2021 Nov 19;49(1):111–131. doi: 10.1007/s40812-021-00202-0

Table 3.

Regression results for correlation with trading volume and one second-based information shares

	Equation (2)		Equation (3)		Equation (4)
	Coefficient	t-stat	Coefficient	t-stat	Coefficient	t-stat
BTC-S&P500 correlation
BTC volume	0.034	[7.42]***	0.011	[2.22]**	0.007	[1.42]
SPY volume	0.065	[4.97]***	0.070	[5.75]***	0.066	[5.25]***
IS	− 0.147	[− 9.15]***	− 0.074	[− 3.19]***	− 0.009	[− 0.45]
IS*COVID					− 0.144	[− 4.73]***
BTC volume	0.030	[6.01]***	0.005	[1.09]	0.002	[0.43]
SPY volume	0.064	[4.84]***	0.071	[5.72]***	0.069	[5.27]***
1-lag IS	− 0.131	[− 8.45]***	− 0.045	[− 2.06]**	0.009	[0.5]
1-lag IS*COVID					− 0.117	[− 3.63]***
BTC volume	0.030	[6.24]***	0.006	[1.37]	0.004	[0.74]
SPY volume	0.064	[4.78]***	0.071	[5.7]***	0.069	[5.31]***
2-lag IS	− 0.130	[− 8.42]***	− 0.047	[− 2.32]**	0.003	[0.19]
2-lag IS*COVID					− 0.112	[− 3.63]***
BTC volume	0.028	[5.78]***	0.006	[1.19]	0.002	[0.47]
SPY volume	0.066	[4.83]***	0.072	[5.75]***	0.069	[5.29]***
3-lag IS	− 0.127	[− 8.41]***	− 0.045	[− 2.27]**	0.006	[0.35]
3-lag IS*COVID					− 0.110	[− 3.4]***
BTC volume	0.029	[5.96]***	0.005	[1.06]	0.003	[0.55]
SPY volume	0.064	[4.65]***	0.072	[5.69]***	0.071	[5.38]***
4-lag IS	− 0.126	[− 8.36]***	− 0.037	[− 2.14]**	0.011	[0.63]
4-lag IS*COVID					− 0.108	[− 3.57]***
BTC volume	0.029	[5.82]***	0.006	[1.23]	0.003	[0.58]
SPY volume	0.064	[4.66]***	0.072	[5.66]***	0.069	[5.18]***
5-lag IS	− 0.126	[− 8.5]***	− 0.049	[− 2.38]**	0.004	[0.21]
5-lag IS*COVID					− 0.128	[− 4.46]***
BTC-gold correlation
BTC volume	0.006	[3.84]***	0.001	[0.72]	0.000	[0.02]
Gold volume	− 0.001	[− 0.5]	− 0.001	[− 0.92]	− 0.003	[− 2.34]**
IS	− 0.035	[− 6.56]***	− 0.012	[− 1.88]*	0.000	[0.05]
IS*COVID					− 0.029	[− 2.44]**
BTC volume	0.006	[3.28]***	0.001	[0.31]	− 0.001	[− 0.42]
Gold volume	0.000	[0.01]	− 0.001	[− 0.84]	− 0.003	[− 2.29]**
1-lag IS	− 0.030	[− 5.67]***	− 0.003	[− 0.54]	0.007	[0.98]
1-lag IS*COVID					− 0.026	[− 2.19]**
BTC volume	0.005	[3.34]***	0.001	[0.55]	0.000	[− 0.22]
Gold volume	0.000	[− 0.21]	− 0.001	[− 0.92]	− 0.003	[− 2.33]**
2-lag IS	− 0.033	[− 6.26]***	− 0.010	[− 1.71]*	0.002	[0.35]
2-lag IS*COVID					− 0.031	[− 2.83]***
BTC volume	0.005	[3.16]***	0.001	[0.58]	0.000	[− 0.21]
Gold volume	0.000	[− 0.08]	− 0.001	[− 0.94]	− 0.003	[− 2.27]**
3-lag IS	− 0.032	[− 6.05]***	− 0.011	[− 1.89]*	0.000	[0.01]
3-lag IS*COVID					− 0.028	[− 2.52]**
BTC volume	0.005	[3.25]***	0.001	[0.48]	0.000	[− 0.24]
Gold volume	0.000	[− 0.02]	− 0.001	[− 0.84]	− 0.003	[− 2.27]**
4-lag IS	− 0.030	[− 5.59]***	− 0.007	[− 1.09]	0.003	[0.44]
4-lag IS*COVID					− 0.027	[− 2.47]**
BTC volume	0.005	[3.04]***	0.001	[0.58]	0.000	[− 0.21]
Gold volume	0.000	[− 0.03]	− 0.001	[− 0.87]	− 0.003	[− 2.14]**
5-lag IS	− 0.033	[− 6.19]***	− 0.015	[− 2.62]***	− 0.003	[− 0.37]
5-lag IS*COVID					− 0.035	[− 3.24]***
BTC-bond correlation
BTC volume	− 0.002	[− 1.3]	0.002	[1.49]	0.002	[1.37]
Bond volume	− 0.001	[− 1.95]*	− 0.002	[− 2.96]***	− 0.001	[− 2.5]**
IS	0.015	[3.24]***	0.013	[1.98]**	0.000	[− 0.06]
IS*COVID					0.032	[3.33]***
BTC volume	− 0.002	[− 1.19]	0.003	[2.02]**	0.003	[1.76]*
Bond volume	− 0.001	[− 1.86]*	− 0.002	[− 2.94]***	− 0.001	[− 2.34]**
1-lag IS	0.010	[2.01]**	0.002	[0.36]	− 0.008	[− 1.17]
1-lag IS*COVID					0.022	[1.94]*
BTC volume	− 0.001	[− 0.81]	0.003	[2.05]**	0.003	[2.08]**
Bond volume	− 0.001	[− 1.76]*	− 0.002	[− 2.85]***	− 0.001	[− 2.36]**
2-lag IS	0.013	[2.59]***	0.010	[1.55]	− 0.006	[− 0.89]
2-lag IS*COVID					0.036	[3.58]***
BTC volume	− 0.001	[− 0.89]	0.004	[2.54]**	0.003	[2.3]**
Bond volume	− 0.001	[− 1.72]*	− 0.002	[− 2.84]***	− 0.001	[− 2.2]**
3-lag IS	0.009	[1.85]*	0.001	[0.16]	− 0.012	[− 1.62]
3-lag IS*COVID					0.025	[2.23]**
BTC volume	− 0.001	[− 0.73]	0.004	[2.67]***	0.004	[2.61]***
Bond volume	− 0.001	[− 1.72]*	− 0.002	[− 2.83]***	− 0.001	[− 2.22]**
4-lag IS	0.008	[1.79]*	0.000	[0]	− 0.015	[− 2.13]**
4-lag IS*COVID					0.031	[2.99]***
BTC volume	− 0.001	[− 0.64]	0.004	[2.55]**	0.004	[2.36]**
Bond volume	− 0.001	[− 1.71]*	− 0.002	[− 2.87]***	− 0.001	[− 2.24]**
5-lag IS	0.009	[2.01]**	0.004	[0.68]	− 0.009	[− 1.16]
5-lag IS*COVID					0.028	[3.01]***

This table presents the regression results of daily correlation on the BTC futures information shares as follows: $c o r r e l a t i o n_{t} = β_{0} + β_{1} log (B T C f u t u r e s t r a d i n g a c t i v i t y_{t}) + β_{2} log (t h e o t h e r a s s e t t r a d i n g a c t i v i t y_{t}) + β_{3} I S_{t - i} + ϵ_{t},$ (Eq. 2), $\begin{matrix} c o r r e l a t i o n_{t} & = β_{0} + β_{1} log (B T C f u t u r e s t r a d i n g a c t i v i t y_{t}) \\ + β_{2} log (t h e o t h e r a s s e t t r a d i n g a c t i v i t y_{t}) + β_{3} I S_{t - i} + β_{4} log (B T C m a r k e t c a p_{t}) \\ + β_{5} log (d a i l y m e a n U S D t r a n s a c t i o n f e e_{t}) + β_{6} log (G o o g l e t r e n d_{t}) \\ + β_{7} t i m e t r e n d_{t} + β_{8} t i m e t r e n d_{t}^{2} + ϵ_{t} \end{matrix}$ (Eq. 3), $c o r r e l a t i o n_{t} = β_{0} + β_{1} log (B T C f u t u r e s t r a d i n g a c t i v i t y_{t}) + β_{2} log (t h e o t h e r a s s e t t r a d i n g a c t i v i t y_{t}) + β_{3} I S_{t - i} + β_{4} I S_{t - i} \times C O V I D + β_{5} C O V I D + ϵ_{t} .$ (Eq. 4) where $i = 0, \dots, 5$ days. The sample period starts from 18th December 2017 to 26th March 2021. SPY trades in Monday–Friday from 9:30 to 16:00 EST, the futures contracts of BTC, 10-year T-Note and gold trade in Sunday–Friday 17:00 to 16:00 CT, and the spot prices of BTC and gold are available 24 h throughout a day. SPY and 10-year T-Note futures are used to proxy for S&P500 and bond spot prices, respectively. The data on futures contracts and SPY are used to calculate trading activity of the corresponding assets. The daily realized correlations are calculated from the spot prices of BTC, S&P500, gold, and bond based on 1-min returns. The weekday fixed effects are included, and the Newey and West (1987) standard errors are adjusted for 5 lags

***, **, and *statistical significance at 1%, 5%, and 10% level, respectively.