Volatility spillovers, structural breaks and uncertainty in technology sector markets

Financial Innovation

Table 1 Descriptive statistics for tech and financial assets

	Mean (%)	SD	Skewness	Kurtosis	Jarque−Bera	ADF(c)	ADF(ct)	PP	Q (10)	ARCH− LM(10)	Obs
Panel A: Technology assets
ATE	0.026	0.015	0.047	7.670	4769.4***	− 31.71(5)***	− 31.77(5)***	− 74.25***	16.36**	1026.0***	5240
MIT	0.009	0.014	0.016	8.305	6152.8***	− 36.71(3)***	− 36.83(3)***	− 67.24***	23.88***	888.58***	5240
ABI	0.048	0.020	− 0.080	7.766	4971.3***	− 31.37(5)***	− 31.37(5)***	− 70.96***	24.23***	828.39***	5240
SPC	0.006	0.017	− 0.569	18.21	41,034.0***	− 55.59(0)***	− 55.58(0)***	− 55.24***	117.7***	1462.5***	4225
FIN	0.086	0.011	− 0.772	6.844	636.12***	− 28.70(0)***	− 28.69(0)***	− 28.67***	7.693	86.391***	883
BTC	0.215	0.044	− 0.141	7.839	1378.9***	− 36.42 (0)***	− 36.41(0)***	− 36.43***	7.180	96.661***	1402
Panel B: Financial assets
SP5	0.015	0.012	− 0.232	12.08	18,068.7***	− 55.89(1)***	− 55.93(1)***	− 78.66***	59.38***	1337.5***	5240
MWO	0.010	0.010	− 0.387	11.21	14,876.5***	− 51.08(1)***	− 51.10(1)***	− 63.65***	70.64***	1519.9***	5240
ESG	0.028	0.010	− 0.318	9.085	7480.3***	− 61.72(0)***	− 61.71(0)***	− 61.41***	58.70***	1138.2***	4790
OIL	0.013	0.023	− 0.112	7.427	4295.4***	− 75.42(0)***	− 75.42(0)***	− 75.54***	26.20***	594.52***	5240
GLD	0.032	0.011	− 0.216	9.267	8624.8***	− 52.42(1)***	− 52.43(1)***	− 73.36***	10.58	224.86***	5240
USD	0.002	0.006	0.138	5.787	1715.3***	− 71.63(0)***	− 71.64(0)***	− 71.63***	4.840	300.95***	5240
BND	0.007	0.003	− 0.079	7.298	4044.5***	− 54.51(1)***	− 54.51(1)***	− 73.79***	24.65	458.28***	5240

Jarque−Bera tests for normality. Augmented Dickey−Fuller (ADF) with constant (c) and constant plus trend (ct) test for unit roots. Philip−Perron (PP) test for unit roots. Portmanteau (Q) tests for no serial correlation. ARCH-LM test with 10 lags checks for the presence of heteroscedasticity. **, and *** indicate rejection of the null hypothesis at the 5%, and 1% significance levels, respectively