Table 5 Individual OLS regression... | Emerald Publishing

Table 5

Individual OLS regression results

Bitcoin, N = 1,653, R² = 0.0498, adjusted R² = 0.0486
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
ΔVIX	−0.0018	0.0006	−3.11	0.0019	***
ΔVolume	0.0033	0.0004	7.44	0.0000	***
ΔVolatility_5d	−0.2003	0.0374	−5.36	0.0000	***

Bitcoin, N = 1,653, R² = 0.0498, adjusted R² = 0.0486
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
ΔVIX	−0.0018	0.0006	−3.11	0.0019	***
ΔVolume	0.0033	0.0004	7.44	0.0000	***
ΔVolatility_5d	−0.2003	0.0374	−5.36	0.0000	***

XRP, N = 1,240, R² = 0.0733, adjusted R² = 0.0703
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_Gold	0.7312	0.2572	2.84	0.0045	***
ΔYield_3m	0.1800	0.0904	1.99	0.0467	**
ΔVIX	−0.0022	0.0010	−2.11	0.0352	**
ΔVolume	0.0184	0.0041	4.45	0.0000	***
ΔVolatility_5d	0.2982	0.0405	7.37	0.0000	***

XRP, N = 1,240, R² = 0.0733, adjusted R² = 0.0703
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_Gold	0.7312	0.2572	2.84	0.0045	***
ΔYield_3m	0.1800	0.0904	1.99	0.0467	**
ΔVIX	−0.0022	0.0010	−2.11	0.0352	**
ΔVolume	0.0184	0.0041	4.45	0.0000	***
ΔVolatility_5d	0.2982	0.0405	7.37	0.0000	***

Chainlink, N = 708, R² = 0.0807, adjusted R² = 0.0768
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.7187	0.3254	2.21	0.0275	**
ΔVIX	−0.0043	0.0014	−3.00	0.0028	***
ΔVolume	0.2825	0.0508	5.56	0.0000	***
ΔVolatility_5d	0.1998	0.0542	3.69	0.0002	***

Chainlink, N = 708, R² = 0.0807, adjusted R² = 0.0768
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.7187	0.3254	2.21	0.0275	**
ΔVIX	−0.0043	0.0014	−3.00	0.0028	***
ΔVolume	0.2825	0.0508	5.56	0.0000	***
ΔVolatility_5d	0.1998	0.0542	3.69	0.0002	***

Litecoin, N = 1,653, R² = 0.0854, adjusted R² = 0.0843
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_SP500	0.3295	0.1383	2.38	0.0174	**
ΔVolume	0.0478	0.0044	10.84	0.0000	***
ΔVolatility_5d	0.1310	0.0349	3.75	0.0002	***

Litecoin, N = 1,653, R² = 0.0854, adjusted R² = 0.0843
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_SP500	0.3295	0.1383	2.38	0.0174	**
ΔVolume	0.0478	0.0044	10.84	0.0000	***
ΔVolatility_5d	0.1310	0.0349	3.75	0.0002	***

Ethereum, N = 1,241, R² = 0.0335, adjusted R² = 0.0319
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_Gold	0.7680	0.2319	3.31	0.0010	***
ΔYield_3m	0.1926	0.0808	2.38	0.0173	**
ΔVolume	0.0092	0.0016	5.70	0.0000	***

Ethereum, N = 1,241, R² = 0.0335, adjusted R² = 0.0319
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_Gold	0.7680	0.2319	3.31	0.0010	***
ΔYield_3m	0.1926	0.0808	2.38	0.0173	**
ΔVolume	0.0092	0.0016	5.70	0.0000	***

Cardano, N = 701, R² = 0.1980, adjusted R² = 0.1945
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.8517	0.2909	2.93	0.0035	***
ΔVIX	−0.0048	0.0013	−3.79	0.0002	***
ΔVolume	0.1451	0.0287	5.05	0.0000	***
ΔVolatility_5d	0.4692	0.0456	10.29	0.0000	***

Cardano, N = 701, R² = 0.1980, adjusted R² = 0.1945
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.8517	0.2909	2.93	0.0035	***
ΔVIX	−0.0048	0.0013	−3.79	0.0002	***
ΔVolume	0.1451	0.0287	5.05	0.0000	***
ΔVolatility_5d	0.4692	0.0456	10.29	0.0000	***

Note(s): Dependent variable: RET, the daily return of cryptocurrency

Only statistically significant terms (chosen by the stepwise least squares regression method) are shown for each currency

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