Table 2 Test of ADF and KPSS
From: Tokenomics in the Metaverse: understanding the lead–lag effect among emerging crypto tokens
Variable | Description | ADF test | KPSS test |
|---|---|---|---|
Lt | Daily return of leading tokens | − 6.1817 | 0.3700 |
D(Lt) | Difference in daily return of leading tokens | − 10.8060** | 0.0087 |
Ft | Daily return of follower tokens | − 4.9691 | 0.3249 |
D(Ft) | Difference in daily return of follower tokens | − 9.8679** | 0.0094 |
Ot | Daily return of outlier tokens | − 5.3239 | 0.1091 |
D(Ot) | Difference in daily return of outlier tokens | − 8.5863** | 0.0113 |