Table 2 Volatility connectedness Bitcoin...

Table 2

Volatility connectedness

	Bitcoin	Gold	WTI	SP500	FTSE	Nikkei	DAX.40	CAC.40	FTSE.MIB	S.P.TSX	WHEAT	GAS	FROM
Bitcoin	75.33	1.94	0.69	5.07	2.02	1.36	2.58	2.50	2.80	4.37	0.60	0.74	24.67
Gold	2.38	72.92	2.49	2.90	2.05	1.74	3.32	3.18	2.83	4.23	1.13	0.85	27.08
WTI	1.20	2.23	67.35	2.88	3.82	1.20	2.90	3.98	3.83	7.79	1.62	1.20	32.65
SP500	2.90	1.33	1.67	44.13	6.28	2.19	9.00	8.25	7.31	15.55	0.38	1.02	55.87
FTSE	1.34	0.97	1.70	6.98	42.66	1.95	12.07	13.49	10.48	7.28	0.62	0.47	57.34
Nikkei	1.84	1.95	1.68	9.89	4.57	48.87	7.80	7.63	6.60	7.48	0.64	1.05	51.13
DAX.40	1.28	1.31	1.24	7.23	10.25	2.07	27.79	21.70	18.06	8.34	0.38	0.36	72.21
CAC.40	1.19	1.15	1.70	6.64	11.21	1.98	21.26	27.20	18.32	8.65	0.36	0.32	72.80
FTSE.MIB	1.37	1.14	1.76	6.03	9.48	1.69	19.33	20.03	30.16	8.27	0.44	0.29	69.84
S.P.TSX	2.39	1.83	4.38	14.04	7.35	1.74	10.24	10.85	9.66	36.26	0.53	0.74	63.74
WHEAT	0.92	1.31	2.50	1.03	1.77	1.03	1.27	1.14	1.31	1.34	85.52	0.85	14.48
GAS	0.95	1.24	1.70	2.11	1.23	0.79	1.19	1.27	1.13	2.01	0.80	85.59	14.41
TO	17.76	16.39	21.50	64.81	60.01	17.75	90.96	94.01	82.32	75.30	7.50	7.91	556.22
Inc.Own	93.09	89.31	88.86	108.94	102.67	66.62	118.74	121.21	112.49	111.55	93.02	93.50	cTCI/TCI
NET	−6.91	−10.69	−11.14	8.94	2.67	−33.38	18.74	21.21	12.49	11.55	−6.98	−6.50	50.57/46.35
NPT	5.00	3.00	4.00	7.00	7.00	1.00	10.00	11.00	9.00	7.00	0.00	2.00

	Bitcoin	Gold	WTI	SP500	FTSE	Nikkei	DAX.40	CAC.40	FTSE.MIB	S.P.TSX	WHEAT	GAS	FROM
Bitcoin	75.33	1.94	0.69	5.07	2.02	1.36	2.58	2.50	2.80	4.37	0.60	0.74	24.67
Gold	2.38	72.92	2.49	2.90	2.05	1.74	3.32	3.18	2.83	4.23	1.13	0.85	27.08
WTI	1.20	2.23	67.35	2.88	3.82	1.20	2.90	3.98	3.83	7.79	1.62	1.20	32.65
SP500	2.90	1.33	1.67	44.13	6.28	2.19	9.00	8.25	7.31	15.55	0.38	1.02	55.87
FTSE	1.34	0.97	1.70	6.98	42.66	1.95	12.07	13.49	10.48	7.28	0.62	0.47	57.34
Nikkei	1.84	1.95	1.68	9.89	4.57	48.87	7.80	7.63	6.60	7.48	0.64	1.05	51.13
DAX.40	1.28	1.31	1.24	7.23	10.25	2.07	27.79	21.70	18.06	8.34	0.38	0.36	72.21
CAC.40	1.19	1.15	1.70	6.64	11.21	1.98	21.26	27.20	18.32	8.65	0.36	0.32	72.80
FTSE.MIB	1.37	1.14	1.76	6.03	9.48	1.69	19.33	20.03	30.16	8.27	0.44	0.29	69.84
S.P.TSX	2.39	1.83	4.38	14.04	7.35	1.74	10.24	10.85	9.66	36.26	0.53	0.74	63.74
WHEAT	0.92	1.31	2.50	1.03	1.77	1.03	1.27	1.14	1.31	1.34	85.52	0.85	14.48
GAS	0.95	1.24	1.70	2.11	1.23	0.79	1.19	1.27	1.13	2.01	0.80	85.59	14.41
TO	17.76	16.39	21.50	64.81	60.01	17.75	90.96	94.01	82.32	75.30	7.50	7.91	556.22
Inc.Own	93.09	89.31	88.86	108.94	102.67	66.62	118.74	121.21	112.49	111.55	93.02	93.50	cTCI/TCI
NET	−6.91	−10.69	−11.14	8.94	2.67	−33.38	18.74	21.21	12.49	11.55	−6.98	−6.50	50.57/46.35
NPT	5.00	3.00	4.00	7.00	7.00	1.00	10.00	11.00	9.00	7.00	0.00	2.00

Note(s): Volatility connectedness for four commodities (WTI crude oil, gas, wheat and gold), bitcoin and the G7 stock market return indices for the sample period from January 1, 2017, to February 7, 2025. “FROM” indicates the total spillovers received by an asset or commodity index from all other series. “TO” indicates the total spillovers transmitted by an asset or commodity index to all other firms. TCI is the total net connectedness index. “NET” is the net spillover which is computed by the difference between the “from” and the “to” spillover index

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