Table 2 Averaged Joint connectedness BTC...

Table 2

Averaged Joint connectedness

	BTC	ETH	BNB	SP500	SSE	EURONEXT	JPXGY	HSKE	LSE	FROM
Panel A: Total
Whole sample
BTC	45.10	29.10	19.22	2.77	0.53	0.70	0.90	0.34	1.34	54.90
ETH	28.43	44.15	20.43	2.76	0.59	0.81	1.09	0.82	0.92	55.85
BNB	20.56	22.39	49.14	2.78	0.90	0.96	1.32	0.77	1.19	50.86
SP500	3.46	3.80	3.31	62.64	3.90	5.47	7.77	3.75	5.91	37.36
SSE	1.42	1.61	1.58	5.47	62.45	2.21	1.60	20.48	3.18	37.55
EURONEXT	1.19	1.62	1.47	6.29	2.06	67.40	1.65	3.76	14.56	32.60
JPXGY	1.86	2.54	2.58	11.04	2.37	2.25	72.75	2.28	2.33	27.25
HSKE	0.68	1.47	1.09	6.98	19.68	3.94	2.33	60.22	3.62	39.78
LSE	1.75	1.39	1.63	7.40	2.02	14.31	1.33	2.56	67.60	32.40
To	59.35	63.92	51.32	45.49	32.04	30.63	17.98	34.77	33.05	TCI
NET	4.45	8.07	0.46	8.13	−5.51	−1.97	−9.27	−5.02	0.65	40.95
Panel B: 1–5
1–5
BTC	39.11	25.37	16.67	2.40	0.44	0.59	0.79	0.28	1.20	47.75
ETH	25.18	38.55	17.94	2.42	0.50	0.65	0.97	0.65	0.82	49.13
BNB	18.00	19.59	42.54	2.48	0.76	0.79	1.17	0.59	1.04	44.42
SP500	3.20	3.45	3.11	55.40	3.59	4.93	7.09	3.28	5.31	33.96
SSE	1.24	1.32	1.22	4.21	53.94	1.77	1.32	17.32	2.57	30.96
EURONEXT	0.98	1.36	1.21	5.35	1.82	57.90	1.42	3.17	12.74	28.05
JPXGY	1.63	2.19	2.34	9.82	2.16	1.85	62.88	2.04	1.95	23.97
HSKE	0.58	1.15	0.89	5.41	17.31	3.19	1.89	51.96	2.88	33.30
LSE	1.51	1.24	1.44	6.16	1.92	12.46	1.12	2.34	58.78	28.19
To	52.32	55.68	44.81	38.25	28.50	26.22	15.77	29.68	28.51	TCI
NET	4.57	6.54	0.39	4.30	−2.46	−1.84	−8.20	−3.62	0.32	35.53
Panel C: 5-inf
5-inf
BTC	5.99	3.73	2.56	0.37	0.09	0.11	0.11	0.05	0.13	7.15
ETH	3.25	5.60	2.49	0.34	0.09	0.16	0.12	0.18	0.10	6.72
BNB	2.56	2.80	6.60	0.30	0.14	0.17	0.15	0.18	0.15	6.44
SP500	0.27	0.35	0.20	7.24	0.31	0.54	0.67	0.47	0.60	3.40
SSE	0.18	0.28	0.36	1.27	8.51	0.44	0.28	3.16	0.61	6.59
EURONEXT	0.22	0.26	0.26	0.94	0.24	9.49	0.23	0.59	1.82	4.55
JPXGY	0.23	0.35	0.24	1.22	0.21	0.40	9.87	0.23	0.39	3.27
HSKE	0.09	0.32	0.20	1.57	2.37	0.75	0.44	8.26	0.74	6.48
LSE	0.24	0.15	0.20	1.23	0.11	1.85	0.21	0.22	8.82	4.22
To	7.03	8.24	6.51	7.24	3.54	4.42	2.21	5.09	4.54	TCI
NET	−0.11	1.52	0.07	3.84	−3.05	−0.13	−1.07	−1.39	0.32	5.42

	BTC	ETH	BNB	SP500	SSE	EURONEXT	JPXGY	HSKE	LSE	FROM
Panel A: Total
Whole sample
BTC	45.10	29.10	19.22	2.77	0.53	0.70	0.90	0.34	1.34	54.90
ETH	28.43	44.15	20.43	2.76	0.59	0.81	1.09	0.82	0.92	55.85
BNB	20.56	22.39	49.14	2.78	0.90	0.96	1.32	0.77	1.19	50.86
SP500	3.46	3.80	3.31	62.64	3.90	5.47	7.77	3.75	5.91	37.36
SSE	1.42	1.61	1.58	5.47	62.45	2.21	1.60	20.48	3.18	37.55
EURONEXT	1.19	1.62	1.47	6.29	2.06	67.40	1.65	3.76	14.56	32.60
JPXGY	1.86	2.54	2.58	11.04	2.37	2.25	72.75	2.28	2.33	27.25
HSKE	0.68	1.47	1.09	6.98	19.68	3.94	2.33	60.22	3.62	39.78
LSE	1.75	1.39	1.63	7.40	2.02	14.31	1.33	2.56	67.60	32.40
To	59.35	63.92	51.32	45.49	32.04	30.63	17.98	34.77	33.05	TCI
NET	4.45	8.07	0.46	8.13	−5.51	−1.97	−9.27	−5.02	0.65	40.95
Panel B: 1–5
1–5
BTC	39.11	25.37	16.67	2.40	0.44	0.59	0.79	0.28	1.20	47.75
ETH	25.18	38.55	17.94	2.42	0.50	0.65	0.97	0.65	0.82	49.13
BNB	18.00	19.59	42.54	2.48	0.76	0.79	1.17	0.59	1.04	44.42
SP500	3.20	3.45	3.11	55.40	3.59	4.93	7.09	3.28	5.31	33.96
SSE	1.24	1.32	1.22	4.21	53.94	1.77	1.32	17.32	2.57	30.96
EURONEXT	0.98	1.36	1.21	5.35	1.82	57.90	1.42	3.17	12.74	28.05
JPXGY	1.63	2.19	2.34	9.82	2.16	1.85	62.88	2.04	1.95	23.97
HSKE	0.58	1.15	0.89	5.41	17.31	3.19	1.89	51.96	2.88	33.30
LSE	1.51	1.24	1.44	6.16	1.92	12.46	1.12	2.34	58.78	28.19
To	52.32	55.68	44.81	38.25	28.50	26.22	15.77	29.68	28.51	TCI
NET	4.57	6.54	0.39	4.30	−2.46	−1.84	−8.20	−3.62	0.32	35.53
Panel C: 5-inf
5-inf
BTC	5.99	3.73	2.56	0.37	0.09	0.11	0.11	0.05	0.13	7.15
ETH	3.25	5.60	2.49	0.34	0.09	0.16	0.12	0.18	0.10	6.72
BNB	2.56	2.80	6.60	0.30	0.14	0.17	0.15	0.18	0.15	6.44
SP500	0.27	0.35	0.20	7.24	0.31	0.54	0.67	0.47	0.60	3.40
SSE	0.18	0.28	0.36	1.27	8.51	0.44	0.28	3.16	0.61	6.59
EURONEXT	0.22	0.26	0.26	0.94	0.24	9.49	0.23	0.59	1.82	4.55
JPXGY	0.23	0.35	0.24	1.22	0.21	0.40	9.87	0.23	0.39	3.27
HSKE	0.09	0.32	0.20	1.57	2.37	0.75	0.44	8.26	0.74	6.48
LSE	0.24	0.15	0.20	1.23	0.11	1.85	0.21	0.22	8.82	4.22
To	7.03	8.24	6.51	7.24	3.54	4.42	2.21	5.09	4.54	TCI
NET	−0.11	1.52	0.07	3.84	−3.05	−0.13	−1.07	−1.39	0.32	5.42

Note(s): Results are based on a QVAR model with a lag length of order one (Bayesian Information Criterion (BIC)) and a 20-step-ahead generalized forecast error variance decomposition. Panel B and C are the results of the fluctuation in the system's forecast uncertainty in the short run and long run

Source(s): Authors' calculations

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