Table 2.
Descriptive statistics of daily data during the pre-COVID-19 and COVID-19 periods
| Period | Pre-COVID-19 | ||||||
|---|---|---|---|---|---|---|---|
| Variables | Mean | Std. Dev | Skewness | Kurtosis | JB | LB(21) | ADF |
| CCI30 | 0.00076 | 0.03658 | − 0.2901 | 6.9718 | 291.351* | 26.513 | − 7.079* |
| Cryptocurrencies | |||||||
| BPI | 0.00166 | 0.03433 | 0.2017 | 7.2904 | 335.815* | 23.294 | − 7.163* |
| ETH | 0.00082 | 0.04204 | − 0.4421 | 6.5166 | 237.758* | 25.820 | − 6.963* |
| XRP | − 0.00125 | 0.03740 | 0.3718 | 7.9525 | 453.535* | 28.735 | − 7.462* |
| BCH | 0.00115 | 0.05420 | 0.7212 | 11.2331 | 1263.398* | 19.099 | − 6.642* |
| BNB | 0.00235 | 0.04318 | − 0.0267 | 5.2105 | 88.413* | 19.186 | − 7.316* |
| LINK | 0.00602 | 0.06279 | 1.5492 | 11.8958 | 1604.640* | 16.164 | − 6.392* |
| CRO | 0.00191 | 0.07439 | 4.5874 | 50.2965 | 41,973.972* | 62.871* | − 6.379* |
| LTC | 0.00104 | 0.04810 | 0.5105 | 7.3985 | 368.709* | 25.335 | − 7.587* |
| BSV | 0.00177 | 0.08051 | 4.1103 | 43.6248 | 31,066.326* | 23.477 | − 5.971* |
| ADA | − 0.00006 | 0.04633 | − 0.093 | 4.8566 | 62.955* | 26.381 | − 7.076* |
| Average | 0.00154 | 0.05233 | 1.1490 | 15.6275 | |||
| Rf | 0.00008 | 0.00001 | − 0.7352 | 3.1033 | 39.289* | 6895.346* | |
| Period | COVID-19 | ||||||
|---|---|---|---|---|---|---|---|
| Variables | Mean | Std. Dev | Skewnesss | Kurtosis | JB | LB(15) | ADF |
| CCI30 | 0.00373 | 0.03373 | 0.0872 | 7.0417 | 159.568* | 33.923* | − 6.329* |
| Cryptocurrencies | |||||||
| BPI | 0.00434 | 0.03172 | 0.7581 | 7.7928 | 246.381* | 29.645* | − 5.733* |
| ETH | 0.00539 | 0.04317 | 0.3346 | 5.9994 | 92.082* | 32.594* | − 6.652* |
| XRP | 0.00231 | 0.03328 | 0.4664 | 6.2167 | 109.371* | 25.214 | − 5.200* |
| BCH | 0.00241 | 0.04053 | − 0.002 | 8.8802 | 337.128* | 23.625 | − 6.298* |
| BNB | 0.00464 | 0.04265 | − 0.0035 | 7.0201 | 157.569* | 52.339* | − 6.195* |
| LINK | 0.00736 | 0.06448 | 0.4565 | 5.4356 | 65.967* | 19.756 | − 5.188* |
| CRO | 0.00440 | 0.03741 | 0.1833 | 5.0457 | 42.115* | 24.672 | − 4.902* |
| LTC | 0.00251 | 0.04044 | 0.066 | 7.6653 | 212.376* | 25.204 | − 6.149* |
| BSV | 0.00177 | 0.04563 | 1.0059 | 11.3505 | 719.338* | 17.092 | − 6.419* |
| ADA | 0.00603 | 0.05204 | 0.3828 | 5.0043 | 44.881* | 21.441 | − 5.610* |
| Average | 0.00412 | 0.04314 | 0.3648 | 7.0411 | |||
| Rf | 0.00001 | 0.00001 | 1.7173 | 4.255 | 130.373* | 2772.950* | |
Std. Dev. denotes the annualized standard deviations of the data. JB denotes the Jarque–Bera statistics for the null hypothesis of normally distributed cryptocurrency returns. LB denotes the Ljung–Box statistics for the null hypothesis of no autocorrelation in the cryptocurrency returns. ADF denotes the Augmented Dickey Fuller test statistics for the null hypothesis of non-stationary cryptocurrency excess returns. *denotes the appropriate null hypothesis being rejected at the 5% significance level