Financial Innovation

Table 1 Descriptive statistics of cryptocurrency price returns and uncertainty indices

From: Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets

	BTC	ETH	LTC	XRP	BCH	VIX	OVX	GVZ
Mean (%)	0.1077	0.0904	− 0.0250	0.0024	− 0.1137	0.0655	0.0655	0.0780
Max	17.77	23.40	26.69	32.98	42.54	48.02	29.76	85.77
Min	− 49.39	− 57.56	− 45.74	− 64.52	− 59.37	− 26.62	− 26.56	− 62.22
Std. Dev	3.9631	5.2249	5.4344	6.1668	6.1876	7.0185	4.4035	6.6951
Skewness	− 1.3435	− 1.2058	− 0.7503	− 1.6072	− 0.2649	1.3683	0.7883	2.3693
Kurtosis	19.06	13.08	8.839	16.59	13.75	6.970	6.267	36.68
Jarque–Bera	21,507***	10,269***	4666.2***	16,587***	11,000***	3255.1***	2424.1***	79,392***
Q (20)	33.74***	57.73***	36.41***	22.47	35.13***	32.44***	41.02***	35.74***
ADF	− 21.49***	− 21.03***	− 21.71***	− 22.46***	− 20.48***	− 22.91***	− 22.71***	− 23.79***
KPSS	0.1905	0.5459	0.1486	0.1247	0.1674	0.0250	0.0505	0.0327

This table reports the descriptive statistics of sample returns, the Ljung–Box test (Q(20)) for the autocorrelation of returns series, ADF unit root test of Dickey–Fuller (1979), and KPSS stationary test of the Kwiatkowski et al. (1992). The asterisk *** stands for significance at the 1% level

Back to article page