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.