Discovering interlinkages between major cryptocurrencies using high-frequency data: new evidence from COVID-19 pandemic

Financial Innovation

Table 1 Descriptive statistics

	Mean	Maximum	Minimum	SD	Skewness	Kurtosis	Jarque–Bera	Q-stat	ARCH	ADF[C]	ADF[C+T]
Panel A. Pre COVID-19
BTC	0.000009	0.107	− 0.096	0.008	0.041	28.743	301,467^a	21.216^a	120.06^a	− 106.37^a	− 106.37^a
ETH	− 0.000050	0.129	− 0.138	0.010	− 0.209	27.573	274,772^a	23.354^a	76.898^a	− 107.06^a	− 107.06^a
LTC	− 0.000033	0.115	− 0.150	0.012	− 0.095	18.213	105,302^a	101.71^a	172.94^a	− 80.373^a	− 80.376^a

	Mean	Maximum	Minimum	SD	Skewness	Kurtosis	Jarque–Bera	Q-stat	ARCH	ADF-1	ADF-2
Panel B. COVID-19
BTC	− 0.000059	0.188	− 0.172	0.012	− 0.877	82.750	582,223^a	34.127^a	95.741^a	− 36.559^a	− 36.566^a
ETH	0.000011	0.201	− 0.232	0.014	− 1.713	70.278	415,236^a	45.686^a	60.630^a	− 52.153^a	− 52.165^a
LTC	− 0.000030	0.164	− 0.196	0.015	− 0.648	32.614	80,397^a	68.992^a	155.18^a	− 53.489^a	− 53.501^a

BTC, Bitcoin; ETH, Ethereum; LTC, Litecoin; ETC. Q-stat denotes the Ljung–Box Q-statistics. The ARCH test refers to the LM-ARCH test of Engle (1982). ADF[C] refers to the augmented dickey fuller test with constant. ADF[C+T] indicates the augmented dickey fuller test with constant and trend
^aIndicate the statistical significance at 1%, 5% and 10% respectively