Skip to main content
Financial Innovation

Table 2 Descriptive statistics of the log realized volatility of 6 cryptocurrencies in 4 exchanges

From: Heterogeneity in the volatility spillover of cryptocurrencies and exchanges

Variable

N

Mean

SD

Skewness

Kurtosis

Min

Panel 1: Binance

BTC

653

1.072

0.531

0.553

3.757

 − 0.246

EOS

653

1.391

0.492

0.531

3.698

0.042

ETH

653

1.316

0.476

0.658

3.96

0.163

LTC

653

1.462

0.473

0.424

3.393

0.232

XLM

653

1.448

0.519

0.832

4.139

 − 0.096

XRP

653

1.323

0.564

0.908

4.012

 − 0.108

Panel 2: OKEx

BTC

653

1.061

0.541

0.521

3.698

 − 0.313

EOS

653

1.394

0.494

0.585

3.752

0.12

ETH

653

1.316

0.478

0.66

3.993

0.154

LTC

653

1.458

0.476

0.443

3.419

0.25

XLM

653

1.443

0.519

0.837

4.015

 − 0.018

XRP

653

1.325

0.564

0.938

4.007

 − 0.024

Panel 3: Coinbase

BTC

653

1.093

0.545

0.546

3.633

 − 0.291

EOS

653

1.457

0.473

0.633

3.837

0.353

ETH

653

1.341

0.474

0.677

3.995

0.173

LTC

653

1.485

0.473

0.449

3.521

0.233

XLM

653

1.556

0.496

1.22

5.362

0.625

XRP

653

1.369

0.563

1.024

4.276

0.049

Panel 4: Bitfinexs

BTC

653

1.051

0.554

0.418

3.536

 − 0.365

EOS

653

1.422

0.492

0.487

3.652

 − 0.017

ETH

653

1.328

0.477

0.641

3.985

0.161

LTC

653

1.503

0.463

0.402

3.447

0.3

XLM

653

1.565

0.498

0.728

3.877

0.325

XRP

653

1.372

0.563

0.989

4.117

0.036

Variable

Max

P25

Median

P75

Mean difference

ADF test

Panel 1: Binance

BTC

3.504

0.714

1.015

1.372

–

 − 5.139***

EOS

3.549

1.051

1.325

1.707

–

 − 6.002***

ETH

3.525

0.986

1.266

1.559

–

 − 5.568***

LTC

3.59

1.141

1.415

1.793

–

 − 5.418***

XLM

3.557

1.084

1.356

1.743

–

 − 6.291***

XRP

3.415

0.923

1.216

1.627

–

 − 5.282***

Panel 2: OKEx

BTC

3.477

0.683

1.006

1.370

 − 0.011***

 − 5.162***

EOS

3.550

1.049

1.318

1.707

0.003**

 − 6.092***

ETH

3.505

0.990

1.270

1.564

0.000

 − 5.591***

LTC

3.558

1.125

1.405

1.785

 − 0.004***

 − 5.419***

XLM

3.512

1.061

1.365

1.744

 − 0.005**

 − 6.285***

XRP

3.405

0.923

1.214

1.632

0.002

 − 5.348***

Panel 3: Coinbase

BTC

3.493

0.713

1.038

1.392

0.020***

 − 4.879***

EOS

3.604

1.126

1.392

1.752

0.065***

 − 6.126***

ETH

3.53

1.018

1.286

1.610

0.025***

 − 5.384***

LTC

3.579

1.169

1.436

1.804

0.023***

 − 5.326***

XLM

3.754

1.220

1.454

1.820

0.107***

 − 5.758***

XRP

3.634

0.950

1.262

1.683

0.046***

 − 4.827***

Panel 4: Bitfinex

BTC

3.454

0.685

1.003

1.376

 − 0.021***

 − 5.167***

EOS

3.539

1.081

1.355

1.734

0.031***

 − 6.039***

ETH

3.561

0.996

1.281

1.595

0.012***

 − 5.474***

LTC

3.591

1.195

1.460

1.809

0.041***

 − 5.427***

XLM

3.552

1.229

1.501

1.862

0.117***

 − 6.790***

XRP

3.395

0.985

1.269

1.661

0.049***

 − 5.185***

  1. This Table reports the summary statistics for the logarithm of the daily realized volatility of the research sample. The sample covers Apr. 13th, 2019 to Jan. 24th, 2021, includes 6 coins (BTC, ETH, XRP, LTC, XLM, and EOS) and 4 exchange markets (Binance, OKEx, Coinbase and Bitfinex). For each cryptocurrency in a specific exchange, the Mean, standard deviation (SD), Skewness, Kurtosis, minimum (Min), maximum (Max), Mean Difference, t-statistic for difference and ADF test are calculated. Mean difference compares the means of the same cryptocurrency’s log realized volatility between Binance and the other three exchanges. ADF test is the result of Augmented Dickey and Fuller Unit Root Test (1979), which is used to check the stationarity of time series. As for the Mean Difference and ADF, ***,** and * indicated significance at the 1%, 5% and 10% levels respectively
Back to article page