.036	0.051	−0.709	−0.101	0.056	−1.808	−0.054	0.062	−0.878	0.205	0.054	3.824	0.007	0.061	0.121
GMI->XRP	0.025	0.050	0.502	−0.135	0.059	−2.306	0.040	0.064	0.622	−0.029	0.057	−0.514	−0.006	0.058	−0.108
XRP->GMI	0.046	0.051	0.899	0.078	0.052	1.493	0.001	0.067	0.009	0.067	0.057	1.186	−0.066	0.056	−1.178
GREITs->XRP	−0.045	0.049	−0.913	−0.021	0.058	−0.370	−0.052	0.059	−0.882	0.197	0.058	3.417	0.050	0.063	0.797
XRP->GREITs	−0.016	0.048	−0.325	0.023	0.051	0.441	0.071	0.065	1.090	0.111	0.055	2.034	0.055	0.065	0.841

NOTE: ETE, SE, and T-S denote effective transfer entropy estimate, standard error, and T-statistic, respectively. , , and indicate significance at 10%, 5%, and 1% levels, respectively.