Traditional and digital asset return correlation
| Asset | SP500 | US 10Y | GOLD | OIL | DXY | BTC | ETH | DEFI INDEX | UST |
|---|---|---|---|---|---|---|---|---|---|
| SP500 | 1 | ||||||||
| US 10Y | 0.156 | 1 | |||||||
| GOLD | −0.113 | −0.236 | 1 | ||||||
| OIL | 0.021 | 0.011 | 0.403 | 1 | |||||
| DXY | −0.358 | −0.005 | −0.077 | 0.073 | 1 | ||||
| BTC | 0.537 | 0.209 | −0.12 | 0.03 | −0.231 | 1 | |||
| ETH | 0.551 | 0.228 | −0.091 | 0.035 | −0.225 | 0.923 | 1 | ||
| DEFI INDEX | 0.162 | −0.078 | −0.056 | −0.047 | −0.083 | 0.34 | 0.426 | 1 | |
| UST | 0.009 | 0.009 | −0.041 | −0.069 | 0.058 | 0.054 | 0.065 | −0.008 | 1 |
| LUNA | 0.336 | 0.136 | −0.011 | 0.024 | −0.155 | 0.542 | 0.547 | 0.223 | 0.423 |
| Asset | SP500 | US 10Y | GOLD | OIL | DXY | BTC | ETH | DEFI INDEX | UST |
|---|---|---|---|---|---|---|---|---|---|
| SP500 | 1 | ||||||||
| US 10Y | 0.156 | 1 | |||||||
| GOLD | −0.113 | −0.236 | 1 | ||||||
| OIL | 0.021 | 0.011 | 0.403 | 1 | |||||
| DXY | −0.358 | −0.005 | −0.077 | 0.073 | 1 | ||||
| BTC | 0.537 | 0.209 | −0.12 | 0.03 | −0.231 | 1 | |||
| ETH | 0.551 | 0.228 | −0.091 | 0.035 | −0.225 | 0.923 | 1 | ||
| DEFI INDEX | 0.162 | −0.078 | −0.056 | −0.047 | −0.083 | 0.34 | 0.426 | 1 | |
| UST | 0.009 | 0.009 | −0.041 | −0.069 | 0.058 | 0.054 | 0.065 | −0.008 | 1 |
| 0.423 |
Notes:
Return correlations between traditional and digital assets during the Terra Luna crash, represented by a sample period from January 1st through May 31st 2022. Asset classes included represent the broader macroeconomic environment to determine relationship beyond the scope of the crypto space. This table highlights the correlation strengths observed over the full sample period, providing insights into the dynamic relationships between these asset classes prior to and during the Terra-Luna crash. The table is referenced later to draw assumptions about changes in dynamics during the crash period further evaluated by the DCC-GARCH Model of the study