Table 3.
BDS results.
| Dimension | ||||
|---|---|---|---|---|
| Variable | 2 | 3 | 4 | 5 |
| TEU-ENG | 6.50*** | 6.56*** | 5.98*** | 5.77*** |
| TEU-USA | 8.86*** | 10.10*** | 10.17*** | 9.83*** |
| TEU-WGT | 9.45*** | 10.41*** | 10.52*** | 10.32*** |
| TEU-SCA | 8.56*** | 9.69*** | 9.78*** | 9.35*** |
| TMU-ENG | 7.75*** | 7.41*** | 6.87*** | 6.54*** |
| TMU-USA | 6.57*** | 6.71*** | 6.60*** | 6.52*** |
| TMU-WGT | 8.31*** | 7.73*** | 7.27*** | 7.17*** |
| TMU-SCA | 6.33*** | 6.27*** | 5.93*** | 5.47*** |
| BTC | − 5.67*** | − 5.64*** | − 5.76*** | − 5.69*** |
| ETH | 4.00*** | − 4.01*** | − 4.02*** | − 4.05*** |
| BNB | − 3.06*** | − 3.06*** | − 3.08*** | − 3.12*** |
| ADA | − 4.08*** | − 4.11*** | − 4.14*** | − 4.16*** |
| XRP | 3.08*** | 3.09*** | 3.04*** | 3.00*** |
| DOGE | 2.33** | 2.03** | 2.33** | 2.34** |
| BCH | − 5.08*** | − 5.10*** | − 5.11*** | − 5.11*** |
| LTC | − 4.39*** | − 4.53*** | − 4.64*** | − 4.59*** |
| ETC | 6.05*** | 6.02*** | 6.00*** | 6.01*** |
| XLM | − 4.12*** | − 4.13*** | − 4.14*** | − 4.15*** |
Note: The appropriateness of the non-linear approach is tested using the BDS test (Broock et al., 1996) on the residuals of the returns equation in the Vector Autoregressive (VAR) framework. ***, ** and * denote significant at 1%, 5% and 10% level respectively.