Table 2.
Descriptive statistics and correlation matrix.
| A. Statistics | CON | SUS | ISL | GLD | OIL | BIT |
|---|---|---|---|---|---|---|
| Mean | 0.030 | 0.036 | 0.050 | 0.042 | 0.031 | 0.330 |
| Median | 0.055 | 0.070 | 0.070 | 0.011 | 0.041 | 0.280 |
| Minimum | –10.907 | –10.604 | –9.639 | –5.265 | –64.370 | –49.397 |
| Maximum | 8.487 | 7.694 | 7.916 | 5.133 | 41.202 | 23.840 |
| St.Deviation | 1.006 | 0.993 | 0.982 | 0.880 | 3.693 | 4.724 |
| C.Variation | 33.991 | 27.408 | 19.533 | 20.737 | 117.900 | 14.327 |
| Skewness | –1.629 | –1.624 | –1.307 | –0.082 | –3.099 | –0.875 |
| Kurtosis | 26.660 | 24.863 | 23.678 | 8.107 | 93.196 | 15.084 |
| B. Correlation | CON | SUS | ISL | GLD | OIL | BIT |
|---|---|---|---|---|---|---|
| CON | 100% | 96 % | 92 % | 12 % | 35 % | 18 % |
| SUS | 96 % | 100 % | 94 % | 13 % | 33 % | 18 % |
| ISL | 92 % | 94 % | 100% | 16 % | 31 % | 18 % |
| GLD | 12 % | 13 % | 16 % | 100% | 5% | 17 % |
| OIL | 35 % | 33 % | 31 % | 5% | 100% | 7% |
| BIT | 18 % | 18 % | 18 % | 17 % | 7% | 100% |
Notes: CON stands for DJ Global Index, SUS – for DJ Sustainability Index, ISL – for DJ Islamic Index, GLD – for Gold, OIL – for Crude Oil, BIT – for Bitcoin exchange rate. All time series are converted into logarithmic returns with base e. Frequency: daily. Sample period: January 1, 2016 – January 29, 2021. Observations: 1326 (prices), 1325 (log returns). Source of data: TRDS.
Source of data: TRDS.