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Financial Innovation

Table 1 Summary statistics for realized moments

From: Time-varying spillovers in high-order moments among cryptocurrencies

 

Mean

Std. Dev.

Min.

Max.

Skewness

Kurtosis

p (J–B)

ADF

Panel A: Realized volatility

  Bitcoin

0.0021

0.0051

0.0001

0.1108

14.1753

264.4244

0.0000

 − 11.5604***

  Ethereum

0.0034

0.0098

0.0002

0.2234

16.0082

316.3787

0.0000

 − 21.6957***

  Binance

0.0038

0.0117

0.0002

0.2425

13.5791

236.0071

0.0000

 − 10.1973***

  Cardano

0.0053

0.0136

0.0005

0.3438

17.8387

423.2775

0.0000

 − 10.4522***

  Litecoin

0.0045

0.0156

0.0003

0.4284

22.5626

596.7633

0.0000

 − 25.9250***

  Ripple

0.0056

0.0126

0.0003

0.1727

7.2171

74.9552

0.0000

 − 12.6124***

Panel B: Realized skewness

  Bitcoin

 − 0.0006

0.0156

 − 0.2272

0.1715

 − 3.7907

82.0856

0.0000

 − 29.8170***

  Ethereum

0.0007

0.0376

 − 0.2607

1.0495

23.1268

659.8273

0.0000

 − 29.5173***

  Binance

 − 0.0053

0.0947

 − 2.8097

0.0551

 − 28.4013

837.5212

0.0000

 − 30.4500***

  Cardano

 − 0.0050

0.1063

 − 3.1446

0.3243

 − 28.0167

827.1966

0.0000

 − 30.2994***

  Litecoin

 − 0.0031

0.0777

 − 2.2396

0.5693

 − 25.4946

748.4073

0.0000

 − 30.2415***

  Ripple

 − 0.0082

0.0975

 − 2.7732

0.1017

 − 25.2910

706.8908

0.0000

 − 30.6718***

Panel C: Realized kurtosis

  Bitcoin

20.8354

33.8472

3.6713

365.0649

4.7891

32.8367

0.0000

 − 29.0550***

  Ethereum

14.2561

28.1584

3.3326

533.9693

10.8318

166.8835

0.0000

 − 27.4567***

  Binance

13.3123

41.0279

3.2892

1108.2960

21.4191

555.2156

0.0000

 − 30.1709***

  Cardano

13.1608

38.7177

3.5114

1053.1580

21.6642

568.3402

0.0000

 − 30.4634***

  Litecoin

14.2714

39.1179

3.4525

1061.0560

21.3632

559.3164

0.0000

 − 30.4042***

  Ripple

16.8818

49.3780

3.4434

1130.7330

14.8388

297.7424

0.0000

 − 30.8724***

  1. This table reports the summary statistics and unit root test (Augmented Dickey-Fuller test) of realized volatility, skewness, and kurtosis over the period 10 February 2020 to 20 August 2022, a total of 922 daily observations for each cryptocurrency. p(J-B) is the probability value of the Jarque–Bera statistic which tests the null hypothesis of the normal distribution of the series. ADF statistics test the null hypothesis that a series has a unit root. *** denotes statistical significance at a 1% level
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