Complexity

Research Article

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

Table 3

Information flow between global equities and cryptocurrencies (pre-COVID-19 pandemic 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	0.082	0.051	1.607	0.032	0.054	0.598	−0.119	0.060	−1.978	−0.124	0.065	−1.918	−0.025	0.065	−0.379
BTC->DMI	0.111	0.049	2.265	−0.074	0.058	−1.280	−0.098	0.064	−1.533	−0.077	0.075	−1.017	−0.038	0.066	−0.571
EMI->BTC	−0.066	0.050	−1.300	−0.061	0.050	−1.222	−0.031	0.062	−0.495	−0.124	0.067	−1.839	0.004	0.060	0.061
BTC->EMI	0.053	0.049	1.085	−0.004	0.051	−0.078	−0.063	0.065	−0.960	−0.051	0.070	−0.728	−0.035	0.069	−0.505
EUROPI->BTC	0.043	0.052	0.829	−0.063	0.058	−1.081	−0.011	0.064	−0.165	0.037	0.060	0.614	−0.014	0.063	−0.230
BTC->EUROPI	−0.074	0.053	−1.393	−0.055	0.053	−1.035	−0.091	0.066	−1.378	0.041	0.074	0.555	0.105	0.066	1.601
EUROZI->BTC	−0.008	0.046	−0.166	−0.061	0.064	−0.954	−0.035	0.063	−0.561	0.009	0.057	0.150	0.008	0.062	0.125
BTC->EUROZI	−0.029	0.053	−0.556	0.019	0.052	0.376	−0.061	0.066	−0.929	0.113	0.075	1.502	0.012	0.067	0.184
GMI->BTC	−0.003	0.050	−0.059	0.051	0.057	0.898	−0.094	0.064	−1.467	−0.128	0.064	−2.010	−0.115	0.065	−1.784
BTC->GMI	0.037	0.050	0.745	−0.083	0.052	−1.604	0.015	0.062	0.234	−0.129	0.073	−1.764	−0.013	0.071	−0.185
GREITs->BTC	−0.043	0.048	−0.892	−0.112	0.056	−1.980	−0.024	0.066	−0.364	0.056	0.064	0.876	0.087	0.064	1.364
BTC->GREITs	0.012	0.051	0.245	−0.128	0.050	−2.567	0.066	0.065	1.022	0.161	0.071	2.262	0.102	0.069	1.480

Dash
DMI->DASH	0.003	0.054	0.054	−0.030	0.058	−0.519	−0.125	0.064	−1.951	−0.066	0.064	−1.028	0.036	0.062	0.589
DASH->DMI	0.040	0.050	0.796	−0.036	0.053	−0.673	−0.001	0.058	−0.023	0.037	0.051	0.723	−0.056	0.053	−1.062
EMI->DASH	0.048	0.048	0.992	−0.026	0.052	−0.508	−0.074	0.065	−1.144	−0.050	0.060	−0.834	−0.039	0.066	−0.585
DASH->EMI	0.007	0.049	0.142	−0.049	0.059	−0.839	0.113	0.056	2.003	−0.100	0.051	−1.981	−0.005	0.060	−0.084
EUROPI->DASH	0.008	0.049	0.163	−0.026	0.059	−0.439	−0.018	0.065	−0.275	−0.057	0.068	−0.843	−0.008	0.059	−0.138
DASH->EUROPI	−0.073	0.051	−1.436	−0.001	0.058	−0.022	0.039	0.060	0.644	−0.087	0.051	−1.721	−0.064	0.055	−1.171
EUROZI->DASH	0.009	0.047	0.200	−0.030	0.061	−0.488	0.068	0.063	1.076	−0.059	0.063	−0.940	0.057	0.062	0.921
DASH->EUROZI	0.042	0.049	0.853	0.068	0.058	1.167	−0.023	0.060	−0.377	0.045	0.053	0.838	−0.013	0.052	−0.250
GMI->DASH	−0.013	0.046	−0.275	0.000	0.060	−0.001	−0.066	0.064	−1.023	0.080	0.063	1.264	−0.034	0.069	−0.496
DASH->GMI	−0.044	0.049	−0.898	−0.008	0.059	−0.138	−0.003	0.061	−0.041	0.060	0.053	1.135	0.043	0.058	0.751
GREITs->DASH	−0.013	0.046	−0.289	0.083	0.058	1.411	−0.050	0.065	−0.768	−0.025	0.066	−0.376	−0.066	0.067	−0.985
DASH->GREITs	−0.044	0.053	−0.822	−0.061	0.059	−1.040	−0.029	0.062	−0.467	−0.040	0.052	−0.760	0.098	0.060	1.637

Litecoin
DMI->LTC	−0.024	0.053	−0.452	−0.067	0.055	−1.226	−0.031	0.059	−0.524	−0.109	0.060	−1.797	−0.024	0.062	−0.392
LTC->DMI	0.027	0.051	0.534	−0.022	0.050	−0.440	0.041	0.065	0.627	−0.099	0.059	−1.689	−0.032	0.057	−0.567
EMI->LTC	0.034	0.051	0.680	−0.118	0.048	−2.447	0.022	0.061	0.357	0.013	0.061	0.215	0.056	0.061	0.918
LTC->EMI	−0.068	0.051	−1.343	−0.054	0.051	−1.051	0.042	0.069	0.612	0.003	0.058	0.046	0.012	0.064	0.191
EUROPI->LTC	−0.020	0.052	−0.383	−0.143	0.057	−2.516	−0.083	0.062	−1.342	−0.059	0.058	−1.031	−0.048	0.059	−0.818
LTC->EUROPI	−0.064	0.055	−1.167	−0.102	0.051	−1.994	0.064	0.069	0.938	−0.060	0.062	−0.973	−0.040	0.063	−0.629
EUROZI->LTC	−0.035	0.045	−0.776	−0.137	0.060	−2.263	−0.077	0.059	−1.303	−0.075	0.062	−1.203	−0.035	0.063	−0.554
LTC->EUROZI	0.036	0.048	0.743	−0.113	0.050	−2.252	−0.031	0.065	−0.481	−0.033	0.064	−0.507	−0.033	0.070	−0.469
GMI->LTC	−0.043	0.048	−0.896	−0.055	0.054	−1.010	0.151	0.064	2.367	−0.069	0.061	−1.128	−0.033	0.058	−0.565
LTC->GMI	−0.034	0.055	−0.619	−0.058	0.047	−1.230	0.054	0.063	0.858	−0.071	0.061	−1.166	−0.089	0.064	−1.390
GREITs->LTC	0.030	0.047	0.639	−0.011	0.059	−0.185	0.057	0.059	0.956	0.073	0.058	1.268	0.118	0.060	1.957
LTC->GREITs	0.029	0.049	0.597	−0.061	0.052	−1.187	0.053	0.062	0.842	0.056	0.062	0.892	0.077	0.060	1.277

Ripple
DMI->XRP	0.041	0.050	0.828	0.013	0.059	0.222	0.049	0.061	0.792	−0.070	0.061	−1.139	0.073	0.062	1.180
XRP->DMI	−0.015	0.050	−0.302	−0.090	0.054	−1.647	0.003	0.065	0.039	−0.048	0.062	−0.764	0.050	0.066	0.764
EMI->XRP	0.095	0.046	2.064	−0.108	0.054	−2.021	−0.013	0.059	−0.219	−0.009	0.059	−0.145	−0.064	0.059	−1.089
XRP->EMI	0.007	0.059	0.120	−0.071	0.052	−1.364	−0.110	0.066	−1.666	−0.002	0.062	−0.029	−0.040	0.066	−0.610
EUROPI->XRP	0.079	0.054	1.459	−0.121	0.060	−2.015	−0.018	0.060	−0.303	0.025	0.060	0.421	−0.034	0.061	−0.553
XRP->EUROPI	−0.046	0.052	−0.874	−0.112	0.053	−2.101	−0.042	0.072	−0.583	−0.016	0.063	−0.251	−0.067	0.064	−1.048
EUROZI->XRP	0.094	0.048	1.950	−0.110	0.060	−1.847	−0.051	0.055	−0.914	0.066	0.058	1.137	−0.037	0.060	−0.618
XRP->EUROZI	−0.012	0.050	−0.238	−0.103	0.057	−1.818	−0.034	0.066	−0.508	0.032	0.061	0.528	−0.062	0.060	−1.030
GMI->XRP	0.083	0.049	1.707	−0.036	0.061	−0.593	0.031	0.063	0.486	−0.045	0.067	−0.671	0.047	0.060	0.777
XRP->GMI	0.011	0.047	0.228	0.053	0.051	1.041	0.015	0.065	0.235	0.011	0.057	0.194	−0.014	0.067	−0.212
GREITs->XRP	0.011	0.047	0.231	−0.111	0.059	−1.877	0.028	0.066	0.425	−0.099	0.061	−1.641	0.017	0.057	0.290
XRP->GREITs	0.033	0.053	0.629	0.006	0.055	0.116	−0.014	0.063	−0.215	−0.088	0.060	−1.475	0.073	0.063	1.157

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. In addition, the T-statistic is provided for further information.