Table 4 Total and directional return and...

Table 4

Total and directional return and volatility spillover indices

	SP500	Bitcoin	Ether	Gold	Tether	TrueUSD
Total returns spillover index: 54.89%
Directional return spillover indices
I to all	7.46	8.01	5.60	4.60	14.87	14.33
All to I	0.40	23.84	26.69	0.528	1.60	1.82
Net I to ALl	7.05	−15.82	−21.08	4.07	13.27	12.51
Pairwise directional return spillover indices
SP500	9.20	2.76	4.36	0.29	0.02	0.02
Bitcoin	0.13	8.65	7.71	0.09	0.04	0.04
Ether	0.12	5.37	11.06	0.05	0.02	0.03
Gold	0.03	2.39	2.15	12.06	0.01	0.01
Tether	0.06	6.88	6.16	0.04	1.79	1.71
TrueUSD	0.05	6.43	6.29	0.04	1.51	2.32
Total volatility spillover index: 89.27%
Directional volatility spillover indices
I to All	15.44	12.30	16.66	15.58	12.60	16.66
All to I	3.99	52.43	0.02	0.04	32.77	0.01
Net I to All	11.45	−40.12	16.64	15.54	−20.17	16.65
Pairwise directional volatility spillover indices
SP500	1.22	14.23	0.01	0.01	1.20	0.01
Bitcoin	1.87	4.35	0.01	0.01	10.41	0.01
Ether	0.46	11.90	0.01	0.01	4.27	0.01
Gold	0.69	0.72	0.02	1.07	14.15	0.01
Tether	0.48	12.11	0.01	0.01	4.05	0.01
TrueUSD	0.47	13.44	0.01	0.01	2.72	0.01

	SP500	Bitcoin	Ether	Gold	Tether	TrueUSD
Total returns spillover index: 54.89%
Directional return spillover indices
I to all	7.46	8.01	5.60	4.60	14.87	14.33
All to I	0.40	23.84	26.69	0.528	1.60	1.82
Net I to ALl	7.05	−15.82	−21.08	4.07	13.27	12.51
Pairwise directional return spillover indices
SP500	9.20	2.76	4.36	0.29	0.02	0.02
Bitcoin	0.13	8.65	7.71	0.09	0.04	0.04
Ether	0.12	5.37	11.06	0.05	0.02	0.03
Gold	0.03	2.39	2.15	12.06	0.01	0.01
Tether	0.06	6.88	6.16	0.04	1.79	1.71
TrueUSD	0.05	6.43	6.29	0.04	1.51	2.32
Total volatility spillover index: 89.27%
Directional volatility spillover indices
I to All	15.44	12.30	16.66	15.58	12.60	16.66
All to I	3.99	52.43	0.02	0.04	32.77	0.01
Net I to All	11.45	−40.12	16.64	15.54	−20.17	16.65
Pairwise directional volatility spillover indices
SP500	1.22	14.23	0.01	0.01	1.20	0.01
Bitcoin	1.87	4.35	0.01	0.01	10.41	0.01
Ether	0.46	11.90	0.01	0.01	4.27	0.01
Gold	0.69	0.72	0.02	1.07	14.15	0.01
Tether	0.48	12.11	0.01	0.01	4.05	0.01
TrueUSD	0.47	13.44	0.01	0.01	2.72	0.01

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