|
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
|
301,467a
|
21.216a
|
120.06a
|
− 106.37a
|
− 106.37a
|
ETH
|
− 0.000050
|
0.129
|
− 0.138
|
0.010
|
− 0.209
|
27.573
|
274,772a
|
23.354a
|
76.898a
|
− 107.06a
|
− 107.06a
|
LTC
|
− 0.000033
|
0.115
|
− 0.150
|
0.012
|
− 0.095
|
18.213
|
105,302a
|
101.71a
|
172.94a
|
− 80.373a
|
− 80.376a
|
|
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
|
582,223a
|
34.127a
|
95.741a
|
− 36.559a
|
− 36.566a
|
ETH
|
0.000011
|
0.201
|
− 0.232
|
0.014
|
− 1.713
|
70.278
|
415,236a
|
45.686a
|
60.630a
|
− 52.153a
|
− 52.165a
|
LTC
|
− 0.000030
|
0.164
|
− 0.196
|
0.015
|
− 0.648
|
32.614
|
80,397a
|
68.992a
|
155.18a
|
− 53.489a
|
− 53.501a
|
- 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