Regime specific spillover across cryptocurrencies and the role of COVID-19

Financial Innovation

Table 2 Descriptive statistics

	Symbol	Mean	Std. Dev	Skewness	Kurtosis	J–B	ADF	KPSS
Cryptocurrencies
Bitcoin	BTC	0.171	4.256	− 0.961	16.578	10,554.4***	− 37.57***	0.345
Ethereum	ETH	0.176	5.773	− 0.418	12.639	5254.1***	− 37.44***	0.478
Ripple	XRP	0.247	7.430	2.791	42.046	87,315.3***	− 23.09***	0.348
Litecoin	LTC	0.168	6.059	0.818	14.595	7695.4_***	− 36.94***	0.391
Monero	XMR	0.241	6.713	0.763	13.263	6042.6***	− 38.23***	0.563
Stellar	XLM	0.215	8.084	1.990	19.934	16,984.0***	− 33.47***	0.374
Dash	DASH	0.146	6.198	0.632	11.486	4131.2***	− 36.61***	0.599
Ethereum Classic	ETC	0.125	8.001	4.019	85.511	385,728.***	− 45.20***	0.313
NEM	XEM	0.125	7.398	2.404	32.522	50,212.8***	− 40.90***	0.515
Dogecoin	DOGE	0.150	6.425	0.654	14.679	7751.2***	− 34.89***	0.200
Decred	DCR	0.142	7.426	0.701	9.156	2237.3***	− 40.72***	0.501
Lisk	LSK	0.090	7.225	0.144	9.529	2397.3***	− 36.46***	0.349
Waves	WAVES	0.116	6.875	0.114	7.902	1351.4***	− 36.67***	0.392
MonaCoin	MONA	0.238	8.552	2.786	24.701	28,173.5***	− 34.59***	0.241
DigiByte	DGB	0.186	8.918	2.207	29.752	41,261.4***	− 37.19***	0.350
Steem	STEEM	− 0.227	8.723	0.869	12.367	5094.3***	− 35.86***	0.161
Siacoin	SC	0.049	8.196	0.633	12.257	4899.8***	− 36.93***	0.288
DigixDAO	DGD	0.075	7.429	0.142	10.750	3375.9***	− 39.91***	0.297
Factors
Size factor	SMB	− 0.004	0.038	0.475	6.833	875.4***	− 41.13***	0.277
Momentum	WML	− 0.100	0.042	− 0.653	5.905	569.6***	− 9.82***	0.958
Market
(equally weighted)	MKT	− 0.005	0.045	− 1.128	11.180	4041.3***	− 11.42***	1.250

Descriptive statistics of price returns are reported over a period of 1347 trading days from 25-July-2016 to 1-April-2020. Descriptive statistics for the factors are reported in basis points for the levels of the series
***indicates significance at 1% level