Complexity

Research Article

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

Table 4

Information flow between global equities and cryptocurrencies (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	−0.026	0.084	−0.312	−0.141	0.063	−2.257	−0.147	0.056	−2.641	−0.196	0.060	−3.275	−0.124	0.063	−1.987
BTC->DMI	0.051	0.089	0.570	−0.146	0.060	−2.428	0.094	0.062	1.510	−0.156	0.061	−2.559	−0.017	0.060	−0.286
EMI->BTC	−0.036	0.092	−0.385	−0.057	0.058	−0.979	−0.071	0.056	−1.266	−0.198	0.061	−3.260	−0.128	0.070	−1.845
BTC->EMI	0.033	0.092	0.362	0.021	0.065	0.316	−0.060	0.059	−1.018	−0.211	0.068	−3.124	−0.085	0.066	−1.301
EUROPI->BTC	−0.065	0.102	−0.634	−0.074	0.058	−1.262	−0.216	0.053	−4.054	−0.175	0.064	−2.734	−0.189	0.054	−3.486
BTC->EUROPI	−0.071	0.093	−0.770	0.179	0.071	2.511	0.073	0.052	1.391	−0.146	0.066	−2.218	−0.099	0.060	−1.661
EUROZI->BTC	0.085	0.091	0.933	−0.071	0.060	−1.188	−0.208	0.058	−3.556	−0.214	0.063	−3.382	−0.132	0.065	−2.041
BTC->EUROZI	−0.019	0.092	−0.209	0.197	0.068	2.893	0.108	0.059	1.838	−0.108	0.059	−1.818	−0.074	0.065	−1.144
GMI->BTC	−0.078	0.099	−0.786	−0.069	0.070	−0.988	−0.109	0.069	−1.576	−0.228	0.064	−3.586	−0.113	0.065	−1.736
BTC->GMI	−0.045	0.096	−0.472	0.160	0.059	2.717	−0.075	0.057	−1.308	−0.108	0.071	−1.523	−0.106	0.062	−1.702
GREITs->BTC	−0.121	0.086	−1.399	−0.054	0.050	−1.080	−0.057	0.061	−0.922	−0.070	0.071	−0.984	−0.077	0.062	−1.238
BTC->GREITs	−0.048	0.090	−0.531	−0.002	0.066	−0.023	−0.055	0.060	−0.912	−0.139	0.070	−1.975	0.017	0.064	0.267

Dash
DMI->DASH	0.033	0.089	0.368	−0.043	0.063	−0.680	−0.158	0.063	−2.493	−0.166	0.061	−2.713	−0.151	0.057	−2.628
DASH->DMI	0.067	0.090	0.745	−0.015	0.049	−0.303	−0.042	0.061	−0.693	−0.051	0.060	−0.845	−0.016	0.060	−0.264
EMI->DASH	0.105	0.095	1.113	−0.030	0.056	−0.533	−0.149	0.065	−2.295	−0.151	0.063	−2.408	−0.133	0.063	−2.112
DASH->EMI	0.101	0.092	1.099	0.003	0.063	0.046	−0.159	0.065	−2.423	−0.145	0.067	−2.177	0.005	0.065	0.073
EUROPI->DASH	0.053	0.093	0.569	−0.034	0.058	−0.591	−0.156	0.062	−2.522	−0.155	0.060	−2.573	−0.097	0.058	−1.677
DASH->EUROPI	−0.006	0.100	−0.059	−0.004	0.060	−0.070	−0.020	0.064	−0.318	−0.044	0.062	−0.716	0.021	0.061	0.350
EUROZI->DASH	0.130	0.091	1.426	−0.036	0.064	−0.566	−0.191	0.062	−3.054	−0.197	0.065	−3.008	−0.131	0.060	−2.174
DASH->EUROZI	0.016	0.090	0.181	0.010	0.057	0.171	−0.074	0.062	−1.188	−0.085	0.069	−1.223	0.001	0.060	0.020
GMI->DASH	−0.004	0.088	−0.046	−0.035	0.069	−0.508	−0.191	0.061	−3.153	−0.195	0.064	−3.057	−0.142	0.066	−2.162
DASH->GMI	0.033	0.104	0.320	−0.024	0.060	−0.408	−0.074	0.065	−1.131	−0.084	0.067	−1.257	−0.056	0.070	−0.804
GREITs->DASH	−0.028	0.088	−0.320	−0.023	0.057	−0.406	−0.063	0.068	−0.936	−0.058	0.066	−0.879	−0.084	0.064	−1.302
DASH->GREITs	0.115	0.084	1.359	−0.006	0.059	−0.108	−0.195	0.069	−2.809	−0.184	0.074	−2.500	−0.055	0.062	−0.891

Litecoin
DMI->LTC	−0.011	0.092	−0.119	−0.130	0.068	−1.907	−0.117	0.058	−2.004	−0.216	0.063	−3.445	−0.092	0.063	−1.465
LTC->DMI	0.033	0.094	0.352	−0.144	0.057	−2.542	0.041	0.064	0.645	−0.088	0.062	−1.424	0.020	0.064	0.317
EMI->LTC	−0.008	0.087	−0.089	−0.052	0.055	−0.949	−0.108	0.058	−1.876	−0.162	0.069	−2.334	−0.054	0.066	−0.813
LTC->EMI	0.054	0.094	0.574	0.013	0.053	0.235	0.044	0.065	0.676	−0.038	0.070	−0.548	0.008	0.070	0.113
EUROPI->LTC	−0.108	0.095	−1.136	−0.053	0.055	−0.967	−0.113	0.052	−2.173	−0.206	0.068	−3.003	−0.094	0.060	−1.583
LTC->EUROPI	−0.066	0.099	−0.666	0.181	0.057	3.153	0.023	0.057	0.412	−0.009	0.074	−0.125	−0.046	0.065	−0.708
EUROZI->LTC	−0.050	0.093	−0.539	−0.050	0.057	−0.884	−0.105	0.058	−1.796	−0.213	0.063	−3.359	−0.105	0.065	−1.625
LTC->EUROZI	−0.120	0.103	−1.163	0.189	0.060	3.178	0.053	0.059	0.890	−0.046	0.069	−0.673	−0.033	0.068	−0.479
GMI->LTC	0.007	0.085	0.088	−0.053	0.064	−0.831	−0.203	0.063	−3.233	−0.203	0.067	−3.012	−0.102	0.067	−1.516
LTC->GMI	0.080	0.100	0.805	0.167	0.054	3.113	−0.119	0.065	−1.848	−0.188	0.068	−2.750	−0.093	0.070	−1.334
GREITs->LTC	−0.054	0.085	−0.636	−0.028	0.062	−0.457	−0.032	0.060	−0.538	−0.078	0.070	−1.112	−0.101	0.071	−1.414
LTC->GREITs	−0.066	0.086	−0.770	−0.004	0.058	−0.074	−0.050	0.063	−0.789	0.098	0.066	1.485	0.061	0.065	0.944

Ripple
DMI->XRP	−0.066	0.083	−0.795	−0.061	0.069	−0.882	−0.001	0.060	−0.015	−0.084	0.062	−1.349	−0.111	0.061	−1.814
XRP->DMI	0.109	0.075	1.448	−0.040	0.054	−0.739	−0.004	0.064	−0.056	0.038	0.064	0.595	0.025	0.062	0.406
EMI->XRP	0.032	0.090	0.351	−0.060	0.062	−0.965	0.031	0.062	0.503	−0.002	0.060	−0.034	−0.127	0.060	−2.106
XRP->EMI	0.164	0.086	1.910	−0.008	0.053	−0.151	−0.044	0.063	−0.698	0.045	0.066	0.688	0.042	0.061	0.688
EUROPI->XRP	0.024	0.090	0.270	−0.056	0.054	−1.050	0.007	0.057	0.127	−0.078	0.062	−1.247	−0.109	0.063	−1.711
XRP->EUROPI	0.108	0.091	1.185	−0.008	0.055	−0.145	−0.031	0.058	−0.542	0.055	0.063	0.878	0.030	0.058	0.506
EUROZI->XRP	0.005	0.088	0.052	−0.082	0.064	−1.284	−0.002	0.063	−0.025	−0.080	0.064	−1.255	−0.115	0.055	−2.107
XRP->EUROZI	0.052	0.095	0.550	−0.035	0.058	−0.605	−0.001	0.059	−0.020	0.045	0.066	0.678	0.050	0.061	0.827
GMI->XRP	−0.066	0.088	−0.757	−0.054	0.071	−0.760	−0.027	0.059	−0.459	0.014	0.064	0.217	−0.119	0.064	−1.873
XRP->GMI	0.020	0.083	0.244	−0.041	0.052	−0.803	−0.126	0.063	−2.011	0.046	0.066	0.700	−0.040	0.065	−0.618
GREITs->XRP	−0.066	0.087	−0.761	−0.062	0.057	−1.100	−0.002	0.060	−0.036	0.012	0.066	0.187	−0.114	0.062	−1.836
XRP->GREITs	0.008	0.088	0.086	−0.019	0.053	−0.362	−0.001	0.056	−0.026	0.012	0.068	0.177	0.048	0.064	0.755

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.