. 2021 Aug 17;46:102382. doi: 10.1016/j.frl.2021.102382

Table 3.

Bai and Perron (2003) Multiple Break Analysis.

Asset	Break-1	Break-2	Subsample-1	Subsample-2	Subsample-3
ADA-Hⁿ	9/20/2019	1/9/2020	-2.156 ^a	-1.073 ^a	-2.957 ^a
ADA-H^p	4/27/2019	7/8/2020	-1.420 ^a	-2.345 ^a	-3.141 ^a
ADA-H^z	7/21/2019	4/23/2020	-3.120 ^a	-2.632 ^a	-3.622 ^a
BNB-Hⁿ	7/23/2019	8/16/2020	-3.333 ^a	-2.824 ^a	-3.852 ^a
BNB-H^p	7/23/2019	8/26/2020	-3.253 ^a	-2.847 ^a	-3.798 ^a
BNB-H^z	2/5/2020	7/6/2020	-4.314 ^a	-4.580 ^a	-5.131 ^a
BTC-Hⁿ	3/1/2020	7/9/2020	0.690 ^a	-4.121 ^a	-5.247 ^a
BTC-H^p	3/1/2020	7/9/2020	0.711 ^a	-4.170 ^a	-5.242 ^a
BTC-H^z	5/9/2019	1/6/2020	-4.581 ^a	-5.244 ^a	-5.564 ^a
EOS-Hⁿ	9/5/2019	8/9/2020	-0.479 ^a	-2.233 ^a	-3.137 ^a
EOS-H^p	4/21/2019	8/9/2020	0.110	-2.087 ^a	-3.180 ^a
EOS-H^z	8/6/2019	1/9/2020	-4.267 ^a	-3.674 ^a	-3.896 ^a
ETH-Hⁿ	2/3/2020	7/22/2020	1.752 ^a	-3.129 ^a	-4.207 ^a
ETH-H^p	2/3/2020	7/22/2020	1.712 ^a	-3.140 ^a	-4.227 ^a
ETH-H^z	9/4/2019	7/22/2020	-4.154 ^a	-3.842 ^a	-4.542 ^a
LTC-Hⁿ	11/3/2019	8/11/2020	-1.377 ^a	-2.381 ^a	-3.466 ^a
LTC-H^p	11/9/2019	8/10/2020	-1.686 ^a	-2.451 ^a	-3.441 ^a
LTC-H^z	4/21/2019	8/10/2019	-2.856 ^a	-3.522 ^a	-2.180 ^a
TRX-Hⁿ	5/9/2019	8/28/2019	-2.504 ^a	-1.461 ^a	-3.336 ^a
TRX-H^p	5/9/2019	8/28/2019	-2.491 ^a	-1.539 ^a	-3.331 ^a
TRX-H^z	8/22/2019	8/17/2020	-2.244 ^a	-2.816 ^a	-2.349 ^a
XLM-Hⁿ	5/5/2019	1/19/2020	-0.917 ^a	-1.531 ^a	-2.779 ^a
XLM-H^p	5/11/2019	1/19/2020	-0.981 ^a	-1.653 ^a	-2.737 ^a
XLM-H^z	7/2/2019	1/16/2020	-3.595 ^a	-2.891 ^a	-3.260 ^a
XRP-Hⁿ	11/5/2019	7/30/2020	1.504 ^a	-2.705 ^a	-3.512 ^a
XRP-H^p	11/2/2019	2/21/2020	1.454 ^a	-2.200 ^a	-3.319 ^a
XRP-H^z	7/27/2019	9/24/2020	-4.293 ^a	-3.866 ^a	-4.482 ^a

Note: Hⁿ, H^p, and H^z are Herding Intensity measures, buyer-initiated, seller-initiated, and neutral. a, b, and c denote the statistical significance at the 1%, 5%, and 10% levels, respectively. The break dates are determined based on the Bai and Perron (2003) procedure.