Table 6 FEM results Panel (A),...

Table 6

FEM results

Panel (A), fixed-effect model (FEM), all factors
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_SP500	0.0135	0.1254	0.11	0.9143
R_EM	0.5838	0.1197	4.88	0.0000	***
R_World	−0.2906	0.1200	−2.42	0.0155	**
R_Gold	0.3832	0.1038	3.69	0.0002	***
ΔYield_3m	0.0886	0.0342	2.59	0.0095	***
ΔYield_10Y	0.0579	0.0606	0.96	0.3390
ΔYield_30Y	−0.0180	0.0583	−0.31	0.7572
ΔVIX	−0.0020	0.0007	−2.88	0.0040	***
ΔVolume	0.0046	0.0006	7.47	0.0000	***
ΔVolatility_5d	0.2243	0.0170	13.19	0.0000	***
Constant	0.0023	0.0008	2.78	0.0055	***
Observations	7,192 observations in a panel of 1,651 × 6
R²	0.0441		Adjusted R²	0.0421

Panel (A), fixed-effect model (FEM), all factors
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_SP500	0.0135	0.1254	0.11	0.9143
R_EM	0.5838	0.1197	4.88	0.0000	***
R_World	−0.2906	0.1200	−2.42	0.0155	**
R_Gold	0.3832	0.1038	3.69	0.0002	***
ΔYield_3m	0.0886	0.0342	2.59	0.0095	***
ΔYield_10Y	0.0579	0.0606	0.96	0.3390
ΔYield_30Y	−0.0180	0.0583	−0.31	0.7572
ΔVIX	−0.0020	0.0007	−2.88	0.0040	***
ΔVolume	0.0046	0.0006	7.47	0.0000	***
ΔVolatility_5d	0.2243	0.0170	13.19	0.0000	***
Constant	0.0023	0.0008	2.78	0.0055	***
Observations	7,192 observations in a panel of 1,651 × 6
R²	0.0441		Adjusted R²	0.0421

Panel (B), fixed-effect model (FEM), significant factors only
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.5848	0.1197	4.89	0.0000	***
R_World	−0.2879	0.1197	−2.41	0.0162	**
R_Gold	0.3839	0.1022	3.76	0.0002	***
ΔYield_3m	0.0894	0.0341	2.62	0.0087	***
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	0.2243	0.0170	13.21	0.0000	***
Constant	0.0024	0.0008	2.79	0.0052	***
Observations	7,192 observations in a panel of 1,651 × 6
R²	0.0441		Adjusted R²	0.0424

Panel (B), fixed-effect model (FEM), significant factors only
Variable	Coefficient	Std. error	t-statistic	Prob	Significance
R_EM	0.5848	0.1197	4.89	0.0000	***
R_World	−0.2879	0.1197	−2.41	0.0162	**
R_Gold	0.3839	0.1022	3.76	0.0002	***
ΔYield_3m	0.0894	0.0341	2.62	0.0087	***
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	0.2243	0.0170	13.21	0.0000	***
Constant	0.0024	0.0008	2.79	0.0052	***
Observations	7,192 observations in a panel of 1,651 × 6
R²	0.0441		Adjusted R²	0.0424

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

Panel (A) contains all variables in this study

Panel (B) contains only statistically significant terms

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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