Table 2.

Descriptive statistics of Stablecoins returns

	BTC	BUSD	DAI	LUNA	UST	USDT	USDC
Panel A: pre-collapse period (20 April 2022–9 May 2022)
Mean	− 0.0011	0	0	− 0.004	− 0.0009	0	0
Median	0	0	0	0	0	0	0
Max	1.3604	0.01	0.6764	7.5653	5.9968	0.626	1.0925
Min	− 1.2013	− 0.01	− 0.6765	− 4.6747	− 2.8252	− 0.6271	− 0.8492
SD	0.0846	0.0045	0.0263	0.1932	0.0591	0.0183	0.0255
Skewness	0.1752	− 0.0002	0.0545	0.7353	25.7039	0.1591	1.9935
Excess Kurtosis	19.1692	2.0482	60.5877	157.2306	4198.0988	231.8142	466.2319
Jarque–Bera	0.44***	0.05***	4.41***	29.67***	21152.01***	64.49***	260.87***
ADF	− 23.1***	− 40.1***	− 38.4***	− 14.1***	− 3.3**	− 36.5***	− 39.4***
ARCH(1)	1492.1***	211.5***	6866.4***	719.0***	29.2***	7084.0***	8035.1***
ARCH(6)	2656.9***	444.5***	9637.9***	2732.5***	1038.9***	11674.6***	8705.1***
ARCH(12)	2926.4***	602.3***	9748.4***	5020.3***	1880.5***	12069.9***	8736.9***
Q(6)	30.7***	2509.1***	7037.5***	324.5***	1235.3***	6469.0***	8112.6***
Q(12)	64.1***	2522.6***	7049.2***	432.0***	1834.3***	6480.5***	8113.4***
Q${}^2$(6)	4823.9***	567.3***	7051.2***	4236.6***	1122.0***	7122.2***	11766.0***
Q${}^2$(12)	7139.7***	928.3***	7303.3***	10180.7***	2125.8***	7130.7***	11766.1***
Panel B: collapse period (10 May 2022–29 May 2022)
Mean	− 0.0001	0	0	− 0.0437	− 0.0118	0	0
Median	0	0	0	0	0	0	0
Max	2.5506	0.1	1.8215	608.336	43.8416	1.7807	6.3763
Min	− 1.8623	− 0.1	− 2.6808	− 607.3849	− 46.106	− 1.7589	− 6.4213
SD	0.1302	0.0137	0.0612	52.9634	1.7118	0.0584	0.097
Skewness	0.8269	0.0016	− 1.7094	− 0.0164	0.2579	− 0.1884	0.5163
Excess Kurtosis	23.612	41.9405	210.6163	108.6154	89.4661	160.844	1418.0227
Jarque–Bera	0.67***	2.11***	53.25***	14.16***	9.61***	31.05***	2412.95***
ADF	− 24.1***	− 34.2***	− 38.1***	− 32.0***	− 22.1***	− 29.8***	− 38.5***
ARCH(1)	1678.3***	4751.9***	686.7***	7409.7***	2721.6***	5390.1***	7088.5***
ARCH(6)	3383.1***	8253.2***	4212.7***	11858.9***	3749.0***	6446.3***	11601.0***
ARCH(12)	3762.7***	9288.2***	5717.0***	12365.3***	4719.2***	7627.5***	12291.3***
Q(6)	21.1***	4910.3***	5034.8***	7721.5***	292.8***	4152.2***	6675.5***
Q(12)	50.0***	4967.9***	5164.5***	7887.4***	336.0***	4457.9***	7158.2***
Q${}^2$(6)	6528.1***	23465.1***	4038.3***	40460.8***	5904.1***	10990.2***	7094.9***
Q${}^2$(12)	10228.6***	45786.2***	7064.8***	74407.5***	9964.4***	19652.8***	8124.4***
Panel C: entire period (20 April 2022–29 May 2022)
Mean	− 0.0006	0	0	− 0.0239	− 0.0064	0	0
Median	0	0	0	0	0	0	0
Max	2.5506	0.1	1.8215	608.336	43.8416	1.7807	6.3763
Min	− 1.8623	− 0.1	− 2.6808	− 607.3849	− 46.106	− 1.7589	− 6.4213
SD	0.1098	0.0102	0.0471	37.451	1.2111	0.0433	0.0709
Skewness	0.7357	0.0021	− 1.8707	− 0.0248	0.3521	− 0.2256	0.7069
Excess Kurtosis	27.246	70.5863	304.6165	220.2247	181.4897	272.5424	2488.7769
Jarque–Bera	1.79***	11.96***	222.73***	116.40***	79.05***	178.27***	14865.63***
ADF	− 33.0***	− 44.1***	− 49.4***	− 41.1***	− 29.1***	− 39.9***	− 49.2***
ARCH(1)	3424.5***	9740.3***	1456.8***	14949.5***	5578.0***	10893.0***	14188.9***
ARCH(6)	6763.1***	16830.6***	8361.1***	23865.9***	7701.9***	12990.2***	23185.7***
ARCH(12)	7490.7***	18902.5***	11344.4***	24880.7***	9667.5***	15311.5***	24562.2***
Q(6)	26.1***	9233.3***	10516.0***	15441.7***	581.3***	8589.3***	13293.0***
Q(12)	70.6***	9327.7***	10710.5***	15773.4***	667.0***	9097.4***	14135.8***
Q${}^2$(6)	13175.9***	48299.2***	8106.1***	81691.3***	12327.5***	22026.3***	14202.6***
Q${}^2$(12)	20655.8***	94295.5***	14136.6***	150341.0***	20902.1***	39178.6***	16264.7***

The table shows the descriptive statistics for pre-collapse, collapse and the entire period. Jarque–Bera represents the test statistics from the normality test (expressed in $\times {10}^6$). ADF represents the augmented Dickey–Fuller test. ARCH(6) and ARCH(12) correspond to the test statistics from the ARCH test with 6 and 12 lags respectively. Q(6), Q(12) and $Q^2$(6), $Q^2$(12) represent the test statistics from the Ljung–Box test for serial correlation in returns and squared returns with 6 and 12 lags respectively. ***Indicates the rejection of the null hypothesis at the 1% significance level