Results of the VEC Granger causality/block exogeneity wald test
| (a) Others to cryptocurrencies, all six cryptocurrencies | ||||
|---|---|---|---|---|
| Causal variable | Chi-square | df | Prob | Sig |
| RSP500 | 36.7 | 7 | 0.0000 | *** |
| REM | 16.4 | 7 | 0.0217 | ** |
| RWorld | 30.2 | 7 | 0.0001 | *** |
| RGold | 47.6 | 7 | 0.0000 | *** |
| ΔYield3m | 19.9 | 7 | 0.0058 | *** |
| ΔYield10Y | 25.0 | 7 | 0.0008 | *** |
| ΔYield30Y | 42.5 | 7 | 0.0000 | *** |
| ΔVIX | 43.0 | 7 | 0.0000 | *** |
| ΔVolume | 3.2 | 7 | 0.8620 | |
| ΔVolatility5d | 51.3 | 7 | 0.0000 | *** |
| All | 373.3642 | 70 | 0.00001 | *** |
| (a) Others to cryptocurrencies, all six cryptocurrencies | ||||
|---|---|---|---|---|
| Causal variable | Chi-square | df | Prob | Sig |
| RSP500 | 36.7 | 7 | 0.0000 | *** |
| REM | 16.4 | 7 | 0.0217 | ** |
| RWorld | 30.2 | 7 | 0.0001 | *** |
| RGold | 47.6 | 7 | 0.0000 | *** |
| ΔYield3m | 19.9 | 7 | 0.0058 | *** |
| ΔYield10Y | 25.0 | 7 | 0.0008 | *** |
| ΔYield30Y | 42.5 | 7 | 0.0000 | *** |
| ΔVIX | 43.0 | 7 | 0.0000 | *** |
| ΔVolume | 3.2 | 7 | 0.8620 | |
| ΔVolatility5d | 51.3 | 7 | 0.0000 | *** |
| (b) Others to cryptocurrencies, without bitcoin | ||||
|---|---|---|---|---|
| Causal variable | Chi-square | df | Prob | Sig |
| RSP500 | 32.3 | 7 | 0.0000 | *** |
| REM | 9.8 | 7 | 0.2027 | |
| RWorld | 26.2 | 7 | 0.0005 | *** |
| RGold | 34.3 | 7 | 0.0000 | *** |
| ΔYield3m | 13.6 | 7 | 0.0595 | * |
| ΔYield10Y | 19.6 | 7 | 0.0064 | *** |
| ΔYield30Y | 34.2 | 7 | 0.0000 | *** |
| ΔVIX | 31.4 | 7 | 0.0001 | *** |
| ΔVolume | 4.0 | 7 | 0.7797 | |
| ΔVolatility5d | 43.4 | 7 | 0.0000 | *** |
| All | 296.7019 | 70 | 0.00001 | *** |
| (b) Others to cryptocurrencies, without bitcoin | ||||
|---|---|---|---|---|
| Causal variable | Chi-square | df | Prob | Sig |
| RSP500 | 32.3 | 7 | 0.0000 | *** |
| REM | 9.8 | 7 | 0.2027 | |
| RWorld | 26.2 | 7 | 0.0005 | *** |
| RGold | 34.3 | 7 | 0.0000 | *** |
| ΔYield3m | 13.6 | 7 | 0.0595 | * |
| ΔYield10Y | 19.6 | 7 | 0.0064 | *** |
| ΔYield30Y | 34.2 | 7 | 0.0000 | *** |
| ΔVIX | 31.4 | 7 | 0.0001 | *** |
| ΔVolume | 4.0 | 7 | 0.7797 | |
| ΔVolatility5d | 43.4 | 7 | 0.0000 | *** |
| (c) Cryptocurrencies to others, all six cryptocurrencies | ||||
|---|---|---|---|---|
| Causal variable | Chi-square | df | Prob | Sig |
| RSP500 | 28.7 | 7 | 0.0002 | *** |
| REM | 19.5 | 7 | 0.0068 | *** |
| RWorld | 34.8 | 7 | 0.0000 | *** |
| RGold | 38.8 | 7 | 0.0000 | *** |
| ΔYield3m | 25.4 | 7 | 0.0006 | *** |
| ΔYield10Y | 13.2 | 7 | 0.0671 | * |
| ΔYield30Y | 18.2 | 7 | 0.0111 | ** |
| ΔVIX | 13.1 | 7 | 0.0697 | * |
| ΔVolume | 20.4 | 7 | 0.0047 | *** |
| ΔVolatility5d | 110.1 | 7 | 0.0000 | *** |
| Lags: 1 to 7, N = 7,122 | ||||
| (c) Cryptocurrencies to others, all six cryptocurrencies | ||||
|---|---|---|---|---|
| Causal variable | Chi-square | df | Prob | Sig |
| RSP500 | 28.7 | 7 | 0.0002 | *** |
| REM | 19.5 | 7 | 0.0068 | *** |
| RWorld | 34.8 | 7 | 0.0000 | *** |
| RGold | 38.8 | 7 | 0.0000 | *** |
| ΔYield3m | 25.4 | 7 | 0.0006 | *** |
| ΔYield10Y | 13.2 | 7 | 0.0671 | * |
| ΔYield30Y | 18.2 | 7 | 0.0111 | ** |
| ΔVIX | 13.1 | 7 | 0.0697 | * |
| ΔVolume | 20.4 | 7 | 0.0047 | *** |
| ΔVolatility5d | 110.1 | 7 | 0.0000 | *** |
| (d) Cryptocurrencies to others, without bitcoin | ||||
|---|---|---|---|---|
| Causal variable | Chi-square | df | Prob | Sig |
| RSP500 | 20.9 | 7 | 0.0039 | *** |
| REM | 13.8 | 7 | 0.0548 | * |
| RWorld | 27.3 | 7 | 0.0003 | *** |
| RGold | 25.4 | 7 | 0.0006 | *** |
| ΔYield3m | 22.5 | 7 | 0.0021 | *** |
| ΔYield10Y | 10.4 | 7 | 0.1696 | |
| ΔYield30Y | 13.8 | 7 | 0.0546 | * |
| ΔVIX | 9.1 | 7 | 0.2453 | |
| ΔVolume | 22.6 | 7 | 0.0020 | *** |
| ΔVolatility5d | 114.0 | 7 | 0.0000 | *** |
| Lags: 1 to 7, N = 7,122 | ||||
| (d) Cryptocurrencies to others, without bitcoin | ||||
|---|---|---|---|---|
| Causal variable | Chi-square | df | Prob | Sig |
| RSP500 | 20.9 | 7 | 0.0039 | *** |
| REM | 13.8 | 7 | 0.0548 | * |
| RWorld | 27.3 | 7 | 0.0003 | *** |
| RGold | 25.4 | 7 | 0.0006 | *** |
| ΔYield3m | 22.5 | 7 | 0.0021 | *** |
| ΔYield10Y | 10.4 | 7 | 0.1696 | |
| ΔYield30Y | 13.8 | 7 | 0.0546 | * |
| ΔVIX | 9.1 | 7 | 0.2453 | |
| ΔVolume | 22.6 | 7 | 0.0020 | *** |
| ΔVolatility5d | 114.0 | 7 | 0.0000 | *** |
Note(s): Panel (a) shows the causality of other variables on all six cryptocurrency daily returns, Ret
Panel (b) shows the same results as panel (a) but excludes BTC
Panel (c) shows the causality of cryptocurrency daily returns, Ret, on other variables
Panel (d) shows the same results as panel (c) but excludes BTC
Highlighted rows show changes in significance between horizontal panels
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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