Table 1 Descriptive statistics BTC ETH...

Table 1

Descriptive statistics

	BTC	ETH	XRP	LTC	XLM	XMR	DASH	USDT	XEM	DOGE
Obs	1901	1901	1901	1901	1901	1901	1901	1901	1901	1901
Min	−0.464	−0.551	−0.616	−0.449	−0.410	−0.494	−0.459	−0.049	−0.362	−0.493
Median(%)	0.206	0.000	−0.230	0.000	−0.200	0.000	−0.080	0.000	0.000	0.000
Max	0.225	0.412	1.027	0.510	0.723	0.585	0.438	0.057	0.996	0.518
Mean(%)	0.201	0.326	0.179	0.127	0.184	0.267	0.162	0.000	0.349	0.144
Std	0.039	0.062	0.066	0.055	0.073	0.064	0.057	0.006	0.078	0.061
Skewness	−0.096	0.079	2.960	0.764	2.000	0.678	0.636	0.288	1.974	1.034
Kurtosis	14.133	8.147	46.686	13.256	18.957	9.839	8.964	16.772	19.808	15.181
ES	−0.079	−0.125	−0.133	−0.111	−0.148	−0.128	−0.116	−0.013	−0.158	−0.123
VaR	−0.062	−0.099	−0.106	−0.088	−0.118	−0.102	−0.092	−0.010	−0.125	−0.098
Drawdown	0.886	0.976	0.988	0.976	0.990	0.983	0.993	0.115	0.996	0.973
Omega	1.180	1.133	1.107	1.079	1.087	1.133	1.090	1.000	1.153	1.085
Sortino	0.071	0.051	0.047	0.036	0.042	0.064	0.043	0.000	0.075	0.037
Sharpe	0.051	0.037	0.027	0.023	0.025	0.042	0.028	0.000	0.045	0.024
KPSS	0.063	0.081	0.092	0.108	0.096	0.093	0.099	0.007	0.106	0.046
PP	−44.86^***	−43.28^***	−45.86^***	−44.20^***	−41.61^***	−46.19^***	−45.00^***	−82.99^***	−47.10^***	−41.64^***
ADF	−30.33^***	−28.88^***	−27.45^***	−30.62^***	−30.02^***	−31.43^***	−31.57^***	−39.86^***	−34.30^***	−28.61^***
Shapiro-W	0.88^***	0.90^***	0.71^***	0.85^***	0.82^***	0.90^***	0.89^***	0.66^***	0.85^***	0.81^***

	BTC	ETH	XRP	LTC	XLM	XMR	DASH	USDT	XEM	DOGE
Obs	1901	1901	1901	1901	1901	1901	1901	1901	1901	1901
Min	−0.464	−0.551	−0.616	−0.449	−0.410	−0.494	−0.459	−0.049	−0.362	−0.493
Median(%)	0.206	0.000	−0.230	0.000	−0.200	0.000	−0.080	0.000	0.000	0.000
Max	0.225	0.412	1.027	0.510	0.723	0.585	0.438	0.057	0.996	0.518
Mean(%)	0.201	0.326	0.179	0.127	0.184	0.267	0.162	0.000	0.349	0.144
Std	0.039	0.062	0.066	0.055	0.073	0.064	0.057	0.006	0.078	0.061
Skewness	−0.096	0.079	2.960	0.764	2.000	0.678	0.636	0.288	1.974	1.034
Kurtosis	14.133	8.147	46.686	13.256	18.957	9.839	8.964	16.772	19.808	15.181
ES	−0.079	−0.125	−0.133	−0.111	−0.148	−0.128	−0.116	−0.013	−0.158	−0.123
VaR	−0.062	−0.099	−0.106	−0.088	−0.118	−0.102	−0.092	−0.010	−0.125	−0.098
Drawdown	0.886	0.976	0.988	0.976	0.990	0.983	0.993	0.115	0.996	0.973
Omega	1.180	1.133	1.107	1.079	1.087	1.133	1.090	1.000	1.153	1.085
Sortino	0.071	0.051	0.047	0.036	0.042	0.064	0.043	0.000	0.075	0.037
Sharpe	0.051	0.037	0.027	0.023	0.025	0.042	0.028	0.000	0.045	0.024
KPSS	0.063	0.081	0.092	0.108	0.096	0.093	0.099	0.007	0.106	0.046
PP	−44.86^***	−43.28^***	−45.86^***	−44.20^***	−41.61^***	−46.19^***	−45.00^***	−82.99^***	−47.10^***	−41.64^***
ADF	−30.33^***	−28.88^***	−27.45^***	−30.62^***	−30.02^***	−31.43^***	−31.57^***	−39.86^***	−34.30^***	−28.61^***
Shapiro-W	0.88^***	0.90^***	0.71^***	0.85^***	0.82^***	0.90^***	0.89^***	0.66^***	0.85^***	0.81^***

Note(s): This table presents descriptive stats of the log returns of the cryptos. Expected shortfall (ES) and value at risk (VaR) used 95% confidence level. ADF (PP) is augmented Dickey-Fuller (Phillips and Perron) statistic. KPSS is Kwiatkowski, Phillips, Schmidt and Shin statistic. The Shapiro-Wilk is to test normality. ^*** Statistically sig at 1 % level. The risk-free rate was assumed to be zero for the calculation of Sharpe and minimum acceptance return (MAR) of Sortino. A target threshold of zero was also used in omega ratio

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