Connectedness between Gold and Cryptocurrencies in COVID-19 Pandemic: A Frequency-Dependent Asymmetric and Causality Analysis

Table 1

Summary descriptive.

Statistic	Gold	Bitcoin	Litecoin	Ethereum	Dogecoin	XRP	Tether
Signal
Mean	0.0004	0.0058	0.0043	0.0087	0.0159	0.0055	0.0000
Std. dev.	0.0133	0.0510	0.0664	0.0685	0.1305	0.0914	0.0057
Skewness	−0.1938	−2.3976	−1.1472	−1.4269	4.7547	0.6776	0.3542
Kurtosis	3.5359	23.6870	8.1408	15.8533	38.1795	14.4548	49.1498
Normtest W
ADF
PP
M1
Mean	0.0003	0.0059	0.0027	0.0079	0.0149	0.0046	0.0000
Std. Dev.	0.0096	0.0075	0.0036	0.0066	0.0626	0.0060	0.0001
Skewness	0.2324	−0.0353	−0.9482	0.5366	0.7858	0.6507	−1.6855
Kurtosis	−1.2810	−0.5221	1.0177	−0.3690	3.8985	−0.0801	12.8349
Normtest W
ADF	−2.1822	−0.9913	−2.6555	−0.4637
PP		−1.7362	−17.7140	−3.4260
M2
Mean	−0.0372	−0.0404	0.0107	−0.0507	0.0156	−0.0332	−0.1653
Std. dev.	0.4622	0.5719	0.2083	0.4585	0.3852	0.6797	0.8116
Skewness	−0.1153	−0.2890	5.1496	−3.0141	−0.2456	−3.2187	−0.8538
Kurtosis	26.6510	9.0486	64.0178	18.5501	24.7125	54.0895	2.6925
Normtest W	0.5823^∗∗∗	0.7854^∗∗∗	0.3811^∗∗∗	0.6456^∗∗∗	0.6250^∗∗∗	0.4432^∗∗∗	0.9232^∗∗∗
ADF	−6.3697^∗∗∗	−7.3832^∗∗∗	−6.8617^∗∗∗	−6.6855^∗∗∗	−6.6165^∗∗∗	−6.5240^∗∗∗	−8.0789^∗∗∗
PP	−180.220^∗∗∗	−177.480^∗∗∗	−215.470^∗∗∗	−150.860^∗∗∗	−180.640^∗∗∗	−175.890^∗∗∗	−158.870^∗∗∗
M3
Mean	−0.1477	−0.1574	−0.0864	−0.0916	−0.0410	−0.1019	−0.1641
Std. dev.	0.8209	0.8188	0.7491	0.8843	0.7350	0.8116	0.8610
Skewness	−1.6275	−0.4881	1.1143	0.9945	0.5367	−0.0346	0.0455
Kurtosis	9.0989	3.0606	11.6477	7.6663	3.7610	3.4546	1.2112
Normtest W	0.8173^∗∗∗	0.9182^∗∗∗	0.8598^∗∗∗	0.8770^∗∗∗	0.9039^∗∗∗	0.9313^∗∗∗	0.9801^∗∗∗
ADF	−7.5900^∗∗∗	−8.6145^∗∗∗	−8.6332^∗∗∗	−7.8387^∗∗∗	−8.2543^∗∗∗	−8.5140^∗∗∗	−6.4569^∗∗∗
PP	−159.080^∗∗∗	−161.260^∗∗∗	−185.970^∗∗∗	−192.410^∗∗∗	−183.300^∗∗∗	−170.680^∗∗∗	−161.950^∗∗∗
MAgg
Mean	0.0004	0.0058	0.0042	0.0085	0.0158	0.0053	0.0000
Std. dev.	0.0036	0.0183	0.0208	0.0225	0.0580	0.0348	0.0007
Skewness	−0.1052	−0.5312	−0.1363	−0.7033	2.5196	0.6002	−2.0575
Kurtosis	1.7924	3.1348	0.7600	4.2604	7.4451	3.1871	16.4644
Normtest W	0.9690^∗∗∗	0.9449^∗∗∗	0.9756^∗∗∗	0.9296^∗∗∗	0.7193^∗∗∗	0.8948^∗∗∗	0.7286^∗∗∗
ADF	−4.5819^∗∗∗	−5.3421^∗∗∗	−5.7570^∗∗∗	−4.7763^∗∗∗	−5.7524^∗∗∗	−4.4650^∗∗∗	−10.0630^∗∗∗
PP	−44.4320^∗∗∗	−44.4080^∗∗∗	−42.0620^∗∗∗	−44.1140^∗∗∗	−55.7200^∗∗∗	−44.8660^∗∗∗	−83.0000^∗∗∗

NB: ^∗∗∗, ^∗∗, and ^∗ denote significance at 1%, 5%, and 10%, respectively. The daily data observed are 307 for each variable sampled from 03/02/2020 to 30/04/2021. Descriptive statistics are presented for 7 tests for both cryptocurrencies and gold at various frequencies (short-, medium-, and long-term) in addition to the original series. The null hypothesis for ADF and PP tests is the presence of unit root. The return series for cryptocurrencies and gold depict nonnormal distribution at all frequencies, whereas most return series are stationary.