Table 2

VAR(2) model parameter estimates

Explanatory variableDependent variable
S&P 500BNB BTCCOIN BTCKraken BTCCMC BTCBNB ETHCOIN ETHKraken ETHCMC ETH
S&P 500 L1−0.175***−0.031−0.032−0.029−0.0340.0870.0920.1490.093
BNB BTC L10.3824.1524.6114.6824.2209.556**9.752**4.4858.982**
COIN BTC L10.7547.114*6.3747.112*6.4158.0948.3487.3727.817
Kraken BTC L1−1.293−11.106***−10.822−11.614***−9.980***−16.999***−17.403***−12.773***−16.194***
CMC BTC L10.137−0.151−0.149−0.166−0.629−0.712−0.7610.810−0.657
BNB ETH L12.338***2.1772.0912.0902.3475.264*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 L10.001−0.043−0.0431−0.045−0.046−0.086−0.087−0.456***−0.090
CMC ETH L1−0.2540.5280.5170.5280.5150.7310.7600.4020.200
S&P 500 L20.131***−0.131−0.120−0.124−0.0700.004−0.005−0.0110.038
BNB BTC L23.123***10.226***10.404***10.471***9.426***15.340***15.551***6.79214.539***
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 L2−0.450−0.204−0.190−0.209−0.3400.2760.195−0.2140.262
BNB ETH L20.37924.456*4.464*4.445*4.615**6.390**6.714**4.2756.837**
COIN ETH L2−0.698−4.519*−4.513*−4.509*−4.558*−6.468**−6.851**−4.290−6.648**
Kraken ETH L20.02180.0540.05380.0530.0530.0240.024−0.213***0.029
CMC ETH L20.3320.1250.1100.1290.0090.2700.3310.6000.010
Constant0.0010.0030.0030.0030.0030.005*0.005*0.0040.005*

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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