Table 1 Summary statistics BTC ETH BNB...

Table 1

Summary statistics

	BTC	ETH	BNB	SP500	SSE	EURONEXT	JPXGY	HSKE	LSE
Panel A: Whole sample
Whole sample
Mean	0.1349	0.1697	0.4562	0.062	0.0093	0.0597	0.0251	0.0654	0.0695
Variance	25.2293	43.3539	56.5131	1.9764	1.4571	3.2521	3.5031	3.588	3.6577
Skewness	−0.893***	−0.617***	0.221***	−1.004***	−0.346***	0.226***	−0.135*	0.084	−0.144*
Skewness	(0.000)	(0.000)	(0.007)	(0.000)	(0.000)	(0.006)	(0.096)	(0.300)	(0.075)
Kurtosis	10.049***	7.281***	11.495***	16.649***	5.399***	9.681***	2.289***	2.761***	10.738***
JB	3928.192***	2056.557***	4989.956***	10604.336***	1117.402***	3541.961***	200.300***	288.542***	4351.433***
ERS	−10.929***	−4.286***	−5.420***	−8.933***	−9.586***	−13.690***	−5.723***	−12.724***	−13.300***
ERS	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
Q(20)	35.375**	31.439**	23.780*	286.692***	37.583***	40.319***	17.265	20.572	41.702***
Q(20)	(0.018)	(0.050)	(0.252)	(0.000)	(0.010)	(0.005)	(0.636)	(0.423)	(0.003)
Q²(20)	18.992**	23.390***	97.652***	1083.912***	25.756***	319.568***	31.974***	90.537***	58.800***
Q²(20)	(0.026)	(0.004)	(0.000)	(0.000)	(0.001)	(0.000)	(0.000)	(0.000)	(0.000)
Panel B: Pre-COVID-19 Pandemic
Pre-COVID-19 Pandemic
Mean	−0.1616	−0.423	0.097	0.0399	−0.0205	0.0739	5e-04	0.0025	0.1604
Variance	23.8119	39.2743	55.1085	0.9635	1.5171	2.2228	2.6536	2.6598	2.4219
Skewness	−0.259**	−0.218*	0.256**	−0.426***	−0.301***	−0.691***	−0.265**	−0.193*	1.731***
Skewness	(0.024)	(0.057)	(0.026)	(0.000)	(0.009)	(0.000)	(0.021)	(0.091)	(0.000)
Kurtosis	3.260***	2.266***	9.807***	4.401***	2.719***	4.950***	1.648***	1.617***	15.529***
JB	206.117***	100.754***	1824.155***	380.153***	146.746***	499.570***	56.690***	52.256***	4788.632***
ERS	−7.096***	−2.824***	−3.537***	−5.544***	−6.852***	−9.659***	−3.891***	−8.840***	−10.663***
ERS	(0.000)	(0.005)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
Q(20)	36.766**	22.740	22.067	15.604	39.750***	22.188	19.413	23.196	15.173
Q(20)	(0.013)	(0.302)	(0.337)	(0.741)	(0.005)	(0.330)	(0.495)	(0.279)	(0.766)
Q²(20)	30.927***	23.409***	46.610***	78.484***	28.712***	14.344	13.452	30.831***	10.945
Q²(20)	(0.000)	(0.004)	(0.000)	(0.000)	(0.000)	(0.152)	(0.202)	(0.000)	(0.407)
Panel C: Post-COVID-19 Pandemic
Post-COVID-19 Pandemic
Mean	0.4408	0.7718	0.8312	0.0827	0.037	0.0405	0.0473	0.1225	−0.0205
Variance	26.568	46.9366	57.8382	3.0048	1.3985	4.2932	4.3713	4.5155	4.9033
Skewness	−1.466***	−0.980***	0.179	−1.024***	−0.387***	0.574***	−0.079	0.174	−0.733***
Skewness	(0.000)	(0.000)	(0.118)	(0.000)	(0.001)	(0.000)	(0.486)	(0.128)	(0.000)
Kurtosis	15.902***	11.162***	13.145***	13.410***	8.580***	9.541***	2.114***	2.672***	7.615***
JB	4902.485***	2408.121***	3242.086***	3450.172***	1391.426***	1731.673***	84.261***	136.153***	1127.532***
ERS	−4.358***	−5.550***	−6.278***	−6.063***	−10.164***	−10.721***	−8.071***	−4.004***	−7.190***
ERS	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
Q(20)	30.159*	25.804	29.320*	236.510***	18.789	33.751**	23.144	27.757	39.520***
Q(20)	(0.067)	(0.172)	(0.082)	(0.000)	(0.536)	(0.028)	(0.282)	(0.115)	(0.006)
Q²(20)	9.270	11.324	88.582***	544.370***	15.512	190.787***	15.250	45.970***	39.520***
Q²(20)	(0.586)	(0.370)	(0.000)	(0.000)	(0.102)	(0.000)	(0.111)	(0.000)	(0.000)

	BTC	ETH	BNB	SP500	SSE	EURONEXT	JPXGY	HSKE	LSE
Panel A: Whole sample
Whole sample
Mean	0.1349	0.1697	0.4562	0.062	0.0093	0.0597	0.0251	0.0654	0.0695
Variance	25.2293	43.3539	56.5131	1.9764	1.4571	3.2521	3.5031	3.588	3.6577
Skewness	−0.893***	−0.617***	0.221***	−1.004***	−0.346***	0.226***	−0.135*	0.084	−0.144*
Skewness	(0.000)	(0.000)	(0.007)	(0.000)	(0.000)	(0.006)	(0.096)	(0.300)	(0.075)
Kurtosis	10.049***	7.281***	11.495***	16.649***	5.399***	9.681***	2.289***	2.761***	10.738***
JB	3928.192***	2056.557***	4989.956***	10604.336***	1117.402***	3541.961***	200.300***	288.542***	4351.433***
ERS	−10.929***	−4.286***	−5.420***	−8.933***	−9.586***	−13.690***	−5.723***	−12.724***	−13.300***
ERS	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
Q(20)	35.375**	31.439**	23.780*	286.692***	37.583***	40.319***	17.265	20.572	41.702***
Q(20)	(0.018)	(0.050)	(0.252)	(0.000)	(0.010)	(0.005)	(0.636)	(0.423)	(0.003)
Q²(20)	18.992**	23.390***	97.652***	1083.912***	25.756***	319.568***	31.974***	90.537***	58.800***
Q²(20)	(0.026)	(0.004)	(0.000)	(0.000)	(0.001)	(0.000)	(0.000)	(0.000)	(0.000)
Panel B: Pre-COVID-19 Pandemic
Pre-COVID-19 Pandemic
Mean	−0.1616	−0.423	0.097	0.0399	−0.0205	0.0739	5e-04	0.0025	0.1604
Variance	23.8119	39.2743	55.1085	0.9635	1.5171	2.2228	2.6536	2.6598	2.4219
Skewness	−0.259**	−0.218*	0.256**	−0.426***	−0.301***	−0.691***	−0.265**	−0.193*	1.731***
Skewness	(0.024)	(0.057)	(0.026)	(0.000)	(0.009)	(0.000)	(0.021)	(0.091)	(0.000)
Kurtosis	3.260***	2.266***	9.807***	4.401***	2.719***	4.950***	1.648***	1.617***	15.529***
JB	206.117***	100.754***	1824.155***	380.153***	146.746***	499.570***	56.690***	52.256***	4788.632***
ERS	−7.096***	−2.824***	−3.537***	−5.544***	−6.852***	−9.659***	−3.891***	−8.840***	−10.663***
ERS	(0.000)	(0.005)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
Q(20)	36.766**	22.740	22.067	15.604	39.750***	22.188	19.413	23.196	15.173
Q(20)	(0.013)	(0.302)	(0.337)	(0.741)	(0.005)	(0.330)	(0.495)	(0.279)	(0.766)
Q²(20)	30.927***	23.409***	46.610***	78.484***	28.712***	14.344	13.452	30.831***	10.945
Q²(20)	(0.000)	(0.004)	(0.000)	(0.000)	(0.000)	(0.152)	(0.202)	(0.000)	(0.407)
Panel C: Post-COVID-19 Pandemic
Post-COVID-19 Pandemic
Mean	0.4408	0.7718	0.8312	0.0827	0.037	0.0405	0.0473	0.1225	−0.0205
Variance	26.568	46.9366	57.8382	3.0048	1.3985	4.2932	4.3713	4.5155	4.9033
Skewness	−1.466***	−0.980***	0.179	−1.024***	−0.387***	0.574***	−0.079	0.174	−0.733***
Skewness	(0.000)	(0.000)	(0.118)	(0.000)	(0.001)	(0.000)	(0.486)	(0.128)	(0.000)
Kurtosis	15.902***	11.162***	13.145***	13.410***	8.580***	9.541***	2.114***	2.672***	7.615***
JB	4902.485***	2408.121***	3242.086***	3450.172***	1391.426***	1731.673***	84.261***	136.153***	1127.532***
ERS	−4.358***	−5.550***	−6.278***	−6.063***	−10.164***	−10.721***	−8.071***	−4.004***	−7.190***
ERS	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
Q(20)	30.159*	25.804	29.320*	236.510***	18.789	33.751**	23.144	27.757	39.520***
Q(20)	(0.067)	(0.172)	(0.082)	(0.000)	(0.536)	(0.028)	(0.282)	(0.115)	(0.006)
Q²(20)	9.270	11.324	88.582***	544.370***	15.512	190.787***	15.250	45.970***	39.520***
Q²(20)	(0.586)	(0.370)	(0.000)	(0.000)	(0.102)	(0.000)	(0.111)	(0.000)	(0.000)

Note(s): ***,**,* denote significance at 1%, 5% and 10% significance level; Skewness: D'Agostino (1970) test; Kurtosis: Anscombe and Glynn (1983) test; JB: Jarque and Bera (1980) normality test; ERS: Elliott et al. (1996) unit-root test with constant; Q(10) and Q2(10): Fisher and Gallagher (2012) weighted portmanteau test

Source(s): Authors' calculations

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