Information Flow between Global Equities and Cryptocurrencies: A VMD-Based Entropy Evaluating Shocks from COVID-19 Pandemic

Table 1

Descriptive summary.

	Mean	Std. Dev	Skewness	Kurtosis	Normtest.W	ADF	KPSS
Global equities
DMI	0.0003	0.010	−1.444	20.536	0.824	−11.087	0.128
EMI	0.0001	0.010	−0.937	7.623	0.928	−10.606	0.136
EUROPI	0.0001	0.012	−1.524	18.755	0.860	−11.802	0.116
EUROZI	0.0002	0.013	−1.626	18.157	0.876	−11.578	0.100
GMI	0.0006	0.017	−0.966	8.726	0.920	−11.193	0.097
GREITs	0.0002	0.014	−2.339	36.378	0.786	−11.362	0.026
Cryptocurrencies
BTC	0.0030	0.048	−0.634	9.292	0.899	−10.535	0.183
Dash	0.0029	0.070	0.404	5.375	0.916	−10.493	0.172
LTC	0.0027	0.070	0.789	11.918	0.843	−9.8306	0.135
XRP	0.0036	0.0813	1.6913	17.5021	0.784	−10.149	0.085

Note: Normtest.W indicates a significant difference from a normal distribution at all conventional levels of significance. , , and indicate significance at 10%, 5%, and 1% levels, respectively.