Table 2.
Descriptive statistics of the daily return for the overall, pre- and post-COVID-19 periods.
| Mean | SD | Ra | Max. | Min. | SK | KUR | J-B | Q2 (24) | |
|---|---|---|---|---|---|---|---|---|---|
| A. The overall period | |||||||||
| DowJones | 0.0487 | 1.2441 | 0.0392 | 10.764 | −13.84 | −1.19c | 24.530c | 36,320c | 2,150.8c |
| WTI | 0.0415 | 4.5719 | 0.0090 | 42.583 | −104.3 | −7.55c | 202.67c | 2,469,737c | 144.42c |
| Gold | 0.0336 | 0.9289 | 0.0362 | 5.133 | −5.26 | −0.17c | 4.38c | 1,159.15c | 285.46c |
| CNY | 0.1893 | 5.7311 | 0.0330 | 51.141 | −39.50 | 1.236c | 11.63c | 8,456.64c | 160.76c |
| Euro | 0.0048 | 0.4730 | 0.0103 | 3.064 | −2.67 | 0.037 | 3.122 | 583.37c | 175.55c |
| Bitcoin | 0.3642 | 4.7657 | 0.0764 | 22.511 | −46.47 | −0.71c | 9.52c | 5,542.87c | 48.54c |
| Ethereum | 0.5282 | 7.4140 | 0.0712 | 50.968 | −55.07 | 0.289c | 6.70c | 2,706.68c | 91.21c |
| Litecoin | 0.2603 | 6.7676 | 0.0384 | 53.984 | −44.90 | 0.605c | 11.03c | 7,365.47c | 115.29c |
| B. The pre-COVID 19 period | |||||||||
| DowJones | 0.0333 | 0.9605 | 0.0346 | 4.967 | −8.105 | −1.01c | 8.7087c | 3,662c | 1,187.9c |
| WTI | −0.015 | 2.5431 | −0.0059 | 14.176 | −28.13 | −0.96c | 15.715c | 11,478.5c | 102.92c |
| Gold | 0.0350 | 0.8228 | 0.0426 | 4.196 | −4.345 | 0.256c | 2.853c | 385.07c | 130.43c |
| CNY | 0.2166 | 5.8695 | 0.0369 | 51.141 | −39.50 | 1.376c | 13.063c | 8,161.29c | 141.52c |
| Euro | 0.0022 | 0.4841 | 0.0047 | 3.064 | −2.672 | 0.164b | 3.269c | 494.35c | 122.74c |
| Bitcoin | 0.3232 | 4.5602 | 0.0708 | 22.511 | −23.87 | −0.068 | 4.4481 | 906.89c | 116.62c |
| Ethereum | 0.4615 | 7.4606 | 0.0618 | 50.968 | −29.18 | 0.758c | 5.282c | 1,383.4c | 117.74c |
| Litecoin | 0.2430 | 6.6551 | 0.0365 | 53.984 | −39.50 | 1.438c | 11.640c | 6,583.6c | 119.52c |
| C. The post-COVID 19 period | |||||||||
| DowJones | 0.0993 | 1.8969 | 0.0523 | 10.764 | −13.84 | −1.07c | 16.624c | 3,934c | 674.0c |
| WTI | 0.2270 | 8.2603 | 0.0274 | 42.583 | −104.3 | −5.47c | 80.676c | 92,801.02c | 29.31 |
| Gold | 0.0290 | 1.2142 | 0.0239 | 5.133 | −5.26 | −0.59c | 3.852c | 227.52c | 99.92c |
| CNY | 0.1000 | 5.2604 | 0.0190 | 27.747 | −18.02 | 0.566c | 3.716c | 211.37c | 15.37 |
| Euro | 0.0133 | 0.4353 | 0.0307 | 1.738 | −1.77 | −0.52c | 2.243c | 85.73c | 93.57c |
| Bitcoin | 0.4985 | 5.3886 | 0.0925 | 19.152 | −46.47 | −2.00c | 17.736c | 4,629.89c | 18.03 |
| Ethereum | 0.7466 | 7.2664 | 0.1027 | 32.497 | −55.07 | −1.37c | 12.323c | 2,231.56c | 32.23 |
| Litecoin | 0.3169 | 7.1335 | 0.0444 | 23.695 | −44.90 | −1.62c | 9.592c | 1,435.75c | 33.99a |
1. The superscripts a, b, and c denote significantly at the 10, 5, and 1% levels, respectively. 2. Mean denotes the mean return and SD represents the standard deviation of return. Ra denotes the realized risk-adjusted returns. 3. SK and KUR denote the skewness and excess kurtosis, respectively. 4. J-B statistics are based on Jarque and Bera (36) and are asymptotically chi-squared-distributed with 2 degrees of freedom. 5. Q2(24) statistics are asymptotically chi-squared-distributed with 24 degrees of freedom. 6. The bold and italic fonts in columns “Mean,” “SD,” or “Ra” respectively denote the largest and smallest values of the mean, standard deviation, or the realized risk-adjusted returns when the values of mean, standard deviation, or the realized risk-adjusted returns for the overall, pre- and post-COVID-19 periods are compared each other at the same asset. 7. The shade and underline fonts in columns “Mean,” “SD” or “Ra” respectively denote the largest and smallest values of the mean, standard deviation, or the realized risk-adjusted returns when the values of mean, standard deviation, or the realized risk-adjusted returns for all eight assets are compared each other in the same period. 8. The date of COVID-19 occurring is March 11, 2020. 9. The overall period is from August 20, 2015, to July 30, 2021.