Negative period (days) correlation

Positive period (days) correlation

Cross-correlation change $Mean\left(\rho \left(r_{C_i,t},r_{V_i,t}\right)-\rho \left(r_{C_i,-t},r_{V_i,-t}\right)\right)$

Period 1: (−756, −1) and (1, 756)

0.1628

0.1918

0.0287 (0.0010)***

Period 2: (−504, −1) and (1, 504)

0.1481

0.1949

0.0419 (0.0005)***

Period 3: (−252, −1) and (1, 252)

0.1556

0.1871

0.0266 (0.0488)**