Research Article
Multiscale Systemic Risk and Its Spillover Effects in the Cryptocurrency Market
Table 3
Nonlinear Granger at original series.
| | BTC | USDT | XLM | ETH | BNB | XEM | LTC | XRP | EOS | DASH | XMR | BCH | DOGE | VET | LINK | THETA |
| BTC | | −0.595 | 1.777 | 0.509 | 1.599 | 0.478 | 0.842 | 2.669 | 1.625 | 1.669 | 1.425 | 0.781 | 1.655 | 2.028 | 2.442 | 2.065 | USDT | 0.719 | | 1.057 | 0.835 | 2.468 | 0.08 | 2.299 | 1.325 | 1.894 | 1.545 | 1.314 | 2.334 | −1.285 | −0.644 | 2.124 | 1.272 | XLM | 1.324 | −1.281 | | −0.227 | 0.5 | 2.483 | 1.167 | 2.271 | 0.325 | 0.863 | 1.412 | 0.185 | 0.692 | 1.829 | 2.463 | 2.527 | ETH | 1.495 | 0.835 | 1.489 | | 2.768 | 0.332 | 1.609 | 1.892 | 1.495 | 2.188 | 2.396 | 1.614 | 1.991 | 1.713 | 3.485 | 2.581 | BNB | 1.182 | −0.316 | 1.497 | 1.174 | | 1.792 | 1.48 | 1.65 | 1.969 | 2.911 | 1.584 | 1.733 | 0.249 | 1.809 | 2.931 | 2.495 | XEM | 0.447 | −1.176 | 1.123 | 1.136 | 1.812 | | 1.633 | 1.64 | 0.772 | 2.196 | −0.118 | 0.909 | 1.061 | 0.628 | 1.982 | 1.935 | LTC | 1.414 | 0.787 | 1.274 | 0.357 | 1.723 | 0.738 | | 2.041 | 2.574 | 1.874 | 1.774 | 2.247 | 2.136 | 1.821 | 2.421 | 2.027 | XRP | 2.845 | −0.209 | 3.618 | 2.344 | 2.694 | 1.522 | 2.964 | | 2.181 | 2.876 | 2.585 | 2.452 | 1.47 | 2.749 | 2.495 | 3.093 | EOS | 2.429 | −0.135 | 1.853 | 0.619 | 1.896 | 0.801 | 3.338 | 2.166 | | 2.546 | 2.632 | 2.432 | 1.061 | 2.342 | 2.836 | 2.704 | DASH | 2.863 | −1.15 | 2.321 | 2.16 | 3.221 | 1.824 | 3.597 | 2.236 | 2.891 | | 3.028 | 2.913 | 1.843 | 2.614 | 3.801 | 2.203 | XMR | 2.619 | 0.521 | 2.479 | 2.118 | 2.701 | 1.812 | 2.598 | 2.588∗∗∗ | 2.056 | 2.108 | | 2.385 | 0.774 | 2.31 | 3.487 | 2.061 | BCH | 0.969 | 0.254 | 2.351 | 0.892 | 1.958 | 0.316 | 2.622 | 2.236 | 1.091 | 1.718 | 0.915 | | 1.034 | 1.514 | 2.983 | 1.726 | DOGE | 0.194 | −2.771 | 0.509 | 0.327 | 0.314 | 0.509 | 0.939 | 0.622 | 0.103 | 0.879 | 0.895 | 0.938 | | 1.678 | 1.602 | 0.58 | VET | 0.924 | −2.704 | 1.425 | 0.775 | −0.393 | 1.687 | 1.829 | 2.884 | 0.96 | 0.82 | 1.328 | 1.453 | 1.149 | | 1.872 | 3.044 | LINK | 0.968 | 0.597 | 1.873 | 1.174 | 1.866 | 1.036 | 0.872 | 1.9 | 1.956 | 1.441 | 2.045 | 0.308 | 0.77 | 0.868 | | 2.595 | THETA | 1.2 | −1.221 | 1.08 | 1.011 | 1.903 | −0.094 | 1.311 | 0.721 | 1.512 | 1.374 | 1.195 | 0.75 | 0.476 | 0.646 | 1.742 | |
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Note: , , represent the significance tests are passed, respectively, under 10%, 5%, and 1%. |