On the Safe-Haven Ability of Bitcoin, Gold, and Commodities for International Stock Markets: Evidence from Spillover Index Analysis

Table 1

Descriptive statistics of all return series.

	Bitcoin	Gold	Commodities	World	Developed	Emerging
Entire phase: July 20, 2010–June 23, 2021
Observations	2704	2704	2704	2704	2704	2704
Mean	0.0047	0.0001	−0.0002	0.0003	0.0003	0.0001
Standard deviation	0.0768	0.0099	0.0132	0.0093	0.0096	0.0102
Minimum	−0.8488	−0.0970	−0.1252	−0.0999	−0.1044	−0.0694
Maximum	1.4742	0.0493	0.0762	0.0806	0.0841	0.0557
Skewness	2.5801	−0.6755	−0.7964	−1.1364	−1.1081	−0.5618
Excess kurtosis	68.7331	9.6108	11.9570	19.2062	19.9086	7.6602
Jarque–Bera	489814.3	5129.4	9324.8	30172.9	32764.9	2589.1
Q(5)	22.3930	3.5407	16.5090	40.1330	37.9040	84.6500
Q(10)	29.5070	5.0090	20.7670	115.4700	128.2500	93.6780
Q(20)	45.7420	14.8400	33.8330	152.7000	172.0400	101.1500
ADF	−53.6237	−51.2561	−53.9454	−16.9024	−16.9627	−31.9317
P-P	−53.6050	−51.2512	−54.0550	−50.0002	−51.9171	−44.5217
Phase I: July 20, 2010–March 13, 2012
Observations	379	379	379	379	379	379
Mean (%)	0.0105	0.000916	0.0007	0.000462	0.000484	0.000319
Standard deviation	0.1263	0.012317	0.013933	0.011993	0.01234	0.012693
Minimum	−0.4308	−0.05679	−0.06744	−0.05223	−0.05256	−0.06524
Maximum	0.6931	0.037309	0.04661	0.043098	0.046433	0.048096
Skewness	0.7216	−0.56693	−0.61513	−0.42635	−0.37636	−0.56629
Excess kurtosis	8.9885	5.463482	5.345873	5.57309	5.553498	5.407944
Jarque–Bera	599.2170	116.1377	110.8051	116.0354	111.9143	111.8194
Q(5)	3.2423	0.6646	3.0721	13.8870	13.115	25.029
Q(10)	8.3026	10.1590	13.5230	18.3170	17.448	27.240
Q(20)	21.4110	17.8200	19.1980	27.9300	27.198	33.366
ADF	−20.5191	−18.9369	−19.9059	−17.7343	−18.5337	−15.32656
P-P	−20.4961	−18.9299	−19.9029	−17.6561	−18.5378	−15.25227
Phase II: March 3, 2012–January 13, 2020
Observations	1961	1961	1961	1961	1961	1961
Mean (%)	0.00374	−3.87E − 05	−0.00038	0.000276	0.000307	3.58E − 05
Standard deviation	0.067284	0.009058	0.011619	0.006921	0.007041	0.008796
Minimum	−0.84883	−0.09704	−0.06586	−0.04881	−0.05029	−0.05128
Maximum	1.47418	0.045897	0.076166	0.029864	0.029383	0.043654
Skewness	4.461687	−0.69559	0.006042	−0.61131	−0.62609	−0.21999
Excess kurtosis	137.811	12.17903	6.054368	6.624474	6.669165	5.055585
Jarque–Bera	1491474	7042.443	762.2823	1195.523	1228.135	361.0696
Q(5)	50.598	1.8772	21.817	79.176	59.232	88.070
Q(10)	65.767	8.9200	26.118	85.493	64.145	99.324
Q(20)	74.945	22.666	32.858	101.82	82.003	107.44
ADF	−22.07981	−44.52072	−47.35964	−36.87325	−38.06258	−36.33821
P-P	−44.39223	−44.52230	−47.25237	−36.39581	−37.67187	−36.32432
Phase III: January 14, 2020–June 23, 2021
Observations	364	364	364	364	364	364
Mean (%)	0.003911	0.000388	3.04E − 05	0.000607	0.000625	0.000476
Standard deviation	0.05345	0.011364	0.019062	0.01521	0.015976	0.013915
Minimum	−0.49728	−0.052272	−0.12522	−0.09997	−0.10441	−0.06943
Maximum	0.19182	0.04934	0.071175	0.080587	0.084062	0.055737
Skewness	−2.27269	−0.817685	−1.76762	−1.4396	−1.3505	−0.9786
Excess kurtosis	24.37342	7.096871	14.46007	16.09758	15.77715	8.544046
Jarque–Bera	7241.834	295.125	2181.44	2727.518	2586.688	524.2676
Q(5)	14.529	8.8985	4.8698	42.706	46.605	15.504
Q(10)	22.172	16.578	9.4020	125.96	141.43	25.195
Q(20)	37.942	28.859	20.095	157.10	177.07	31.924
ADF	−21.98285	−17.94773	−18.70611	−6.224532	−5.147020	−11.19319
P-P	−21.80890	−17.97224	−18.89272	−21.87236	−22.44193	−19.26622

Note. The Jarque–Bera statistic tests for the null hypothesis of normality in sample return distribution. Q (n) is the Ljung–Box statistics of the return series for up to n-th order serial correlation. ADF and P-P are statistics of augmented Dickey–Fuller and Phillips–Perron unit root tests, respectively, based on the least AIC criterion. The symbols , , and indicate rejection at the 1%, 5%, and 10% significance level. The whole sample phase spans from July 20, 2010, to June 23, 2021.