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Table 2 Descriptive statistics of daily data during the pre-COVID-19 and COVID-19 periods

From: Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods

Period

Pre-COVID-19

Variables

Mean

Std. Dev

Skewness

Kurtosis

JB

LB(21)

ADF

CCI30

0.00076

0.03658

− 0.2901

6.9718

291.351*

26.513

− 7.079*

Cryptocurrencies

BPI

0.00166

0.03433

0.2017

7.2904

335.815*

23.294

− 7.163*

ETH

0.00082

0.04204

− 0.4421

6.5166

237.758*

25.820

− 6.963*

XRP

− 0.00125

0.03740

0.3718

7.9525

453.535*

28.735

− 7.462*

BCH

0.00115

0.05420

0.7212

11.2331

1263.398*

19.099

− 6.642*

BNB

0.00235

0.04318

− 0.0267

5.2105

88.413*

19.186

− 7.316*

LINK

0.00602

0.06279

1.5492

11.8958

1604.640*

16.164

− 6.392*

CRO

0.00191

0.07439

4.5874

50.2965

41,973.972*

62.871*

− 6.379*

LTC

0.00104

0.04810

0.5105

7.3985

368.709*

25.335

− 7.587*

BSV

0.00177

0.08051

4.1103

43.6248

31,066.326*

23.477

− 5.971*

ADA

− 0.00006

0.04633

− 0.093

4.8566

62.955*

26.381

− 7.076*

Average

0.00154

0.05233

1.1490

15.6275

   

Rf

0.00008

0.00001

− 0.7352

3.1033

39.289*

6895.346*

 

Period

COVID-19

Variables

Mean

Std. Dev

Skewnesss

Kurtosis

JB

LB(15)

ADF

CCI30

0.00373

0.03373

0.0872

7.0417

159.568*

33.923*

− 6.329*

Cryptocurrencies

BPI

0.00434

0.03172

0.7581

7.7928

246.381*

29.645*

− 5.733*

ETH

0.00539

0.04317

0.3346

5.9994

92.082*

32.594*

− 6.652*

XRP

0.00231

0.03328

0.4664

6.2167

109.371*

25.214

− 5.200*

BCH

0.00241

0.04053

− 0.002

8.8802

337.128*

23.625

− 6.298*

BNB

0.00464

0.04265

− 0.0035

7.0201

157.569*

52.339*

− 6.195*

LINK

0.00736

0.06448

0.4565

5.4356

65.967*

19.756

− 5.188*

CRO

0.00440

0.03741

0.1833

5.0457

42.115*

24.672

− 4.902*

LTC

0.00251

0.04044

0.066

7.6653

212.376*

25.204

− 6.149*

BSV

0.00177

0.04563

1.0059

11.3505

719.338*

17.092

− 6.419*

ADA

0.00603

0.05204

0.3828

5.0043

44.881*

21.441

− 5.610*

Average

0.00412

0.04314

0.3648

7.0411

   

Rf

0.00001

0.00001

1.7173

4.255

130.373*

2772.950*

 
  1. Std. Dev. denotes the annualized standard deviations of the data. JB denotes the Jarque–Bera statistics for the null hypothesis of normally distributed cryptocurrency returns. LB denotes the Ljung–Box statistics for the null hypothesis of no autocorrelation in the cryptocurrency returns. ADF denotes the Augmented Dickey Fuller test statistics for the null hypothesis of non-stationary cryptocurrency excess returns. *denotes the appropriate null hypothesis being rejected at the 5% significance level