On the efficiency and its drivers in the cryptocurrency market: the case of Bitcoin and Ethereum

Financial Innovation

Table 4 Descriptive statistics and preliminary analysis of the (in)efficiency drivers

	Mean	Std. Dev	Skewness	Kurtosis	J-B p-value	ADF	PP
Global financial and monetary policy (GF)
FSI	− 1.651	2.320	1.695	6.658	0.000	− 2.998**	− 2.968**
MSCI	0.025	1.100	− 1.092	19.226	0.000	− 37.538***	− 39.652***
FFR	0.093	7.509	1.147	212.652	0.000	− 41.352***	− 41.135***
Investment substitutes (IS)
GSCI	0.034	2.589	− 1.779	25.895	0.000	− 35.602***	− 36.416***
GOLD	0.027	0.933	− 0.234	8.016	0.000	− 33.005***	− 35.145***
Uncertainty factors (U)
EPU	0.067	51.938	0.126	7.815	0.000	− 20.209***	− 174.397***
VIX	− 0.005	4.945	1.124	8.851	0.000	− 33.820***	− 40.240***
Internal factors (INT)
VOL_BTC	16.755	61.922	26.159	941.306	0.000	− 41.220***	− 42.531***
VOL_ETH	27.123	96.668	23.970	814.212	0.000	− 39.810***	− 40.992***
LIQ_BTC	0.090	0.071	2.235	10.979	0.000	− 3.369***	− 9.516***
LIQ_ETH	0.203	0.227	2.040	8.521	0.000	− 3.786***	− 4.660***
MFC	0.008	11.900	0.160	4.337	0.000	− 20.257***	− 41.442***

This table reports the descriptive statistics of the potential drivers of (in)efficiency of Bitcoin and Ethereum. J–B (Jarque–Bera) statistics p-values are related to the normality test. ADF and PP are the statistics of Dickey–Fuller and Phillips–Perron related to the unit root tests. GF is the global financial and monetary policy factor, which includes the Financial Stress Indicator (FSI), the MSCI world stock market index (MSCI), and Fed Fund rates (FFR). The investment substitutes (IS) are represented by the GSCI Energy index (GSCI) and Gold Bullion index (Gold). The uncertainty (U) factor includes the economic policy uncertainty (EPU) and the CBOE volatility index (VIX). The internal (INT) factors are specific to the cryptocurrency market and include the volatility of the cryptocurrency (VOL), liquidity (LIQ), and money flow to cryptocurrencies (MFC)
*** and ** indicate the statistical significance at 1%, and 5%, respectively