Table 5.

DF-GLS and Ng-Perron test results.

	DF-GLS		Ng-Perron
	t-statistic	Lag	$MZa$	Lag	$MZt$	Lag	$MSB$	Lag	$MPT$	Lag
BTC-D-I	-1.01879	21	-1.04267	21	-0.61058	21	0.58559	21	18.7965	21
BTC-D-TI	-0.22046	21	-1.00575	21	-0.47471	21	0.472	21	48.602	21
ETH-D-I	-0.16293	18	0.45739	18	1.71939	18	3.75912	18	789.805	18
ETH-D-TI	-2.07776	10	-0.25683	10	-0.24115	10	0.93893	10	168.597	10
BTX-D-I	-0.33326	7	0.14644	7	0.19034	7	1.29977	7	93.2028	7
BTX-D-TI	-1.61475	6	-0.93585	6	-0.59586	6	0.63671	6	77.3669	6
LTC-D-I	-5.8587∗∗∗	24	-21.4325∗∗∗	24	-3.26723∗∗∗	24	0.15244∗∗∗	24	1.16577∗∗∗	24
LTC-D-TI	-6.56342∗∗∗	24	-34.9695∗∗∗	24	-4.18102∗∗∗	24	0.11956∗∗∗	24	2.60847∗∗∗	24
RIP-D-I	-2.95345∗∗∗	24	-7.72658∗	24	-1.96056∗	24	0.25374∗	24	3.19016∗	24
RIP-D-TI	-4.16467∗∗∗	24	-12.6136	24	-2.51115	24	0.19908	24	7.22542	24
BTC-W-I	-3.56791∗∗∗	13	-32.4704∗∗∗	13	-3.98954∗∗∗	13	0.12311∗∗∗	13	0.86637∗∗∗	13
BTC-W-TI	-3.24091∗∗	13	-20.7892∗∗	13	-3.20671∗∗	13	0.15425∗∗	13	4.49151∗∗	13
ETH-W-I	-1.54738	2	-4.35397	2	-1.42857	2	0.32811	2	5.70978	2
ETH-W-TI	-1.40319	6	-4.15202	6	-1.40266	6	0.33782	6	21.5522	6
BTX-W-I	-2.95838∗∗∗	1	-8.39868∗∗	1	-2.01092∗∗	1	0.23943∗	1	3.06096∗∗	1
BTX-W-TI	-3.47647∗∗	1	-10.8567	1	-2.32878	1	0.2145	1	8.39882	1
LTC-W-I	-1.70072∗	8	-4.52673	8	-1.4767	8	0.32622	8	5.46934	8
LTC-W-TI	-2.21926	15	-4.04674	15	-1.40779	15	0.34788	15	22.3526	15
RIP-W-I	-1.84764∗	5	-5.35983	5	-1.602	5	0.29889	5	4.6727	5
RIP-W-TI	-3.70443∗∗∗	8	-9.11106	8	-2.10697	8	0.23125	8	10.1148	8

Notes: The modified SC criterion is used to determine optimal lag length of the tests.

W – Weekly series, D – Daily series, I – intercept, IT – trend and intercept.

“∗∗∗”, ‘∗∗’, ‘∗’ denote 1%, 5%, 10% critical levels, respectively.