Table 3.
Volatility spill-over results.
| Panel A: DY (2014) spill-over results | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Bitcoin | MSCIW | MSCIUS | Dollar | Oil | Gold | KFTX | VIX | Green. bond |
Green. and. select |
FROM | |
| Bitcoin | 2.23 | 2.00 | 1.91 | 0.69 | 0.07 | 0.05 | 1.85 | 1.09 | 0.07 | 0.05 | 7.77 |
| MSCIW | 1.88 | 2.15 | 2.08 | 0.71 | 0.07 | 0.07 | 1.89 | 1.02 | 0.09 | 0.06 | 7.85 |
| MSCIUS | 1.81 | 2.14 | 2.22 | 0.58 | 0.06 | 0.07 | 1.93 | 1.12 | 0.05 | 0.03 | 7.78 |
| US Dollar | 1.13 | 1.14 | 0.93 | 3.02 | 0.09 | 0.10 | 1.10 | 0.38 | 1.14 | 0.98 | 6.98 |
| Oil | 0.30 | 0.33 | 0.30 | 0.26 | 8.15 | 0.07 | 0.28 | 0.30 | 0.02 | 0.01 | 1.85 |
| Gold | 0.22 | 0.25 | 0.22 | 0.31 | 0.13 | 7.62 | 0.23 | 0.05 | 0.50 | 0.47 | 2.38 |
| KFTX | 1.82 | 2.04 | 2.06 | 0.65 | 0.05 | 0.06 | 2.20 | 0.95 | 0.09 | 0.07 | 7.80 |
| VIX | 1.55 | 1.61 | 1.76 | 0.38 | 0.11 | 0.02 | 1.43 | 3.11 | 0.02 | 0.02 | 6.89 |
| Green Bond | 0.48 | 0.44 | 0.33 | 1.39 | 0.04 | 0.22 | 0.52 | 0.08 | 3.29 | 3.20 | 6.71 |
| Green Select | 0.41 | 0.37 | 0.27 | 1.31 | 0.05 | 0.20 | 0.45 | 0.08 | 3.42 | 3.44 | 6.56 |
| TO | 9.60 | 10.30 | 9.86 | 6.27 | 0.68 | 0.86 | 9.67 | 5.06 | 5.39 | 4.88 | 62.58 |
| NET | 1.8217 | 2.4481 | 2.0793 | -0.7078 | -1.1668 | -1.5244 | 1.8725 | -1.8295 | -1.3136 | -1.6793 | |
| Panel B: BK (2017) spill-over results | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Frequency 1: The spill-over table for band 3.14 to 0.79 that roughly corresponds to 1–4 days | |||||||||||
| Bitcoin | MSCIW | MSCIUS | Dollar | Oil | Gold | KFTX | VIX | Green bond |
Green Select |
FROM_ ABS |
|
| Bitcoin | 1.60 | 1.51 | 1.45 | 0.54 | 0.05 | 0.04 | 1.36 | 0.74 | 0.06 | 0.04 | 5.79 |
| MSCIW | 1.41 | 1.70 | 1.65 | 0.58 | 0.05 | 0.05 | 1.46 | 0.75 | 0.07 | 0.05 | 6.06 |
| MSCIUS | 1.47 | 1.80 | 1.87 | 0.50 | 0.05 | 0.06 | 1.60 | 0.90 | 0.04 | 0.03 | 6.43 |
| US Dollar | 0.63 | 0.69 | 0.55 | 2.15 | 0.06 | 0.05 | 0.61 | 0.22 | 0.72 | 0.63 | 4.16 |
| Oil | 0.27 | 0.30 | 0.27 | 0.22 | 6.26 | 0.07 | 0.26 | 0.20 | 0.00 | 0.00 | 1.59 |
| Gold | 0.10 | 0.12 | 0.11 | 0.25 | 0.10 | 6.04 | 0.13 | 0.02 | 0.23 | 0.21 | 1.26 |
| KFTX | 1.46 | 1.71 | 1.73 | 0.55 | 0.04 | 0.05 | 1.79 | 0.76 | 0.07 | 0.05 | 6.41 |
| VIX | 1.29 | 1.37 | 1.50 | 0.34 | 0.10 | 0.02 | 1.21 | 2.49 | 0.01 | 0.01 | 5.84 |
| Green Bond | 0.18 | 0.18 | 0.14 | 0.70 | 0.03 | 0.08 | 0.22 | 0.05 | 1.85 | 1.83 | 3.41 |
| Green Select | 0.17 | 0.16 | 0.13 | 0.66 | 0.04 | 0.08 | 0.20 | 0.06 | 1.98 | 2.03 | 3.45 |
| TO_ABS | 6.97 | 7.83 | 7.53 | 4.32 | 0.52 | 0.49 | 7.04 | 3.69 | 3.17 | 2.84 | 44.39 |
| TO_WTH | 9.66 | 10.84 | 10.43 | 5.99 | 0.72 | 0.68 | 9.75 | 5.12 | 4.39 | 3.93 | |
| NET | 1.1870 | 1.7632 | 1.093 | 0.1638174 | -1.07191 | -0.7727 | 0.630 | -2.144 | -0.2387 | -0.6104 | |
| Frequency 2: The spill-over table for band 0.79 to 0.39 that roughly corresponds to 4–8 days | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Bitcoin | MSCIW | MSCIUS | Dollar | Oil | Gold | KFTX | VIX | Green. bond |
Green. and. select |
FROM_ ABS |
|
| Bitcoin | 0.29 | 0.23 | 0.22 | 0.07 | 0.01 | 0.01 | 0.23 | 0.16 | 0.01 | 0.00 | 0.92 |
| MSCIW | 0.21 | 0.21 | 0.20 | 0.06 | 0.01 | 0.01 | 0.20 | 0.12 | 0.01 | 0.01 | 0.82 |
| MSCIUS | 0.16 | 0.16 | 0.16 | 0.04 | 0.01 | 0.01 | 0.16 | 0.10 | 0.00 | 0.00 | 0.62 |
| Dollar | 0.21 | 0.20 | 0.16 | 0.39 | 0.01 | 0.02 | 0.21 | 0.07 | 0.17 | 0.14 | 1.19 |
| Oil | 0.02 | 0.02 | 0.02 | 0.02 | 0.92 | 0.00 | 0.02 | 0.05 | 0.00 | 0.00 | 0.16 |
| Gold | 0.05 | 0.05 | 0.04 | 0.03 | 0.01 | 0.76 | 0.04 | 0.01 | 0.12 | 0.12 | 0.47 |
| KFTX | 0.16 | 0.15 | 0.15 | 0.04 | 0.01 | 0.01 | 0.19 | 0.09 | 0.01 | 0.01 | 0.63 |
| VIX | 0.14 | 0.12 | 0.13 | 0.02 | 0.01 | 0.00 | 0.11 | 0.30 | 0.00 | 0.01 | 0.54 |
| Green Bond | 0.12 | 0.10 | 0.08 | 0.29 | 0.01 | 0.05 | 0.12 | 0.02 | 0.61 | 0.58 | 1.37 |
| Green Select | 0.10 | 0.09 | 0.06 | 0.27 | 0.01 | 0.05 | 0.11 | 0.01 | 0.62 | 0.61 | 1.31 |
| TO_ABS | 1.16 | 1.11 | 1.06 | 0.85 | 0.08 | 0.15 | 1.18 | 0.62 | 0.95 | 0.86 | 8.02 |
| TO_WTH | 9.33 | 8.95 | 8.52 | 6.81 | 0.60 | 1.19 | 9.46 | 5.00 | 7.62 | 6.95 | |
| NET | 0.2453 | 0.2973 | 0.4398 | -0.3407 | -0.0827 | -0.3236 | 0.5499 | 0.0774 | -0.4211 | -0.4415 | |
| Frequency 3: The spill-over table for band 0.39 to 0.20 that roughly corresponds to 8–16days | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Bitcoin | MSCIW | MSCIUS | Dollar | Oil | Gold | KFTX | VIX | Green. bond |
Green. and. select |
FROM_ ABS |
|
| Bitcoin | 0.16 | 0.12 | 0.11 | 0.04 | 0.01 | 0.00 | 0.12 | 0.09 | 0.00 | 0.00 | 0.49 |
| MSCIW | 0.12 | 0.11 | 0.11 | 0.03 | 0.00 | 0.00 | 0.11 | 0.07 | 0.01 | 0.00 | 0.44 |
| MSCIUS | 0.08 | 0.08 | 0.08 | 0.02 | 0.00 | 0.00 | 0.08 | 0.05 | 0.00 | 0.00 | 0.33 |
| Dollar | 0.13 | 0.12 | 0.10 | 0.22 | 0.01 | 0.01 | 0.12 | 0.04 | 0.11 | 0.09 | 0.72 |
| Oil | 0.01 | 0.01 | 0.01 | 0.01 | 0.45 | 0.00 | 0.00 | 0.02 | 0.00 | 0.00 | 0.05 |
| Gold | 0.03 | 0.03 | 0.03 | 0.02 | 0.01 | 0.38 | 0.03 | 0.01 | 0.07 | 0.07 | 0.29 |
| KFTX | 0.09 | 0.08 | 0.08 | 0.02 | 0.00 | 0.01 | 0.10 | 0.05 | 0.01 | 0.00 | 0.34 |
| VIX | 0.06 | 0.05 | 0.06 | 0.01 | 0.00 | 0.00 | 0.05 | 0.15 | 0.00 | 0.00 | 0.24 |
| Green Bond | 0.08 | 0.07 | 0.05 | 0.18 | 0.00 | 0.04 | 0.08 | 0.01 | 0.37 | 0.35 | 0.85 |
| Green Select | 0.06 | 0.06 | 0.04 | 0.17 | 0.01 | 0.03 | 0.07 | 0.01 | 0.37 | 0.36 | 0.80 |
| TO_ABS | 0.66 | 0.61 | 0.58 | 0.49 | 0.04 | 0.10 | 0.66 | 0.34 | 0.57 | 0.52 | 4.56 |
| TO_WTH | 9.46 | 8.87 | 8.33 | 7.11 | 0.58 | 1.37 | 9.46 | 4.89 | 8.20 | 7.54 | |
| NET | 0.1680 | 0.1730 | 0.2463 | -0.2283 | -0.0142 | -0.1926 | 0.3119 | 0.0952 | -0.2833 | -0.2760 | |
| Frequency 4:The spill-over table for band 0.20 to 0.10 that roughly corresponds to 16–30days | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Bitcoin | MSCIW | MSCIUS | Dollar | Oil | Gold | KFTX | VIX | Green Bond |
Green Select |
FROM_ ABS |
|
| Bitcoin | 0.11 | 0.08 | 0.08 | 0.03 | 0.00 | 0.00 | 0.08 | 0.06 | 0.00 | 0.00 | 0.33 |
| MSCIW | 0.08 | 0.08 | 0.07 | 0.02 | 0.00 | 0.00 | 0.07 | 0.05 | 0.00 | 0.00 | 0.30 |
| MSCIUS | 0.06 | 0.06 | 0.06 | 0.01 | 0.00 | 0.00 | 0.06 | 0.04 | 0.00 | 0.00 | 0.23 |
| Dollar | 0.09 | 0.08 | 0.07 | 0.15 | 0.01 | 0.01 | 0.09 | 0.03 | 0.08 | 0.07 | 0.52 |
| Oil | 0.00 | 0.00 | 0.00 | 0.00 | 0.30 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.03 |
| Gold | 0.02 | 0.02 | 0.02 | 0.01 | 0.00 | 0.25 | 0.02 | 0.01 | 0.05 | 0.05 | 0.20 |
| KFTX | 0.06 | 0.06 | 0.06 | 0.02 | 0.00 | 0.00 | 0.07 | 0.03 | 0.00 | 0.00 | 0.24 |
| VIX | 0.04 | 0.03 | 0.04 | 0.01 | 0.00 | 0.00 | 0.03 | 0.10 | 0.00 | 0.00 | 0.15 |
| Green..Bond | 0.06 | 0.05 | 0.04 | 0.13 | 0.00 | 0.03 | 0.06 | 0.01 | 0.26 | 0.25 | 0.61 |
| Green Select | 0.05 | 0.04 | 0.03 | 0.12 | 0.00 | 0.02 | 0.05 | 0.01 | 0.26 | 0.25 | 0.57 |
| TO_ABS | 0.46 | 0.42 | 0.40 | 0.35 | 0.03 | 0.07 | 0.45 | 0.23 | 0.40 | 0.37 | 3.18 |
| TO_WTH | 9.51 | 8.84 | 8.26 | 7.21 | 0.58 | 1.43 | 9.46 | 4.85 | 8.39 | 7.74 | |
| NET | 0.1247 | 0.1217 | 0.1702 | -0.1702 | -0.0003 | -0.1339 | 0.2163 | 0.0788 | -0.2087 | -0.1986 | |
| Frequency 5: The spill-over table for band 0.10 to 0.00 that roughly corresponds to 30days to infinity | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Bitcoin | MSCIW | MSCIUS | Dollar | Oil | Gold | KFTX | VIX | Green Bond |
Green Select |
FROM_ ABS |
|
| Bitcoin | 0.08 | 0.06 | 0.06 | 0.02 | 0.00 | 0.00 | 0.06 | 0.04 | 0.00 | 0.00 | 0.25 |
| MSCIW | 0.06 | 0.06 | 0.05 | 0.02 | 0.00 | 0.00 | 0.06 | 0.04 | 0.00 | 0.00 | 0.23 |
| MSCIUS | 0.04 | 0.04 | 0.04 | 0.01 | 0.00 | 0.00 | 0.04 | 0.03 | 0.00 | 0.00 | 0.17 |
| Dollar | 0.07 | 0.06 | 0.05 | 0.12 | 0.00 | 0.01 | 0.07 | 0.02 | 0.06 | 0.05 | 0.40 |
| Oil | 0.00 | 0.00 | 0.00 | 0.00 | 0.22 | 0.00 | 0.00 | 0.01 | 0.00 | 0.00 | 0.02 |
| Gold | 0.02 | 0.02 | 0.02 | 0.01 | 0.00 | 0.19 | 0.01 | 0.00 | 0.04 | 0.04 | 0.15 |
| KFTX | 0.05 | 0.04 | 0.04 | 0.01 | 0.00 | 0.00 | 0.05 | 0.03 | 0.00 | 0.00 | 0.18 |
| VIX | 0.03 | 0.03 | 0.03 | 0.00 | 0.00 | 0.00 | 0.02 | 0.07 | 0.00 | 0.00 | 0.11 |
| Green Bond | 0.04 | 0.04 | 0.03 | 0.10 | 0.00 | 0.02 | 0.05 | 0.01 | 0.20 | 0.19 | 0.47 |
| Green Select | 0.04 | 0.03 | 0.02 | 0.09 | 0.00 | 0.02 | 0.04 | 0.00 | 0.20 | 0.19 | 0.44 |
| TO_ABS | 0.35 | 0.32 | 0.30 | 0.26 | 0.02 | 0.05 | 0.34 | 0.18 | 0.31 | 0.28 | 2.42 |
| TO_WTH | 9.52 | 8.83 | 8.24 | 7.24 | 0.58 | 1.45 | 9.45 | 4.83 | 8.45 | 7.80 | |
| NET | 0.0967 | 0.0929 | 0.1291 | -0.1324 | 0.0023 | -0.1016 | 0.1643 | 0.0630 | -0.1616 | -0.1527 | |
NB: This table presents the volatility spill-over results for the DY and BK approaches in Panels A and B, respectively, using the return data for each market. In Panel B, values in the i th row of the j-th column indicate the strength of the spill-over effect from the i th market to the j-th market. Also in Panel B, abs denotes absolute; wth is within. For these differences, see Eqs. (12) and (13). Net denotes the Net Spill-over Index for each individual market.