Table 2 VAR(2) model parameter estimates...

Table 2

VAR(2) model parameter estimates

Explanatory variable	Dependent variable
Explanatory variable	S&P 500	BNB BTC	COIN BTC	Kraken BTC	CMC BTC	BNB ETH	COIN ETH	Kraken ETH	CMC ETH
S&P 500 L1	−0.175***	−0.031	−0.032	−0.029	−0.034	0.087	0.092	0.149	0.093
BNB BTC L1	0.382	4.152	4.611	4.682	4.220	9.556**	9.752**	4.485	8.982**
COIN BTC L1	0.754	7.114*	6.374	7.112*	6.415	8.094	8.348	7.372	7.817
Kraken BTC L1	−1.293	−11.106***	−10.822	−11.614***	−9.980***	−16.999***	−17.403***	−12.773***	−16.194***
CMC BTC L1	0.137	−0.151	−0.149	−0.166	−0.629	−0.712	−0.761	0.810	−0.657
BNB ETH L1	2.338***	2.177	2.091	2.090	2.347	5.264*	6.010**	5.873**	6.335**
COIN ETH L1	−2.072***	−2.765	−2.669	−2.678	−2.920	−5.996*	−6.769**	−5.695*	−6.527**
Kraken ETH L1	0.001	−0.043	−0.0431	−0.045	−0.046	−0.086	−0.087	−0.456***	−0.090
CMC ETH L1	−0.254	0.528	0.517	0.528	0.515	0.731	0.760	0.402	0.200
S&P 500 L2	0.131***	−0.131	−0.120	−0.124	−0.070	0.004	−0.005	−0.011	0.038
BNB BTC L2	3.123***	10.226***	10.404***	10.471***	9.426***	15.340***	15.551***	6.792	14.539***
COIN BTC L2	−1.819	−1.150	−1.544	−1.136	−1.259	−6.163	−6.007	−3.858	−5.881
Kraken BTC L2	−0.863	−8.876**	−8.675**	−9.130**	−7.831**	−9.487*	−9.774**	−2.914	−8.961*
CMC BTC L2	−0.450	−0.204	−0.190	−0.209	−0.340	0.276	0.195	−0.214	0.262
BNB ETH L2	0.3792	4.456*	4.464*	4.445*	4.615**	6.390**	6.714**	4.275	6.837**
COIN ETH L2	−0.698	−4.519*	−4.513*	−4.509*	−4.558*	−6.468**	−6.851**	−4.290	−6.648**
Kraken ETH L2	0.0218	0.054	0.0538	0.053	0.053	0.024	0.024	−0.213***	0.029
CMC ETH L2	0.332	0.125	0.110	0.129	0.009	0.270	0.331	0.600	0.010
Constant	0.001	0.003	0.003	0.003	0.003	0.005*	0.005*	0.004	0.005*

Explanatory variable	Dependent variable
Explanatory variable	S&P 500	BNB BTC	COIN BTC	Kraken BTC	CMC BTC	BNB ETH	COIN ETH	Kraken ETH	CMC ETH
S&P 500 L1	−0.175***	−0.031	−0.032	−0.029	−0.034	0.087	0.092	0.149	0.093
BNB BTC L1	0.382	4.152	4.611	4.682	4.220	9.556**	9.752**	4.485	8.982**
COIN BTC L1	0.754	7.114*	6.374	7.112*	6.415	8.094	8.348	7.372	7.817
Kraken BTC L1	−1.293	−11.106***	−10.822	−11.614***	−9.980***	−16.999***	−17.403***	−12.773***	−16.194***
CMC BTC L1	0.137	−0.151	−0.149	−0.166	−0.629	−0.712	−0.761	0.810	−0.657
BNB ETH L1	2.338***	2.177	2.091	2.090	2.347	5.264*	6.010**	5.873**	6.335**
COIN ETH L1	−2.072***	−2.765	−2.669	−2.678	−2.920	−5.996*	−6.769**	−5.695*	−6.527**
Kraken ETH L1	0.001	−0.043	−0.0431	−0.045	−0.046	−0.086	−0.087	−0.456***	−0.090
CMC ETH L1	−0.254	0.528	0.517	0.528	0.515	0.731	0.760	0.402	0.200
S&P 500 L2	0.131***	−0.131	−0.120	−0.124	−0.070	0.004	−0.005	−0.011	0.038
BNB BTC L2	3.123***	10.226***	10.404***	10.471***	9.426***	15.340***	15.551***	6.792	14.539***
COIN BTC L2	−1.819	−1.150	−1.544	−1.136	−1.259	−6.163	−6.007	−3.858	−5.881
Kraken BTC L2	−0.863	−8.876**	−8.675**	−9.130**	−7.831**	−9.487*	−9.774**	−2.914	−8.961*
CMC BTC L2	−0.450	−0.204	−0.190	−0.209	−0.340	0.276	0.195	−0.214	0.262
BNB ETH L2	0.3792	4.456*	4.464*	4.445*	4.615**	6.390**	6.714**	4.275	6.837**
COIN ETH L2	−0.698	−4.519*	−4.513*	−4.509*	−4.558*	−6.468**	−6.851**	−4.290	−6.648**
Kraken ETH L2	0.0218	0.054	0.0538	0.053	0.053	0.024	0.024	−0.213***	0.029
CMC ETH L2	0.332	0.125	0.110	0.129	0.009	0.270	0.331	0.600	0.010
Constant	0.001	0.003	0.003	0.003	0.003	0.005*	0.005*	0.004	0.005*

Note(s): “***” significant at 1%, “**” significant at 5% and “*”, significant at 10%, L1: lag of 1 period, L2: lag of 2 periods. CMC – CoinMarketCap, COIN – Coinbase, BNB – Binance, BTC – BTC-USD, ETH – ETH-USD, S&P500 – S&P500 (USD)

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