*4.1. Correlation Matrix*

One of the basic analyses from these coins' return is to test these correlations. We perform the Pearson method (Pearson 1896) for estimating the product–moment correlation coefficient with testing under unadjusted significance level. There is a correlation matrix after testing at this significance level.

As seen in Table 2, all pairs of coins have a strong correlation at the 1% significance level. It displays that these coins returns have the dependence of linearity. This is the initial stage to investigate their structural dependence. This suggests that any positive change at one coin return might lead to positive change in other coins' returns (ethereum, xrp, litecoin, and stellar) due to the positive signs. However, we also need the further quantitative investigation to conclude the spillover phenomenon in this market.


**Table 2.** Correlation matrix.

The symbols \*, \*\*, and \*\*\* denote the significance at the 10%, 5%, and 1% levels, respectively.
