Volatility contagion between cryptocurrencies, gold and stock markets pre-and-during COVID-19: evidence using DCC-GARCH and cascade-correlation network

Financial Innovation

Table 1 Summary statistics of daily return series

Our data consists of 2,958 daily observations from January 2, 2011, to June 2, 2022, and divided into two sub-samples. The first sub-sample covers the period from January 2, 2011, to February 23, 2020, which is pre-COVID-19. The second sub-sample covers the period from February 24, 2020, to June 2, 2022, which is during COVID-19. This Table presents daily return summary statistics for Bitcoin (BTC), gold (XAU), and six international stock market indices CFDs namely Nikkei 225 (JPN), S&P 500 (SPX), FTSE 100 (UK), FTSE China A50 (CHN), DAX (DEU), CAC40 (CAC). This Table shows that Bitcoin reached the lowest daily return (i.e., -0.49373) and the highest daily return (i.e., 0.59327) among other returns, which is the highest in average returns and volatility as evidenced by the Mean, Median, and Variance figures above