Table 1.
Summary statistics for the average log return of sectors in the S&P 500 index. The Jarque-Bera test statistic tests for the null hypothesis of normality in sample returns. † indicates a rejection of the null hypothesis at the 1% significance level.
| Sectors | Mean | Std. Dev. | Skewness | Kurtosis | Jarque-Bera |
|---|---|---|---|---|---|
| Communication Service(CS) | 2.32e-05 | 0.0138 | -0.4373 | 7.0809 | 10942.55† |
| Consumer DiscretionaryCD | 4.74e-05 | 0.0148 | -0.3199 | 9.808 | 20766.61† |
| Consumer Staples(CST) | 2.68e-05 | 0.0091 | -0.3206 | 11.1113 | 26627.64† |
| Energy(ENG) | 2.59e-05 | 0.0201 | -0.9183 | 17.4125 | 65900.04† |
| Financials(FIN) | 1.15e-05 | 0.0167 | -0.3569 | 12.3832 | 33072.31† |
| Health Care(HC) | 4.02e-05 | 0.0118 | -0.4229 | 6.7519 | 9953.45† |
| Industrials(IND) | 3.19e-05 | 0.0136 | -0.4591 | 8.1898 | 14599.12† |
| Information Technology(IT) | 3.83e-05 | 0.0155 | -0.2106 | 5.3099 | 6099.12† |
| Materials(MAT) | 2.94e-05 | 0.0149 | -0.5302 | 8.1666 | 14578.22† |
| Real Estate(RE) | 2.97e-05 | 0.0168 | -0.4188 | 18.2297 | 71586.4† |
| Utilities(UTI) | 2.02e-05 | 0.012 | -0.0632 | 14.8896 | 47660.35† |