Research Article
Dynamic Cross-Market Volatility Spillover Based on MSV Model: Evidence from Bitcoin, Gold, Crude Oil, and Stock Markets
Table 5
Granger causality result between bitcoin and stock index.
| Node | Mean | SD | MC error | 2.50% | 5.00% | 10.00% | Median | 97.50% | is it significant |
| | 0.0333 | 0.04531 | 0.00093 | −0.04887 | −0.03595 | −0.02179 | 0.03073 | 0.1307 | Not significant | | 0.01852 | 0.01969 | 0.00047 | −0.02023 | −0.01362 | −0.006269 | 0.01845 | 0.05747 | Not significant | | 0.02731 | 0.0439 | 0.00083 | −0.05429 | −0.04121 | −0.02648 | 0.02541 | 0.1199 | Not significant | | 0.01894 | 0.01935 | 0.00047 | −0.01839 | −0.0122 | −0.005343 | 0.01875 | 0.05812 | Not significant | | 0.0392 | 0.05164 | 0.00111 | −0.0547 | −0.04006 | −0.02341 | 0.03619 | 0.1494 | Not significant | | 0.01018 | 0.01866 | 0.00046 | −0.02656 | −0.0203 | −0.01332 | 0.01007 | 0.04773 | Not significant | | −0.06547 | 0.08955 | 0.00237 | −0.2596 | −0.2204 | −0.1788 | −0.05989 | 0.09509 | Not significant | | -0.0164 | 0.02621 | 0.00065 | −0.07173 | -0.06052 | −0.04901 | −0.01551 | 0.03298 | Not significant | | 0.0359 | 0.07372 | 0.00186 | −0.09611 | −0.07636 | −0.05302 | 0.03112 | 0.1961 | Not significant | | 0.01646 | 0.01802 | 0.00051 | −0.01713 | -0.01162 | −0.005288 | 0.01568 | 0.05464 | Not significant | | 0.04422 | 0.06016 | 0.00145 | −0.06457 | -0.04782 | -0.0285 | 0.04071 | 0.1735 | Not significant | | 0.02146 | 0.02013 | 0.00054 | −0.01625 | −0.01018 | −0.00316 | 0.02068 | 0.06322 | Not significant | | 0.0082 | 0.05472 | 0.00119 | −0.09453 | -0.07761 | −0.05864 | 0.006091 | 0.1233 | Not significant | | 0.02341 | 0.01784 | 0.00041 | −0.01174 | −0.005739 | 0.001106 | 0.02335 | 0.05894 | Not significant |
|
|