Impacts of COVID-19 on the Return and Volatility Nexus among Cryptocurrency Market
Table 3
Total, net, and pairwise spillovers among cryptocurrencies pre-COVID-19 (volatility spillovers).
BTC
ETH
USDT
XPR
LTC
ADA
BCH
XLM
LINK
BNB
FROM
BTC
0.1681
0.1236
0.0098
0.0859
0.1216
0.1419
0.1402
0.1052
0.0663
0.0375
0.8319
ETH
0.1313
0.1842
0.0029
0.0901
0.0955
0.1283
0.1425
0.0970
0.09392
0.0344
0.8158
USDT
0.0273
0.0041
0.8349
0.0059
0.0347
0.0169
0.0226
0.0273
0.0173
0.0091
0.1651
XPR
0.1166
0.1131
0.0030
0.2215
0.0834
0.1247
0.1203
0.1038
0.0927
0.0209
0.7786
LTC
0.1542
0.1136
0.0147
0.0713
0.2131
0.1324
0.1223
0.0950
0.0402
0.0431
0.7869
ADA
0.1387
0.1204
0.0133
0.0977
0.1031
0.1611
0.1235
0.1110
0.0916
0.0396
0.8389
BCH
0.1449
0.1369
0.0062
0.0933
0.1050
0.1252
0.1762
0.0992
0.0899
0.0235
0.8238
XLM
0.1229
0.1088
0.0069
0.0873
0.0886
0.1249
0.1053
0.1814
0.1024
0.0715
0.8186
LINK
0.0447
0.0907
0.0051
0.0393
0.0620
0.0374
0.0444
0.0365
0.6115
0.0284
0.3885
BNB
0.0905
0.0757
0.0055
0.0482
0.0649
0.1028
0.0704
0.1274
0.0549
0.3598
0.6402
TO
0.9710
0.8869
0.0675
0.6186
0.7589
0.9345
0.8914
0.8023
0.6492
0.3081
NET
0.1391
0.0710
−0.0977
−0.1599
−0.0280
0.0957
0.0676
−0.0163
0.2607
−0.3322
TOTAL
0.6890
Note. This table presents the net directional spillover among the volatility of the ten cryptocurrencies based on VAR over the period September 1, 2019–January 23, 2020. FROM: row sums of the table represent the contributions from others. TO: off-diagonal column represents contributions to others. NET: spillover transmitted by each cryptocurrency to all other cryptocurrencies, where positive (negative) values indicate that the currency in question is a net transmitter (receiver) of spillovers to all other cryptocurrencies. TOTAL: total spillover index.
