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Financial Innovation

Table 6 Break point unit root test

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

  Test statistic Break dates
BTC  − 19.981a 12/03/2020 23:00
ETH  − 23.479a 12/03/2020 10:00
LTC  − 19.850a 13/03/2020 01:00
  1. This test is applied on full sample (03/10/2018 to 01/04/2020). Break Selection: Minimize Dickey–Fuller t-statistic
  2. aIndicate the statistical significance at 1%, 5% and 10% respectively
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