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This version is not peer-reviewed
Submitted:
21 October 2023
Posted:
23 October 2023
You are already at the latest version
This version is not peer-reviewed
Submitted:
21 October 2023
Posted:
23 October 2023
You are already at the latest version
ADA | BTC | ETH | XLM | XRP | |
---|---|---|---|---|---|
Mean | 0.000514 | 0.001397 | 0.002610 | 0.000918 | 0.001020 |
Std. Dev. | 0.057312 | 0.040735 | 0.053197 | 0.057453 | 0.067312 |
Skewness | -0.962139 | -0.679045 | -0.661853 | 1.175606 | 0.723799 |
Kurtosis | 9.719497 | 9.499837 | 10.65963 | 17.79364 | 19.44905 |
Jarque-Bera | 1990.820 | 1796.761 | 2462.201 | 9143.484 | 11111.17 |
Probability | 0.000000 | 0.000000 | 0.000000 | 0.000000 | 0.000000 |
Observations | 978 | 978 | 978 | 978 | 978 |
ISE CLEAN | S&P GLOBAL CLEAN | S&P TSX RENEWABLE ENERGY | SOLACTIVE CHINA CLEAN ENERGY | |
---|---|---|---|---|
Mean | -7.41E-05 | 0.000228 | -0.000391 | 0.000517 |
Std. Dev. | 0.014401 | 0.020064 | 0.017327 | 0.017442 |
Skewness | -0.660691 | -0.380926 | -0.846904 | -0.097354 |
Kurtosis | 12.64018 | 8.237000 | 13.55373 | 4.533476 |
Jarque-Bera | 3862.119 | 1142.436 | 4660.460 | 97.47009 |
Probability | 0.000000 | 0.000000 | 0.000000 | 0.000000 |
Observations | 978 | 978 | 978 | 978 |
Null Hypothesis: Unit root (common unit root process) | ||||
---|---|---|---|---|
Method | Statistic | Prob.** | ||
Breitung t-stat | -59.2910 | 0.0000 | ||
Intermediate regression results on D(UNTITLED) | ||||
Series | S. E. of Regression | Lag | Max Lag | Obs |
D(ADA) | 8.51370 | 3 | 21 | 974 |
D(BTC) | 1875.57 | 0 | 21 | 977 |
D(ETH) | 112.877 | 3 | 21 | 974 |
D(ISE CLEAN) | 3.96089 | 0 | 21 | 977 |
D(S&P GLOBAL CLEAN) | 43.3593 | 0 | 21 | 977 |
D(S&P TSX) | 3.62919 | 1 | 21 | 976 |
D(SOLACTIVE CHINA) | 56.1901 | 0 | 21 | 977 |
D(XLM) | 0.02157 | 0 | 21 | 977 |
D(XRP) | 0.06707 | 0 | 21 | 977 |
Coefficient | t-Stat | SE Reg | Obs | |
Pooled | -0.69822 | -59.291 | 0.012 | 8777 |
Market | t-stat | Crash |
---|---|---|
ADA | -34.10615 (0)*** | 19/05/2021 |
BTC | -31.85679 (0)*** | 23/02/2021 |
ETH | -33.47025 (0)*** | 19/05/2021 |
XLM | -32.94326 (0)*** | 19/05/2021 |
XRP | -33.19744 (0)*** | 13/04/2021 |
ISE Clean | -27.32536 (0)*** | 12/03/2020 |
S&P Global Clean | -27.75393 (0)*** | 07/01/2021 |
S&P TRX Clean | -31.27196 (0)*** | 08/02/2021 |
Solactive China Clean | -31.97915 (0)*** | 29/07/2021 |
Market | t-stat | Results |
ADA | BTC | -5.45** | Shock L/ Time |
ADA | ETH | -5.95*** | Shock L/ Time |
ADA | XLM | -5.59*** | Shock L/ Time |
ADA | XRP | -5.43** | Shock L/ Time |
ADA | ISE Clean | -5.71*** | Shock L/ Time |
ADA | S&P Global Clean | -4.87* | Shock L/ Time |
ADA | S&P TRX Clean | -4.85* | Shock L/ Time |
ADA | Solactive China Clean | -4.73* | Shock L/ Time |
Market | t-stat | Results |
BTC | ADA | -4.91* | Shock L/ Time |
BTC | ETH | -4.92* | Shock L/ Time |
BTC | XLM | -4.50 | Non-existent |
BTC | XRP | -4.85* | Shock L/ Time |
BTC | ISE Clean | -4.07 | Non-existent |
BTC | S&P Global Clean | -3.68 | Non-existent |
BTC | S&P TRX Clean | -3.61 | Non-existent |
BTC | Solactive China Clean | -3.33 | Non-existent |
Market | t-stat | Results |
ETH | ADA | -4.55 | Non-existent |
ETH | BTC | -5.71*** | Shock L/ Time |
ETH | XLM | -4.37 | Non-existent |
ETH | XRP | -5.18** | Shock L/ Time |
ETH | ISE Clean | -4.31 | Non-existent |
ETH | S&P Global Clean | -4.04 | Non-existent |
ETH | S&P TRX Clean | -4.18 | Non-existent |
ETH | Solactive China Clean | -4.70 | Non-existent |
Market | t-stat | Results |
XLM | ADA | -5.18** | Shock L/ Time |
XLM | BTC | -4.82* | Shock L/ Time |
XLM | ETH | -4.29 | Non-existent |
XLM | XRP | -4.56 | Non-existent |
XLM | ISE Clean | -4.79* | Shock L/ Time |
XLM | S&P Global Clean | -4.59 | Non-existent |
XLM | S&P TRX Clean | -4.61 | Non-existent |
XLM | Solactive China Clean | -4.89* | Shock L/ Time |
Market | t-stat | Results |
XRP | ADA | -6.29*** | Shock L/ Time |
XRP | BTC | -5.69*** | Shock L/ Time |
XRP | ETH | -5.60*** | Shock L/ Time |
XRP | XLM | -4.81* | Shock L/ Time |
XRP | ISE Clean | -5.12** | Shock L/ Time |
XRP | S&P Global Clean | -4.82* | Shock L/ Time |
XRP | S&P TRX Clean | -4.86* | Shock L/ Time |
XRP | Solactive China Clean | -4.37 | Non-existent |
Market | t-stat | Results |
ISE Clean | ADA | -5.16** | Shock L/ Time |
ISE Clean | BTC | -4.38 | Non-existent |
ISE Clean | ETH | -4.04 | Non-existent |
ISE Clean | XLM | -4.49 | Non-existent |
ISE Clean | XRP | -4.42 | Non-existent |
ISE Clean | S&P Global Clean | -3.72 | Non-existent |
ISE Clean | S&P TRX Clean | -3.64 | Non-existent |
ISE Clean | Solactive China Clean | -4.34 | Non-existent |
Market | t-stat | Results |
S&P Global Clean | ADA | -4.03 | Non-existent |
S&P Global Clean | BTC | -4.26 | Non-existent |
S&P Global Clean | ETH | -4.41 | Non-existent |
S&P Global Clean | LTC | -4.37 | Non-existent |
S&P Global Clean | XLM | -4.24 | Non-existent |
S&P Global Clean | XRP | -4.49 | Non-existent |
S&P Global Clean | ISE Clean | -3.39 | Non-existent |
S&P Global Clean | S&P TRX Clean | -4.26 | Non-existent |
S&P Global Clean | Solactive China Clean | -5.21** | Shock L/ Time |
Market | t-stat | Results |
S&P TRX Clean | ADA | -4.40 | Non-existent |
S&P TRX Clean | BTC | -4.09 | Non-existent |
S&P TRX Clean | ETH | -4.31 | Non-existent |
S&P TRX Clean | LTC | -4.28 | Non-existent |
S&P TRX Clean | XLM | -4.30 | Non-existent |
S&P TRX Clean | XRP | -4.33 | Non-existent |
S&P TRX Clean | ISE Clean | -3.81 | Non-existent |
S&P TRX Clean | S&P Global Clean | -4.68 | Non-existent |
S&P TRX Clean | Solactive China Clean | -5.27** | Shock L/ Time |
Market | t-stat | Results |
Solactive China Clean | ADA | -3.30 | Non-existent |
Solactive China Clean | BTC | -3.21 | Non-existent |
Solactive China Clean | ETH | -3.40 | Non-existent |
Solactive China Clean | LTC | -3.30 | Non-existent |
Solactive China Clean | XLM | -4.44 | Non-existent |
Solactive China Clean | XRP | -3.19 | Non-existent |
Solactive China Clean | ISE Clean | -4.79* | Shock L/ Time |
Solactive China Clean | S&P Global Clean | -5.57*** | Shock L/ Time |
Solactive China Clean | S&P TRX Clean | -5.52*** | Shock L/ Time |
Market | F-Statistic | Results |
BTC | ADA | 1.58 | Non-existent |
ADA | BTC | 1.46 | Non-existent |
ETH | ADA | 0.99 | Non-existent |
ADA | ETH | 1.08 | Non-existent |
ISE CLEAN | ADA | 1.35 | Non-existent |
ADA | ISE CLEAN | 0.94 | Non-existent |
S&P Global Clean | ADA | 1.08 | Non-existent |
ADA | S&P Global Clean | 1.68 | Non-existent |
S&P TRX Clean | ADA | 1.42 | Non-existent |
ADA | S&P TRX Clean | 1.57 | Non-existent |
Solactive China Clean | ADA | 0.46 | Non-existent |
ADA | Solactive China Clean | 1.37 | Non-existent |
XLM | ADA | 1.29 | Non-existent |
ADA | XLM | 1.07 | Non-existent |
XRP |ADA | 2.68*** | Shock |
ADA | XRP | 3.36*** | Shock |
ETH | BTC | 1.82* | Shock |
BTC | ETH | 1.89* | Shock |
ISE CLEAN | BTC | 1.60 | Non-existent |
BTC | ISE CLEAN | 0.80 | Non-existent |
S&P Global Clean | BTC | 0.68 | Non-existent |
BTC | S&P Global Clean | 1.29 | Non-existent |
S&P TRX Clean | BTC | 1.04 | Non-existent |
BTC | S&P TRX Clean | 1.51 | Non-existent |
Solactive China Clean | BTC | 0.41 | Non-existent |
BTC | Solactive China Clean | 1.74* | Shock |
XLM | BTC | 2.01** | Shock |
BTC | XLM | 2.30** | Shock |
XRP | BTC | 1.24 | Non-existent |
BTC | XRP | 1.77* | Shock |
ISE CLEAN | ETH | 1.49 | Non-existent |
ETH | ISE CLEAN | 0.86 | Non-existent |
S&P Global Clean | ETH | 0.64 | Non-existent |
ETH | S&P Global Clean | 0.64 | Non-existent |
S&P TRX Clean | ETH | 1.12 | Non-existent |
ETH | S&P TRX Clean | 1.51 | Non-existent |
Solactive China Clean | ETH | 0.28 | Non-existent |
ETH | Solactive China Clean | 1.17 | Non-existent |
XLM | ETH | 0.66 | Non-existent |
ETH | XLM | 1.90* | Shock |
XRP | ETH | 1.58 | Non-existent |
ETH | XRP | 2.42** | Shock |
S&P Global Clean | ISE CLEAN | 5.66*** | Shock |
ISE CLEAN | S&P Global Clean | 1.84* | Shock |
S&P TRX Clean | ISE CLEAN | 3.43*** | Shock |
ISE CLEAN | S&P TRX Clean | 3.82*** | Shock |
Solactive China Clean | ISE CLEAN | 0.65 | Non-existent |
ISE CLEAN | Solactive China Clean | 3.92*** | Shock |
XLM | ISE CLEAN | 0.17 | Non-existent |
ISE CLEAN | XLM | 2.40** | Shock |
XRP | ISE CLEAN | 0.19 | Non-existent |
ISE CLEAN | XRP | 2.42** | Shock |
S&P TRX Clean | S&P Global Clean | 2.18** | Shock |
S&P Global Clean | S&P TRX Clean | 3.77*** | Shock |
Solactive China Clean | S&P Global Clean | 0.42 | Non-existent |
S&P Global Clean | Solactive China Clean | 5.33*** | Shock |
XLM | S&P Global Clean | 0.62 | Non-existent |
S&P Global Clean | XLM | 1.64 | Non-existent |
XRP | S&P Global Clean | 0.50 | Non-existent |
S&P Global Clean | XRP | 1.72* | Shock |
Solactive China Clean | S&P TRX Clean | 0.68 | Non-existent |
S&P TRX Clean | Solactive China Clean | 3.96*** | Shock |
XLM | S&P TRX Clean | 0.61 | Non-existent |
S&P TRX Clean | XLM | 1.23 | Non-existent |
XRP | S&P TRX Clean | 0.34 | Non-existent |
S&P TRX Clean | XRP | 1.46 | Non-existent |
XLM | Solactive China Clean | 2.82*** | Shock |
Solactive China Clean | XLM | 0.76 | Non-existent |
XRP | Solactive China Clean | 1.60 | Non-existent |
Solactive China Clean | XRP | 0.65 | Non-existent |
XRP | XLM | 3.13*** | Shock |
XLM | XRP | 2.04** | Shock |
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