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Table 1 Summary statistics of returns

From: Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis

 

Bitcoin (BTC)

Ethereum (ETH)

Ripple (XRP)

Gold

WTI

Mean

0.0009

0.0017

0.0011

6.45E−05

0.0002

Median

0.0010

− 0.0003

− 0.0013

5.83E−05

0.0005

Maximum

0.0971

0.1752

0.4391

0.0203

0.0491

Minimum

− 0.0877

− 0.1389

− 0.2613

− 0.0147

− 0.0351

Std. Dev

0.0168

0.0287

0.0317

0.0032

0.0102

Skewness

− 0.1401

0.4561

3.0383

0.3524

0.2688

Kurtosis

7.8487

7.4705

42.4475

6.2588

5.3591

Jarque–Bera

1331.780*

1174.454*

89,940.09*

468.7668*

226.3693*

Q(5)

4.6100

13.076

33.345

4.8267

5.1512

Q(10)

14.885

16.568

52.000

20.872

9.1836

Q2(5)

133.33

195.93

188.63

26.530

219.74

Q2(10)

194.73

229.16

211.44

35.624

347.43

  1. *Represent the result is significant at the 1% level. \(Q\left( n \right)\) and \(Q^{2} \left( n \right)\) denote the quantity of the Ljung–Box test statistics for returns and squared returns, respectively, distributed as \(\chi^{2}\) with n degrees of freedom, where n is the number of lags used.