Table 4 Pooled OLS regression results...

Table 4

Pooled OLS regression results

Panel A: All variables in the study
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_SP500	0.0139	0.1254	0.11	0.9115
R_EM	0.5839	0.1197	4.88	0.0000	***
R_World	−0.2904	0.1200	−2.42	0.0155	**
R_Gold	0.3848	0.1038	3.71	0.0002
ΔYield_3m	0.0880	0.0342	2.58	0.0100	**
ΔYield_10Y	0.0574	0.0606	0.95	0.3437
ΔYield_30Y	−0.0175	0.0583	−0.30	0.7644
ΔVIX	−0.0020	0.0007	−2.87	0.0041	***
ΔVolume	0.0046	0.0006	7.47	0.0000	***
ΔVolatility_5d	0.2242	0.0170	13.18	0.0000	***
Constant	0.0023	0.0008	2.78	0.0055	***
Observations	7,192
R²	0.0437		Adjusted R²	0.0423

Panel A: All variables in the study
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_SP500	0.0139	0.1254	0.11	0.9115
R_EM	0.5839	0.1197	4.88	0.0000	***
R_World	−0.2904	0.1200	−2.42	0.0155	**
R_Gold	0.3848	0.1038	3.71	0.0002
ΔYield_3m	0.0880	0.0342	2.58	0.0100	**
ΔYield_10Y	0.0574	0.0606	0.95	0.3437
ΔYield_30Y	−0.0175	0.0583	−0.30	0.7644
ΔVIX	−0.0020	0.0007	−2.87	0.0041	***
ΔVolume	0.0046	0.0006	7.47	0.0000	***
ΔVolatility_5d	0.2242	0.0170	13.18	0.0000	***
Constant	0.0023	0.0008	2.78	0.0055	***
Observations	7,192
R²	0.0437		Adjusted R²	0.0423

Panel B: Significant variables only
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.5849	0.1196	4.89	0.0000	***
R_World	−0.2878	0.1197	−2.40	0.0162	**
R_Gold	0.3856	0.1022	3.77	0.0002	***
ΔYield_3m	0.0887	0.0341	2.60	0.0092	***
ΔYield_10Y	0.0409	0.0205	1.99	0.0461	**
ΔVIX	−0.0021	0.0004	−4.64	0.0000	***
ΔVolume	0.0046	0.0006	7.47	0.0000	***
ΔVolatility_5d	0.2242	0.0170	13.20	0.0000	***
Constant	0.0024	0.0008	2.79	0.0053	***
Observations	7,192
R²	0.0437		Adjusted R²	0.0426

Panel B: Significant variables only
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.5849	0.1196	4.89	0.0000	***
R_World	−0.2878	0.1197	−2.40	0.0162	**
R_Gold	0.3856	0.1022	3.77	0.0002	***
ΔYield_3m	0.0887	0.0341	2.60	0.0092	***
ΔYield_10Y	0.0409	0.0205	1.99	0.0461	**
ΔVIX	−0.0021	0.0004	−4.64	0.0000	***
ΔVolume	0.0046	0.0006	7.47	0.0000	***
ΔVolatility_5d	0.2242	0.0170	13.20	0.0000	***
Constant	0.0024	0.0008	2.79	0.0053	***
Observations	7,192
R²	0.0437		Adjusted R²	0.0426

Note(s): Dependent variable: RET, the daily return of cryptocurrency. Panel (A) contains all variables in this study

C is a constant in the regression equation

Panel (B) contains only statistically significant terms (chosen by the stepwise least squares regression method)

Significance at the 10, 5 and 1% levels are indicated by *, ** and ***, respectively. The date range is from 12/31/2013 to 08/01/2020

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