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Table 1 Descriptive statistics of the main variables

From: Lottery-like preferences and the MAX effect in the cryptocurrency market

 

Mean

Median

SD

Skewness

Kurtosis

25th Quartile

75th Quartile

MAX

0.22

0.16

0.20

2.92

16.51

0.10

0.26

BETA

0.86

0.93

0.71

− 0.70

19.87

0.51

1.21

SIZE

17.12

16.72

1.44

1.07

3.51

15.99

17.90

PRICE

0.55

0.12

0.91

2.31

8.60

0.02

0.67

MOM

0.07

0.00

0.43

4.18

42.77

− 0.16

0.19

REV

0.02

0.00

0.20

2.37

23.23

− 0.09

0.09

ILLIQ

0.00

0.00

0.00

6.12

57.71

0.00

0.00

VOL

0.91

0.77

0.50

1.25

4.44

0.55

1.14

  1. Table reports summary statistics of the main variables used in the study. Mean, median, standard deviation, skewness, kurtosis, 25th and 75th quartiles of weekly calculations are shown. MAX refers to the maximum daily return within a month. BETA is the market beta calculated as the sum of coefficients on lag, current and lead returns on market portfolio. SIZE equals the natural logarithm of the cryptocurrency’s market capitalization by the end of previous week. PRICE is the natural logarithm of one plus the cryptocurrency’s price. MOM stands for momentum that equals the cumulative return over the previous three weeks skipping past week. REV stands for short-term reversal and equals the return in the past week. ILLIQ refers to Amihud illiquidity measure, which is calculated by the ratio of absolute daily cryptocurrency return to its mean dollar trading volume. VOL refers to Garman-Klass volatility measure, which takes into account the highest, lowest, opening and closing prices