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Financial Innovation

Table 1 Basic statistics and data characteristics of variables

From: Features of different asset types and extreme risk transmission during the COVID-19 crisis

Panel A

\(\Delta CCI\)

\(\Delta BTC\)

\(\Delta WSPI\)

\(\Delta WTI\)

Mean

0.0021

0.0020

0.0002

0.0004

Std. Dev

0.0501

0.0459

0.0099

0.0302

Skewness

− 1.1747

− 0.8621

0.8892

− 1.6540

Kurtosis

8.6066

10.9357

17.9096

52.3753

J-B

6772.0240

10,428.0278

27,784.3584

234,329.0509

 

(0.0000)

(0.0000)

(0.0000)

(0.0000)

Q (10)

23.6639

12.1512

152.1985

53.7822

 

(0.0085)

(0.2751)

(0.0000)

(0.0000)

Q (20)

52.3488

23.1405

188.6810

92.7014

 

(0.0001)

(0.2819)

(0.0000)

(0.0000)

Q2 (10)

88.3041

69.7991

2067.8906

278.1154

 

(0.0000)

(0.0000)

(0.0000)

(0.0000)

Q2 (20)

99.5996

76.9885

2398.2340

325.8721

 

(0.0000)

(0.0000)

(0.0000)

(0.0000)

ADF test

− 45.9506

− 45.9945

− 13.7079

− 38.4509

 

(0.0000)

(0.0000)

(0.0000)

(0.0000)

 

\(\Delta WEPI\)

\(\Delta Gold\)

\(\Delta GSCI\)

\(\Delta REITs\)

Mean

0.00001

0.0002

0.0004

0.00002

Std. Dev

0.0173

0.0086

0.0143

0.0132

Skewness

− 1.2254

− 0.3059

− 0.8246

− 2.1165

Kurtosis

22.4935

3.4374

8.9553

32.7819

J-B

43,559.5416

1037.1526

7054.8323

92,959.3348

 

(0.0000)

(0.0000)

(0.0000)

(0.0000)

Q (10)

63.9861

17.2184

12.2415

121.3499

 

(0.0000)

(0.0697)

(0.2692)

(0.0000)

Q (20)

91.6591

26.3366

32.2669

161.9908

 

(0.0000)

(0.1550)

(0.0405)

(0.0000)

Q2 (10)

977.2221

143.5666

454.1760

1387.6544

 

(0.0000)

(0.0000)

(0.0000)

(0.0000)

Q2 (20)

1246.2855

203.8627

590.4677

1677.4876

 

(0.0000)

(0.0000)

(0.0000)

(0.0000)

ADF test

− 15.1916

− 44.1859

− 42.9641

− 23.4343

 

(0.0000)

(0.0000)

(0.0000)

(0.0000)

Panel B

\(\Delta TC\)

\(\Delta TD\)

\(\Delta SI\)

Mean

0.0090

0.0059

0.0008

Std. Dev

0.0591

0.0398

0.0291

Skewness

12.1704

11.4631

14.1001

Kurtosis

176.6471

156.4033

330.5337

J-B

2,705,367.1937

2,126,028.3888

9,363,230.6341

 

(0.0000)

(0.0000)

(0.0000)

Q (10)

5151.3550

10,406.3250

657.3298

 

(0.0000)

(0.0000)

(0.0000)

Q (20)

6697.3017

13,780.3230

672.1648

 

(0.0000)

(0.0000)

(0.0000)

Q2 (10)

1284.5730

3789.1230

684.3104

 

(0.0000)

(0.0000)

(0.0000)

Q2 (20)

1524.7820

4311.9470

687.0451

 

(0.0000)

(0.0000)

(0.0000)

ADF test

− 4.4774

− 13.6300

− 10.7406

 

(0.0002)

(0.0000)

(0.0000)

 

\(\Delta EPU\)

\(\Delta TV\)

\(\Delta PV\)

Mean

0.0001

0.0047

0.0043

Std. Dev

0.4924

0.0394

0.0407

Skewness

0.2176

17.3263

18.1483

Kurtosis

1.5258

350.2036

377.4784

J-B

214.1810

10,537,003.9131

12,235,608.7513

 

(0.0000)

(0.0000)

(0.0000)

Q (10)

372.4214

4046.8167

3741.1373

 

(0.0000)

(0.0000)

(0.0000)

Q (20)

400.9224

4816.8866

4251.5144

 

(0.0000)

(0.0000)

(0.0000)

Q2 (10)

128.9736

1894.7896

1817.6908

 

(0.0000)

(0.0000)

(0.0000)

Q2 (20)

133.2240

1903.0918

1821.2716

 

(0.0000)

(0.0000)

(0.0000)

ADF test

− 23.2077

− 7.8875

− 6.5698

 

(0.0000)

(0.0000)

(0.0000)

  1. Panel A: This table shows the statistics, independence tests, and unit root tests of the variables. \(\Delta CCI\), \(\Delta BTC\), \(\Delta WSPI\), \(\Delta WTI\), \(\Delta WEPI\), \(\Delta Gold\), \(\Delta GSCI\), and \(\Delta REITs\) respectively denote the return of cryptocurrency index, Bitcoin price, MSCI World Stock Price Index, WTI crude oil spot price, MSCI World Energy Price Index, gold spot price, S&P Goldman Sachs Commodity Index, and FTSE NAREIT All REITs index. The normality test statistics J-B stands for Jarque–Bera with null hypothesis. Q (n) is the Ljung-Box Q statistic for testing autocorrelation with null hypothesis. Q2 (n) is the McLeod-Li Q2 statistic for testing non-linearity with null hypothesis. Number in parentheses is p-value. Number in bold stands for significance at 5%
  2. Panel B: This table shows the statistics, independence tests, and unit root tests of the risk variables. \(\Delta TC\), \(\Delta TD\), \(\Delta SI\), \(\Delta EPU\), \(\Delta TV\), and \(\Delta PV\) respectively denote the return of total infected cases, total deaths, stringency index, Economic Policy Uncertainty, total number of vaccines, and population vaccinated. The normality test statistics J-B stands for Jarque–Bera with null hypothesis. Q (n) is the Ljung-Box Q statistic for testing autocorrelation with null hypothesis. Q2 (n) is the McLeod-Li Q2 statistic for testing non-linearity with null hypothesis. Number in parentheses is p-value. Number in bold stands for significance at 5%
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