Daily return correlations of cryptocurrencies and other financial assets
| Bitcoin, N =1654 | Litecoin, N = 1654 | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | ||
R_SP5O0 | 0.07 | 1.00 | R_SP500 | 0.05 | 1.00 | ||||||||||||||||
R_WORLD | 0.01 | (0.17) | 1.00 | R_WORLD | 0.01 | (0.17) | 1.00 | ||||||||||||||
R_EM | 0.03 | (0.06) | 0.71 | 1.00 | R_EM | 0.02 | (0.06) | 0.71 | 1.00 | ||||||||||||
R_GOLD | (0.00) | 0.05 | (0.03) | 0.03 | 1.00 | R_GOLD | 0.01 | 0.05 | (0.03) | 0.03 | 1.00 | ||||||||||
R_3M | 0.00 | (0.00) | (0.00) | (0.01) | 0.01 | 1.00 | R_3M | 0.01 | (0.00) | (0.00) | (0.01) | 0.01 | 1.00 | ||||||||
R_10Y | (0.02) | 0.00 | (0.01) | (0.03) | (0.06) | 0.38 | 1.00 | R_10Y | (0.00) | 0.00 | (0.01) | (0.03) | (0.06) | 0.38 | 1.00 | ||||||
R_30Y | (0.01) | 0.01 | (0.01) | (0.02) | (0.06) | 0.05 | 0.92 | 1.00 | R_30Y | 0.00 | 0.01 | (0.01) | (0.02) | (0.06) | 0.05 | 0.92 | 1.00 | ||||
VOLM | 0.02 | (0.01) | (0.00) | (0.01) | 0.03 | 0.33 | (0.51) | (0.67) | 1.00 | VOLM | 0.06 | (0.01) | (0.01) | (0.01) | 0.04 | 0.42 | (0.44) | (0.59) | 1.00 | ||
VOLT | (0.03) | (0.04) | (0.01) | (0.02) | 0.04 | 0.09 | 0.06 | 0.01 | 0.18 | 1.00 | VOLT | 0.11 | (0.02) | 0.00 | (0.00) | 0.01 | 0.12 | 0.15 | 0.11 | 0.09 | 1.00 |
VIX | (0.06) | (0.17) | (0.14) | (0.14) | 0.03 | (0.12) | (0.50) | (0.53) | 0.51 | 0.15 | VIX | (0.06) | (0.17) | (0.14) | (0.14) | 0.03 | (0.12) | (0.50) | (0.53) | 0.35 | (0.02) |
Ripple (XRP), N = 1243 | Ethereum, N = 1244 | ||||||||||||||||||||
RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | ||
R_SP5O0 | 0.06 | 1.00 | R_SP500 | 0.05 | 1.00 | ||||||||||||||||
R_WORLD | 0.00 | (0.17) | 1.00 | R_WORLD | 0.01 | (0.17) | 1.00 | ||||||||||||||
R_EM | 0.05 | (0.06) | 0.71 | 1.00 | R_EM | 0.05 | (0.06) | 0.71 | 1.00 | ||||||||||||
R_GOLD | 0.05 | 0.05 | (0.03) | 0.03 | 1.00 | R_GOLD | 0.08 | 0.05 | (0.03) | 0.03 | 1.00 | ||||||||||
R_3M | 0.00 | (0.00) | (0.00) | (0.01) | 0.01 | 1.00 | R_3M | (0.06) | (0.00) | (0.00) | (0.01) | 0.01 | 1.00 | ||||||||
R_10Y | (0.00) | 0.00 | (0.01) | (0.03) | (0.06) | 0.38 | 1.00 | R_10Y | (0.02) | 0.00 | (0.01) | (0.03) | (0.06) | 0.38 | 1.00 | ||||||
R_30Y | (0.00) | 0.01 | (0.01) | (0.02) | (0.06) | 0.05 | 0.92 | 1.00 | R_30Y | 0.00 | 0.01 | (0.01) | (0.02) | (0.06) | 0.05 | 0.92 | 1.00 | ||||
VOL M | 0.0 6 | 0.00 | 0.00 | 0.0 0 | 0.04 | 0.4 2 | (0. 30) | (0. 47) | 1.0 0 | VOL M | (0. 01) | (0.02 ) | (0.02 ) | (0. 02) | 0.03 | 0.3 2 | (0.5 1) | (0. 67) | 1.0 0 | ||
VOLT | 0.16 | (0.02) | (0.00) | 0.00 | (0.01) | 0.04 | 0.19 | 0.17 | 0.12 | 1.00 | VOLT | 0.07 | (0.04) | 0.01 | 0.01 | 0.02 | (0.20) | 0.02 | 0.09 | (0.10) | 1.00 |
VIX | (0.05) | (0.17) | (0.14) | (0.14) | 0.03 | (0.12) | (0.50) | (0.53) | 0.33 | (0.05) | VIX | (0.06) | (0.17) | (0.14) | (0.14) | 0.03 | (0.12) | (0.50) | (0.53) | 0.50 | 0.11 |
Chainlink, N = 709 | Cardano, N =702 | ||||||||||||||||||||
RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | ||
R_SP500 | 0.09 | 1.00 | R_SP500 | 0.09 | 1.00 | ||||||||||||||||
R_WORLD | 0.00 | (0.25) | 1.00 | R_WORLD | 0.01 | (0.25) | 1.00 | ||||||||||||||
R_EM | 0.07 | (0.13) | 0.73 | 1.00 | R_EM | 0.08 | (0.13) | 0.73 | 1.00 | ||||||||||||
R_GOLD | 0.01 | 0.24 | (0.09) | (0.01) | 1.00 | R_GOLD | 0.07 | 0.25 | (0.09) | (0.01) | 1.00 | ||||||||||
R_3M | (0.01) | (0.02) | (0.02) | (0.04) | (0.04) | 1.00 | R_3M | (0.07) | (0.02) | (0.02) | (0.03) | (0.04) | 1.00 | ||||||||
R_10Y | (0.02) | 0.00 | (0.02) | (0.03) | (0.08) | 0.79 | 1.00 | R_10Y | (0.05) | 0.00 | (0.02) | (0.03) | (0.08) | 0.79 | 1.00 | ||||||
R_30Y | (0.02) | 0.01 | (0.01) | (0.02) | (0.08) | 0.80 | 0.99 | 1.00 | R_30Y | (0.04) | 0.01 | (0.01) | (0.02) | (0.08) | 0.80 | 0.99 | 1.00 | ||||
VOLM | 0.09 | (0.02) | (0.01) | (0.01) | 0.03 | (0.70) | (0.79) | (0.80) | 1.00 | VOLM | 0.11 | (0.02) | (0.01) | 0.03 | (0.01) | (0.26) | (0.10) | (0.10) | 1.00 | ||
VOLT | 0.11 | (0.01) | 0.03 | 0.00 | 0.00 | (0.10) | 0.14 | 0.16 | (0.06) | 1.00 | VOLT | 0.26 | (0.02) | 0.01 | (0.01) | (0.04) | (0.13) | 0.10 | 0.11 | 0.26 | 1.00 |
VIX | (0.06) | (0.17) | (0.12) | (0.14) | (0.00) | (0.59) | (0.58) | (0.60) | 0.57 | (0.01) | VIX | (0.06) | (0.17) | (0.12) | (0.14) | (0.00) | (0.61) | (0.58) | (0.60) | 0.09 | (0.03) |
Note(s):Negative numbers are shown in (). Daily correlations > 0.1 are highlighted. “R_” in headings means daily return | |||||||||||||||||||||
| Bitcoin, N =1654 | Litecoin, N = 1654 | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | ||
R_SP5O0 | 0.07 | 1.00 | R_SP500 | 0.05 | 1.00 | ||||||||||||||||
R_WORLD | 0.01 | (0.17) | 1.00 | R_WORLD | 0.01 | (0.17) | 1.00 | ||||||||||||||
R_EM | 0.03 | (0.06) | 0.71 | 1.00 | R_EM | 0.02 | (0.06) | 0.71 | 1.00 | ||||||||||||
R_GOLD | (0.00) | 0.05 | (0.03) | 0.03 | 1.00 | R_GOLD | 0.01 | 0.05 | (0.03) | 0.03 | 1.00 | ||||||||||
R_3M | 0.00 | (0.00) | (0.00) | (0.01) | 0.01 | 1.00 | R_3M | 0.01 | (0.00) | (0.00) | (0.01) | 0.01 | 1.00 | ||||||||
R_10Y | (0.02) | 0.00 | (0.01) | (0.03) | (0.06) | 0.38 | 1.00 | R_10Y | (0.00) | 0.00 | (0.01) | (0.03) | (0.06) | 0.38 | 1.00 | ||||||
R_30Y | (0.01) | 0.01 | (0.01) | (0.02) | (0.06) | 0.05 | 0.92 | 1.00 | R_30Y | 0.00 | 0.01 | (0.01) | (0.02) | (0.06) | 0.05 | 0.92 | 1.00 | ||||
VOLM | 0.02 | (0.01) | (0.00) | (0.01) | 0.03 | 0.33 | (0.51) | (0.67) | 1.00 | VOLM | 0.06 | (0.01) | (0.01) | (0.01) | 0.04 | 0.42 | (0.44) | (0.59) | 1.00 | ||
VOLT | (0.03) | (0.04) | (0.01) | (0.02) | 0.04 | 0.09 | 0.06 | 0.01 | 0.18 | 1.00 | VOLT | 0.11 | (0.02) | 0.00 | (0.00) | 0.01 | 0.12 | 0.15 | 0.11 | 0.09 | 1.00 |
VIX | (0.06) | (0.17) | (0.14) | (0.14) | 0.03 | (0.12) | (0.50) | (0.53) | 0.51 | 0.15 | VIX | (0.06) | (0.17) | (0.14) | (0.14) | 0.03 | (0.12) | (0.50) | (0.53) | 0.35 | (0.02) |
Ripple (XRP), N = 1243 | Ethereum, N = 1244 | ||||||||||||||||||||
RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | ||
R_SP5O0 | 0.06 | 1.00 | R_SP500 | 0.05 | 1.00 | ||||||||||||||||
R_WORLD | 0.00 | (0.17) | 1.00 | R_WORLD | 0.01 | (0.17) | 1.00 | ||||||||||||||
R_EM | 0.05 | (0.06) | 0.71 | 1.00 | R_EM | 0.05 | (0.06) | 0.71 | 1.00 | ||||||||||||
R_GOLD | 0.05 | 0.05 | (0.03) | 0.03 | 1.00 | R_GOLD | 0.08 | 0.05 | (0.03) | 0.03 | 1.00 | ||||||||||
R_3M | 0.00 | (0.00) | (0.00) | (0.01) | 0.01 | 1.00 | R_3M | (0.06) | (0.00) | (0.00) | (0.01) | 0.01 | 1.00 | ||||||||
R_10Y | (0.00) | 0.00 | (0.01) | (0.03) | (0.06) | 0.38 | 1.00 | R_10Y | (0.02) | 0.00 | (0.01) | (0.03) | (0.06) | 0.38 | 1.00 | ||||||
R_30Y | (0.00) | 0.01 | (0.01) | (0.02) | (0.06) | 0.05 | 0.92 | 1.00 | R_30Y | 0.00 | 0.01 | (0.01) | (0.02) | (0.06) | 0.05 | 0.92 | 1.00 | ||||
VOL M | 0.0 6 | 0.00 | 0.00 | 0.0 0 | 0.04 | 0.4 2 | (0. 30) | (0. 47) | 1.0 0 | VOL M | (0. 01) | (0.02 ) | (0.02 ) | (0. 02) | 0.03 | 0.3 2 | (0.5 1) | (0. 67) | 1.0 0 | ||
VOLT | 0.16 | (0.02) | (0.00) | 0.00 | (0.01) | 0.04 | 0.19 | 0.17 | 0.12 | 1.00 | VOLT | 0.07 | (0.04) | 0.01 | 0.01 | 0.02 | (0.20) | 0.02 | 0.09 | (0.10) | 1.00 |
VIX | (0.05) | (0.17) | (0.14) | (0.14) | 0.03 | (0.12) | (0.50) | (0.53) | 0.33 | (0.05) | VIX | (0.06) | (0.17) | (0.14) | (0.14) | 0.03 | (0.12) | (0.50) | (0.53) | 0.50 | 0.11 |
Chainlink, N = 709 | Cardano, N =702 | ||||||||||||||||||||
RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | RET | R_SP500 | R_WORLD | R_EM | R_GOLD | R_3M | R_10Y | R_30Y | VOLM | VOLT | ||
R_SP500 | 0.09 | 1.00 | R_SP500 | 0.09 | 1.00 | ||||||||||||||||
R_WORLD | 0.00 | (0.25) | 1.00 | R_WORLD | 0.01 | (0.25) | 1.00 | ||||||||||||||
R_EM | 0.07 | (0.13) | 0.73 | 1.00 | R_EM | 0.08 | (0.13) | 0.73 | 1.00 | ||||||||||||
R_GOLD | 0.01 | 0.24 | (0.09) | (0.01) | 1.00 | R_GOLD | 0.07 | 0.25 | (0.09) | (0.01) | 1.00 | ||||||||||
R_3M | (0.01) | (0.02) | (0.02) | (0.04) | (0.04) | 1.00 | R_3M | (0.07) | (0.02) | (0.02) | (0.03) | (0.04) | 1.00 | ||||||||
R_10Y | (0.02) | 0.00 | (0.02) | (0.03) | (0.08) | 0.79 | 1.00 | R_10Y | (0.05) | 0.00 | (0.02) | (0.03) | (0.08) | 0.79 | 1.00 | ||||||
R_30Y | (0.02) | 0.01 | (0.01) | (0.02) | (0.08) | 0.80 | 0.99 | 1.00 | R_30Y | (0.04) | 0.01 | (0.01) | (0.02) | (0.08) | 0.80 | 0.99 | 1.00 | ||||
VOLM | 0.09 | (0.02) | (0.01) | (0.01) | 0.03 | (0.70) | (0.79) | (0.80) | 1.00 | VOLM | 0.11 | (0.02) | (0.01) | 0.03 | (0.01) | (0.26) | (0.10) | (0.10) | 1.00 | ||
VOLT | 0.11 | (0.01) | 0.03 | 0.00 | 0.00 | (0.10) | 0.14 | 0.16 | (0.06) | 1.00 | VOLT | 0.26 | (0.02) | 0.01 | (0.01) | (0.04) | (0.13) | 0.10 | 0.11 | 0.26 | 1.00 |
VIX | (0.06) | (0.17) | (0.12) | (0.14) | (0.00) | (0.59) | (0.58) | (0.60) | 0.57 | (0.01) | VIX | (0.06) | (0.17) | (0.12) | (0.14) | (0.00) | (0.61) | (0.58) | (0.60) | 0.09 | (0.03) |
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