Table 1.
Descriptive Statistics of price changes.
| Cryptocurrency | Mean | Median | Maximum | Minimum | Std. Dev. | Skewness | Kurtosis | Jarque-Bera |
|---|---|---|---|---|---|---|---|---|
| Bitcoin | 0.002 | 0.002 | 0.225 | -0.465 | 0.044 | -0.897 | 15.150 | 7806.5*** |
| Ethereum | 0.003 | 0.000 | 0.290 | -0.551 | 0.059 | -0.421 | 12.439 | 4646.9*** |
| Tether | 0.000 | 0.000 | 0.057 | -0.049 | 0.007 | 0.192 | 13.701 | 5933.5*** |
| Bitcoin Cash | -0.001 | -0.003 | 0.432 | -0.561 | 0.079 | 0.252 | 12.115 | 3607.8*** |
| Bitcoin SV | 0.002 | -0.001 | 0.886 | -0.624 | 0.097 | 1.563 | 26.377 | 13,100.0*** |
| XRP | 0.003 | -0.002 | 1.027 | -0.616 | 0.076 | 2.710 | 40.486 | 74,200.0*** |
| Binance | 0.005 | 0.001 | 0.675 | -0.543 | 0.077 | 0.949 | 16.977 | 8596.4*** |
| EOS | 0.001 | 0.000 | 0.987 | -0.503 | 0.080 | 1.859 | 28.083 | 28,400.0*** |
| Tezos | 0.000 | 0.000 | 0.569 | -0.605 | 0.076 | -0.385 | 13.188 | 4210.0*** |
| Cardano | 0.001 | 0.000 | 0.862 | -0.504 | 0.077 | 2.373 | 29.360 | 29,000.0*** |
| Litecoin | 0.002 | 0.000 | 0.510 | -0.449 | 0.063 | 0.751 | 13.551 | 5877.3*** |
| Stellar | 0.003 | -0.002 | 0.723 | -0.410 | 0.081 | 1.831 | 19.359 | 14,600.0*** |
Note: This table reports descriptive statistics of daily price changes and volume changes. Price changes and volume changes are the first-order differences of logarithmic prices and volume. Std. Dev. denotes standard deviation. Jarque-Bera denotes the Jarque-Beta test on normality. *** stands for scientific notation. a represents significance at the 1% level. For brevity, only the twelve largest cryptocurrencies by market capitalisation are presented. Further results are available from the authors upon request.