Future Business Journal

Table 2 Descriptive statistics and unit root

From: Connectedness and spillover between African equity, commodity, foreign exchange and cryptocurrency markets during the COVID-19 and Russia-Ukraine conflict

	BOT	BRV	EGY	KEN	MAU	MOR	NAM	NIG	RSA	TUN	BIT	BRT	COP	ETH	EUR	GAS	GBP	GLD	PTM	SLV
Mean	− 0.011	0.038	− 0.048	− 0.036	− 0.010	0.011	− 0.039	0.126	− 0.005	0.025	0.103	0.128	0.049	0.257	− 0.026	− 0.011	− 0.022	0.044	− 0.053	0.019
Std dev	0.177	0.714	1.268	0.757	0.932	0.907	7.058	0.912	1.551	0.526	4.070	3.304	1.557	5.389	0.482	4.137	0.584	1.054	2.075	2.215
Skewness	− 0.782	− 0.545	− 0.906	− 1.991	− 1.823	− 2.784	0.510	0.835	− 1.056	− 1.775	− 1.905	− 0.742	− 0.336	− 1.525	− 0.194	0.189	− 0.293	− 0.329	− 0.681	− 0.598
Kurtosis	18.989	8.978	10.838	13.314	48.525	29.129	413.474	11.181	11.216	20.835	27.382	16.039	4.306	20.044	4.059	5.872	6.544	6.324	7.968	9.660
ADF	− 13.815	− 15.388	− 19.511	− 12.863	− 19.08	− 12.751	− 24.991	− 13.423	− 16.118	− 17.805	− 34.23	− 22.937	− 23.648	− 34.414	− 15.786	− 23.675	− 15.967	− 23.675	− 25.201	− 16.491
PP	− 19.328	− 21.072	− 19.118	− 15.795	− 20.309	− 20.264	− 60.102	− 18.553	− 22.438	− 17.457	− 34.09	− 23.346	− 23.32	− 34.266	− 21.23	− 23.673	− 21.182	− 23.751	− 25.13	− 23.252
ARCH(10)	14.49	114.39	267.83	168.50	284.67	372.05	106.36	180.29	398.99	234.92	8.73	126.91	149.16	16.95	159.20	128.92	188.98	94.77	187.82	80.08
LQ²(10)	14.89	154.36	464.74	281.56	378.55	817.00	123.21	293.22	1237.9	455.17	8.70	235.55	214.26	17.89	384.25	163.39	458.36	156.34	314.83	154.64

The critical values at 1%, 5% and 10% for Augment Dickey–Fuller (ADF) and Phillips–Perron (PP) unit root tests are − 3.437, − 2.864 and − 2.568, respectively. The ARCH (10) is the autoregressive conditional heteroscedasticity test at lag ten while LQ²(10) is the Ljung–Box squared test for autocorrelation. The variables are defined as follows: Botswana (BOT), Bourse Regionale des Valeur Mobilieres (BRVM), Egypt (EGY), Kenya (KEN), Mauritius (MAU), Morocco (MOR), Namibia (NAM), Nigeria (NIG), South Africa (RSA), Tunisia (TUN), Bitcoin (BIT), Brent crude oil (BRT), Copper (COP), Ethereum (ETH), Euro/Dollar (EUR), British pound/Dollar (GBP), Natural gas (GAS), Gold (GLD), Platinum (PLT) and Silver (SLV)

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