Skip to main content
Financial Innovation

Table 2 Summary descriptive statistics

From: Have the extraordinary circumstances of the COVID-19 outbreak and the Russian–Ukrainian conflict impacted the efficiency of cryptocurrencies?

 

Bitcoin

Ethereum

Binance

XRP

Ethereum classic

Litecoin

Mean

0.00025

0.00036

0.00121

0.00014

0.0002

− 0.00003

Max

0.09777

0.10195

0.22984

0.26357

0.15308

0.16908

Min

− 0.20183

− 0.23918

− 0.23586

− 0.23908

− 0.21992

− 0.19503

Std. Dev

0.01778

0.02255

0.02596

0.02798

0.02792

0.02431

Skewness

− 0.80762

− 0.91065

0.38542

0.83215

− 0.10954

− 0.13829

Kurtosis

14.71101

12.50943

17.42898

19.39155

10.67991

11.52421

J-B

10,330.3***

6929.41***

15,433.04***

20,064.89***

4363.22***

5376.59***

ADF

− 43.450***

− 28.412***

− 27.64***

− 41.831***

− 42.879***

− 43.357***

Q(10)

18.6755**

26.1702***

41.3476***

20.4137**

16.0249*

18.0468**

Q2(10)

46.0623*

52.262***

308.931***

191.534***

194.006***

143.824***

Variance-ratio test

0.19435

0.58274

0.70095

0.87198

0.40564

0.36437

R/S test

1.44376

1.50027

1.24291

1.26962

1.26338

1.21698

Runs test

2.37565**

2.80597***

3.2156***

4.20952***

3.61372***

2.61404***

BDS test

Dimension

2

5.0270***

3.9657***

10.1987***

10.9165***

8.5719***

5.6492***

3

6.6425***

5.7120***

12.7241***

12.6963***

11.3498***

7.3051***

4

7.5004***

6.7478***

14.1455***

13.8784***

12.7082***

8.1639***

5

8.6387***

7.4868***

15.4217***

15.4535***

13.5220***

9.1827***

6

9.5135***

8.3270***

16.5656***

16.6495***

14.2998***

9.8311***

  1. The table show the summary descriptive statistics of the daily returns of cryptocurrencies. The Jarque–Bera statistic the normality test of the sample distribution. ADF is the Augmented Dickey-Fuller test of unit root. Q(10) and Q2(10) are Li and McLeod test for autocorrelation of returns and squared returns respectively. Variance-Ratio Test is the Lo and MacKinlay statistics for testing the random walk hypothesis (weak-form efficiency which are robust under homoscedasticity and heteroscedasticity. R/S (range over standard deviation) test is the Hurst-Mandelbrot statistics for testing the hypothesis of no long-range dependence. Runs Test (also called Wald-Wolfowitz test) is the Lo’s statistic (a non-parametric statistic) that test the random walk hypothesis. BDS test (initiated by Brock, Dechert, Scheinkman and LeBaron) is a non-parametric statistic of testing the nonlinear serial dependence in time series using spatial dimensions from 2 to 6. ***, **, and * indicate significance at the 10%, 5%, and 1% levels, respectively. The sample period is 11/09/2017–30/09/2022
Back to article page