Assessing efficiency in prices and trading volumes of cryptocurrencies before and during the COVID-19 pandemic with fractal, chaos, and randomness: evidence from a large dataset

Financial Innovation

Table 1 Results of statistical tests applied to price time series

Statistical tests	Null hypothesis	p-value
Student t-test	Mean of CD prior pandemic is equal to mean of CD during pandemic	0.3649
Student t-test	Mean of LE prior pandemic is equal to mean of LE during pandemic	0.8103
Student t-test	Mean of AE prior pandemic is equal to mean of AE during pandemic	0.4473
F-test	Variance of CD prior pandemic is equal to variance of CD during pandemic	0.0033
F-test	Variance of LE prior pandemic is equal to variance of LE during pandemic	0.0345
F-test	Variance of AE prior pandemic is equal to variance of AE during pandemic	5.4535 × 10^–04

CD denotes correlation dimension, LE denotes Lyapunov exponent, and AE denotes approximate entropy. Student t-test is applied for equality of means and F-test for equality of variances. All statistical tests are performed at 5% significance level. A p-value less than 5% significance level implies rejection of the null hypothesis. The results from statistical tests show that the pandemic has not affected the means of CD, LE, and AE across prices of cryptocurrency markets. However, the pandemic significantly affected their variations