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.