Relationships among return and liquidity of cryptocurrencies

Financial Innovation

Table 3 Various test statistics for all the data

	Q(10)	Q²(10)	ARCH(10)	ADF	KPSS
(a) The log return series
BTC	21.66**	18.65**	87.90***	− 33.65***	0.53**
ETH	30.60***	31.90***	65.74***	− 9.70***	0.43*
XRP	7.74	64.89***	56.58***	− 32.77***	0.12
BNB	46.07***	114.55***	142.58***	− 8.59***	0.31
LTC	22.87**	67.81***	69.30***	− 33.82***	0.15
DOGE	39.57***	25.19***	21.91**	− 16.69***	0.28
(b) The log Amihud ratio series
BTC	259.51***	232.88***	99.2***	− 3.73***	2.33***
ETH	1902.32***	1777.51***	361.87***	− 3.41**	3.74***
XRP	385.37***	357.92***	130.78***	− 5.59***	1.92***
BNB	3144.45***	2924.21***	486.86***	− 2.57*	4.28***
LTC	209.73***	186.08***	81.56***	− 4.43***	0.93***
DOGE	3961.36***	3754.68***	568.39***	− 38.19***	3.59***
(c) The AR estimator series
BTC	107.82***	27.52***	69.25***	− 5.12***	0.23
ETH	99.52***	30.35***	62.78***	− 10.12***	0.17
XRP	278.77***	88.78***	76.46***	− 6.20***	0.41*
BNB	287.98***	81.41***	85.97***	− 4.77***	0.51**
LTC	100.12 ***	40.01***	54.17***	− 5.71***	0.31
DOGE	348.06***	20.81**	18.63**	− 6.57***	0.32
(d) The CS estimator series
BTC	277.21***	184.83***	132.77***	− 9.09***	0.30
ETH	289.48***	212.17***	195.18***	− 9.09***	0.24
XRP	624.73***	354.91***	192.88***	− 5.35***	0.65**
BNB	462.59***	342.7***	348.61***	− 6.90***	0.61**
LTC	208.89***	73.35***	51.49***	− 9.32***	0.43*
DOGE	511.85***	25.56***	22.12**	− 6.74***	0.28

*Indicate rejection of the respective null hypotheses at the 10% significance level
**Indicate rejection of the respective null hypotheses at the 5% significance level
***Indicate rejection of the respective null hypotheses at the 1% significance level