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Table 2 Descriptive statistics of Stablecoins returns

From: Intelligent design: stablecoins (in)stability and collateral during market turbulence

 

BTC

BUSD

DAI

LUNA

UST

USDT

USDC

Panel A: pre-collapse period (20 April 2022–9 May 2022)

 Mean

− 0.0011

0

0

− 0.004

− 0.0009

0

0

 Median

0

0

0

0

0

0

0

 Max

1.3604

0.01

0.6764

7.5653

5.9968

0.626

1.0925

 Min

− 1.2013

− 0.01

− 0.6765

− 4.6747

− 2.8252

− 0.6271

− 0.8492

 SD

0.0846

0.0045

0.0263

0.1932

0.0591

0.0183

0.0255

 Skewness

0.1752

− 0.0002

0.0545

0.7353

25.7039

0.1591

1.9935

 Excess Kurtosis

19.1692

2.0482

60.5877

157.2306

4198.0988

231.8142

466.2319

 Jarque–Bera

0.44***

0.05***

4.41***

29.67***

21152.01***

64.49***

260.87***

 ADF

− 23.1***

− 40.1***

− 38.4***

− 14.1***

− 3.3**

− 36.5***

− 39.4***

 ARCH(1)

1492.1***

211.5***

6866.4***

719.0***

29.2***

7084.0***

8035.1***

 ARCH(6)

2656.9***

444.5***

9637.9***

2732.5***

1038.9***

11674.6***

8705.1***

 ARCH(12)

2926.4***

602.3***

9748.4***

5020.3***

1880.5***

12069.9***

8736.9***

 Q(6)

30.7***

2509.1***

7037.5***

324.5***

1235.3***

6469.0***

8112.6***

 Q(12)

64.1***

2522.6***

7049.2***

432.0***

1834.3***

6480.5***

8113.4***

 Q\(^2\)(6)

4823.9***

567.3***

7051.2***

4236.6***

1122.0***

7122.2***

11766.0***

 Q\(^2\)(12)

7139.7***

928.3***

7303.3***

10180.7***

2125.8***

7130.7***

11766.1***

Panel B: collapse period (10 May 2022–29 May 2022)

 Mean

− 0.0001

0

0

− 0.0437

− 0.0118

0

0

 Median

0

0

0

0

0

0

0

 Max

2.5506

0.1

1.8215

608.336

43.8416

1.7807

6.3763

 Min

− 1.8623

− 0.1

− 2.6808

− 607.3849

− 46.106

− 1.7589

− 6.4213

 SD

0.1302

0.0137

0.0612

52.9634

1.7118

0.0584

0.097

 Skewness

0.8269

0.0016

− 1.7094

− 0.0164

0.2579

− 0.1884

0.5163

 Excess Kurtosis

23.612

41.9405

210.6163

108.6154

89.4661

160.844

1418.0227

 Jarque–Bera

0.67***

2.11***

53.25***

14.16***

9.61***

31.05***

2412.95***

 ADF

− 24.1***

− 34.2***

− 38.1***

− 32.0***

− 22.1***

− 29.8***

− 38.5***

 ARCH(1)

1678.3***

4751.9***

686.7***

7409.7***

2721.6***

5390.1***

7088.5***

 ARCH(6)

3383.1***

8253.2***

4212.7***

11858.9***

3749.0***

6446.3***

11601.0***

 ARCH(12)

3762.7***

9288.2***

5717.0***

12365.3***

4719.2***

7627.5***

12291.3***

 Q(6)

21.1***

4910.3***

5034.8***

7721.5***

292.8***

4152.2***

6675.5***

 Q(12)

50.0***

4967.9***

5164.5***

7887.4***

336.0***

4457.9***

7158.2***

 Q\(^2\)(6)

6528.1***

23465.1***

4038.3***

40460.8***

5904.1***

10990.2***

7094.9***

 Q\(^2\)(12)

10228.6***

45786.2***

7064.8***

74407.5***

9964.4***

19652.8***

8124.4***

Panel C: entire period (20 April 2022–29 May 2022)

 Mean

− 0.0006

0

0

− 0.0239

− 0.0064

0

0

 Median

0

0

0

0

0

0

0

 Max

2.5506

0.1

1.8215

608.336

43.8416

1.7807

6.3763

 Min

− 1.8623

− 0.1

− 2.6808

− 607.3849

− 46.106

− 1.7589

− 6.4213

 SD

0.1098

0.0102

0.0471

37.451

1.2111

0.0433

0.0709

 Skewness

0.7357

0.0021

− 1.8707

− 0.0248

0.3521

− 0.2256

0.7069

 Excess Kurtosis

27.246

70.5863

304.6165

220.2247

181.4897

272.5424

2488.7769

 Jarque–Bera

1.79***

11.96***

222.73***

116.40***

79.05***

178.27***

14865.63***

 ADF

− 33.0***

− 44.1***

− 49.4***

− 41.1***

− 29.1***

− 39.9***

− 49.2***

 ARCH(1)

3424.5***

9740.3***

1456.8***

14949.5***

5578.0***

10893.0***

14188.9***

 ARCH(6)

6763.1***

16830.6***

8361.1***

23865.9***

7701.9***

12990.2***

23185.7***

 ARCH(12)

7490.7***

18902.5***

11344.4***

24880.7***

9667.5***

15311.5***

24562.2***

 Q(6)

26.1***

9233.3***

10516.0***

15441.7***

581.3***

8589.3***

13293.0***

 Q(12)

70.6***

9327.7***

10710.5***

15773.4***

667.0***

9097.4***

14135.8***

 Q\(^2\)(6)

13175.9***

48299.2***

8106.1***

81691.3***

12327.5***

22026.3***

14202.6***

 Q\(^2\)(12)

20655.8***

94295.5***

14136.6***

150341.0***

20902.1***

39178.6***

16264.7***

  1. The table shows the descriptive statistics for pre-collapse, collapse and the entire period. Jarque–Bera represents the test statistics from the normality test (expressed in \(\times 10^6\)). ADF represents the augmented Dickey–Fuller test. ARCH(6) and ARCH(12) correspond to the test statistics from the ARCH test with 6 and 12 lags respectively. Q(6), Q(12) and \(Q^2\)(6), \(Q^2\)(12) represent the test statistics from the Ljung–Box test for serial correlation in returns and squared returns with 6 and 12 lags respectively. ***Indicates the rejection of the null hypothesis at the 1% significance level