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Financial Innovation

Table 1 Statistical description of log return, Amihud ratio, AR estimator and CS estimator

From: Relationships among return and liquidity of cryptocurrencies

 

Mean

Median

Min

Max

SD

Skewness

Kurtosis

JB test

(a) The log return

BTC

0.000637

0.001259

− 0.464730

0.171821

0.039969

− 1.645013

22.786427

16,763.623431

ETH

0.001732

0.003318

− 0.550732

0.230695

0.052864

− 1.391422

17.247584

8780.744581

XRP

0.000534

0.001493

− 0.550504

0.444758

0.064547

− 0.158011

16.861647

8010.213652

BNB

0.002671

0.001669

− 0.543084

0.529218

0.057645

− 0.277035

22.385579

15,671.153220

LTC

0.000245

0.001895

− 0.449062

0.248434

0.054952

− 1.229674

12.929899

4360.470073

DOGE

0.003753

− 0.000359

− 0.515112

1.516382

0.091526

5.321991

85.325980

287,119.222238

 

Mean

Median

Min

Max

SD

Skewness

Kurtosis

JB test

×10−14

×10−14

×10−14

×10−14

×10−14

(b) The Amihud ratio

BTC

7.0477

3.4448

0.0104

409.5265

16.8718

15.2011

334.6116

4,620,439.6960

ETH

47.3920

15.0680

0.8997

3421.3469

145.0457

14.7263

307.5153

3,899,877.2974

XRP

194.0525

109.7708

0.2210

5382.6278

322.1349

7.3743

90.9527

331,382.8811

BNB

415.1032

76.7865

0.0528

28,067.5024

1216.0208

13.5735

278.8789

3,201,921.4240

LTC

653.8813

387.6598

0.2240

18,186.5536

950.3002

8.0781

125.7045

638,225.6223

DOGE

2920.2905

317.8923

0.7279

155,645.8491

8893.1952

8.5539

111.6264

503,849.0474

 

Mean

Median

Min

Max

SD

Skewness

Kurtosis

JB test

(c) The AR estimator

BTC

0.039367

0.026833

0.000132

0.632451

0.041421

4.326497

47.587180

85,953.787349

ETH

0.052990

0.037975

0.000607

0.767455

0.052553

3.891073

39.590937

58,310.769351

XRP

0.055270

0.035045

0.000085

0.677113

0.069309

3.843089

24.082264

20,980.800416

BNB

0.051938

0.034234

0.000206

0.783236

0.061424

4.925506

45.417644

79,012.456082

LTC

0.05399

0.036392

0.000368

0.628165

0.053793

3.081637

21.741254

16,217.523303

DOGE

0.061771

0.033178

0.000251

2.128672

0.107747

9.136417

147.063547

878,675.086570

(d) The CS estimator

BTC

0.021672

0.015686

0.000055

0.152749

0.020790

2.113003

9.105954

2297.575119

ETH

0.029825

0.022333

0.000072

0.269521

0.026741

2.318779

13.577177

5557.650956

XRP

0.032057

0.021080

0.000010

0.315072

0.035755

3.126842

17.179436

10,006.873453

BNB

0.030626

0.021413

0.000097

0.346494

0.034948

4.310991

31.257624

36,367.994240

LTC

0.030836

0.023615

0.000018

0.207891

0.028535

2.325228

10.664263

3348.652811

DOGE

0.037843

0.021958

0.0

1.225102

0.062157

9.445584

151.245104

930,561.967656

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