Table 2 Directional Spillover index...

Table 2

Directional Spillover index results

	BTC	ETH	LTC	XRP	DASH	XMR	XLM	FROM_ABS	FROM_WTH
Freq. 1
BTC	32.50	4.76	13.20	0.02	9.39	9.44	4.55	5.91	7.95
ETH	7.10	42.73	7.34	0.01	7.51	6.21	2.39	4.36	5.87
LTC	13.49	4.97	32.86	0.00	8.08	7.31	5.48	5.62	7.56
XRP	0.09	0.02	0.08	71.41	0.20	0.05	0.16	0.09	0.11
DASH	9.91	5.52	8.40	0.02	38.30	8.95	3.91	5.24	7.06
XMR	11.07	4.47	8.37	0.01	9.32	40.77	2.94	5.17	6.96
XLM	6.87	2.61	8.66	0.01	6.16	4.16	48.42	4.07	5.47
TO_ABS	6.93	3.19	6.58	0.01	5.81	5.16	2.77	30.46
TO_WTH	9.33	4.30	8.85	0.01	7.82	6.94	3.73		40.99
Net _ABS	1.0226	−1.1708	0.9610	−0.0747	0.5647	−0.0089	−1.2938
Freq. 2
BTC	8.29	1.16	3.56	0.00	1.82	2.34	1.72	1.51	8.19
ETH	1.24	12.99	1.45	0.00	1.72	1.14	0.82	0.91	4.92
LTC	3.55	1.40	8.66	0.00	1.94	2.04	2.54	1.64	8.86
XRP	0.04	0.00	0.01	19.19	0.01	0.00	0.06	0.02	0.09
DASH	2.32	1.69	2.24	0.00	7.87	2.16	1.80	1.46	7.89
XMR	2.46	1.69	2.07	0.01	2.20	7.28	1.06	1.36	7.33
XLM	1.86	0.95	2.09	0.00	1.08	0.88	10.02	0.98	5.30
TO_ABS	1.64	0.98	1.63	0.00	1.25	1.22	1.14	7.88
TO_WTH	8.86	5.33	8.83	0.02	6.77	6.61	6.18		42.59
Net _ABS	0.1246	0.0741	−0.0050	−0.0144	−0.2071	−0.1334	0.1613
Freq. 3
BTC	2.74	0.38	1.17	0.00	0.56	0.77	0.59	0.50	8.03
ETH	0.39	4.37	0.45	0.00	0.51	0.32	0.27	0.28	4.49
LTC	1.18	0.48	2.83	0.00	0.59	0.66	0.86	0.54	8.73
XRP	0.01	0.00	0.00	7.39	0.00	0.00	0.02	0.01	0.09
DASH	0.81	0.57	0.76	0.00	2.44	0.71	0.63	0.50	8.06
XMR	0.81	0.56	0.69	0.00	0.69	2.26	0.36	0.45	7.23
XLM	0.62	0.31	0.66	0.00	0.31	0.27	3.15	0.31	5.05
TO_ABS	0.55	0.33	0.53	0.00	0.38	0.39	0.39	2.57
TO_WTH	8.86	5.32	8.67	0.02	6.16	6.32	6.35		41.68
Net _ABS	0.0509	0.0514	−0.0039	−0.0043	−0.1177	−0.0564	0.0799
Freq. 4
BTC	0.46	0.06	0.19	0.00	0.09	0.13	0.10	0.08	8.01
ETH	0.06	0.73	0.07	0.00	0.08	0.05	0.04	0.05	4.45
LTC	0.20	0.08	0.47	0.00	0.10	0.11	0.14	0.09	8.71
XRP	0.00	0.00	0.00	1.25	0.00	0.00	0.00	0.00	0.08
DASH	0.14	0.10	0.13	0.00	0.40	0.12	0.11	0.08	8.07
XMR	0.14	0.09	0.12	0.00	0.11	0.37	0.06	0.07	7.22
XLM	0.10	0.05	0.11	0.00	0.05	0.05	0.52	0.05	5.03
TO_ABS	0.09	0.05	0.09	0.00	0.06	0.06	0.07	0.43
TO_WTH	8.85	5.32	8.65	0.02	6.11	6.29	6.35		41.58
Net _ABS	0.0086	0.0089	−0.0007	−0.0007	−0.0202	−0.0095	0.0136

	BTC	ETH	LTC	XRP	DASH	XMR	XLM	FROM_ABS	FROM_WTH
Freq. 1
BTC	32.50	4.76	13.20	0.02	9.39	9.44	4.55	5.91	7.95
ETH	7.10	42.73	7.34	0.01	7.51	6.21	2.39	4.36	5.87
LTC	13.49	4.97	32.86	0.00	8.08	7.31	5.48	5.62	7.56
XRP	0.09	0.02	0.08	71.41	0.20	0.05	0.16	0.09	0.11
DASH	9.91	5.52	8.40	0.02	38.30	8.95	3.91	5.24	7.06
XMR	11.07	4.47	8.37	0.01	9.32	40.77	2.94	5.17	6.96
XLM	6.87	2.61	8.66	0.01	6.16	4.16	48.42	4.07	5.47
TO_ABS	6.93	3.19	6.58	0.01	5.81	5.16	2.77	30.46
TO_WTH	9.33	4.30	8.85	0.01	7.82	6.94	3.73		40.99
Net _ABS	1.0226	−1.1708	0.9610	−0.0747	0.5647	−0.0089	−1.2938
Freq. 2
BTC	8.29	1.16	3.56	0.00	1.82	2.34	1.72	1.51	8.19
ETH	1.24	12.99	1.45	0.00	1.72	1.14	0.82	0.91	4.92
LTC	3.55	1.40	8.66	0.00	1.94	2.04	2.54	1.64	8.86
XRP	0.04	0.00	0.01	19.19	0.01	0.00	0.06	0.02	0.09
DASH	2.32	1.69	2.24	0.00	7.87	2.16	1.80	1.46	7.89
XMR	2.46	1.69	2.07	0.01	2.20	7.28	1.06	1.36	7.33
XLM	1.86	0.95	2.09	0.00	1.08	0.88	10.02	0.98	5.30
TO_ABS	1.64	0.98	1.63	0.00	1.25	1.22	1.14	7.88
TO_WTH	8.86	5.33	8.83	0.02	6.77	6.61	6.18		42.59
Net _ABS	0.1246	0.0741	−0.0050	−0.0144	−0.2071	−0.1334	0.1613
Freq. 3
BTC	2.74	0.38	1.17	0.00	0.56	0.77	0.59	0.50	8.03
ETH	0.39	4.37	0.45	0.00	0.51	0.32	0.27	0.28	4.49
LTC	1.18	0.48	2.83	0.00	0.59	0.66	0.86	0.54	8.73
XRP	0.01	0.00	0.00	7.39	0.00	0.00	0.02	0.01	0.09
DASH	0.81	0.57	0.76	0.00	2.44	0.71	0.63	0.50	8.06
XMR	0.81	0.56	0.69	0.00	0.69	2.26	0.36	0.45	7.23
XLM	0.62	0.31	0.66	0.00	0.31	0.27	3.15	0.31	5.05
TO_ABS	0.55	0.33	0.53	0.00	0.38	0.39	0.39	2.57
TO_WTH	8.86	5.32	8.67	0.02	6.16	6.32	6.35		41.68
Net _ABS	0.0509	0.0514	−0.0039	−0.0043	−0.1177	−0.0564	0.0799
Freq. 4
BTC	0.46	0.06	0.19	0.00	0.09	0.13	0.10	0.08	8.01
ETH	0.06	0.73	0.07	0.00	0.08	0.05	0.04	0.05	4.45
LTC	0.20	0.08	0.47	0.00	0.10	0.11	0.14	0.09	8.71
XRP	0.00	0.00	0.00	1.25	0.00	0.00	0.00	0.00	0.08
DASH	0.14	0.10	0.13	0.00	0.40	0.12	0.11	0.08	8.07
XMR	0.14	0.09	0.12	0.00	0.11	0.37	0.06	0.07	7.22
XLM	0.10	0.05	0.11	0.00	0.05	0.05	0.52	0.05	5.03
TO_ABS	0.09	0.05	0.09	0.00	0.06	0.06	0.07	0.43
TO_WTH	8.85	5.32	8.65	0.02	6.11	6.29	6.35		41.58
Net _ABS	0.0086	0.0089	−0.0007	−0.0007	−0.0202	−0.0095	0.0136

Note(s): Freq. 1& 2 = short-term (1 to 16 days), freq. 3 = medium-term (16 to 64 days) and freq. 4 = long-term (>64 days) connectedness of the currencies. WTH and ABS = within and absolute in the estimated system, respectively. BTC, ETH, LTC, XRP, DASH, XMR and XLM denote Bitcoin, Ethereum, Litecoin, Ripple, Das, Monero and Steller, respectively

Source(s): Authors' own work

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