Table 3.
Summary statistics of selected financial market variables.
|
Total Period Analysed (5701 observations) | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| STZ | 5909:JP | CML | Shanghai | Shenzhen | DJIA | WTI | Gold | Bitcoin | |
| Mean | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0001 |
| Std Dev | 0.0045 | 0.0035 | 0.0044 | 0.0023 | 0.0028 | 0.0023 | 0.0047 | 0.0018 | 0.0092 |
| Minimum | −0.0537 | −0.0496 | −0.0755 | −0.0718 | −0.0750 | −0.0615 | −0.0666 | −0.0225 | −0.0886 |
| Maximum | 0.0539 | 0.0429 | 0.0435 | 0.0252 | 0.0304 | 0.0295 | 0.0724 | 0.0175 | 0.0865 |
| Variance | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0001 |
| Skewness | −0.4122 | −0.4904 | −1.2390 | −5.9042 | −3.4336 | −4.3918 | −0.0317 | −0.6658 | −0.2070 |
| Kurtosis | 27.9622 | 33.7866 | 32.4863 | 196.9949 | 113.1889 | 140.2742 | 35.0332 | 17.6908 | 8.9373 |
| Before Coronavirus (4580 observations) | |||||||||
| STZ | 5909:JP | CML | Shanghai | Shenzhen | DJIA | WTI | Gold | Bitcoin | |
| Mean | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0001 |
| Std Dev | 0.0041 | 0.0036 | 0.0043 | 0.0020 | 0.0025 | 0.0016 | 0.0039 | 0.0016 | 0.0097 |
| Minimum | −0.0537 | −0.0496 | −0.0755 | −0.0337 | −0.0371 | −0.0189 | −0.0410 | −0.0225 | −0.0886 |
| Maximum | 0.0539 | 0.0429 | 0.0435 | 0.0252 | 0.0304 | 0.0175 | 0.0337 | 0.0138 | 0.0865 |
| Variance | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0001 |
| Skewness | −0.1666 | −0.5357 | −0.9621 | −0.5488 | −0.2841 | −1.0825 | −0.5360 | −0.4233 | −0.2010 |
| Kurtosis | 34.1575 | 34.1932 | 33.7251 | 41.2553 | 33.4127 | 34.5759 | 10.4541 | 16.9029 | 8.3757 |
| After Coronavirus (1122 observations) | |||||||||
| STZ | 5909:JP | CML | Shanghai | Shenzhen | DJIA | WTI | Gold | Bitcoin | |
| Mean | −0.0001 | −0.0001 | 0.0000 | 0.0000 | 0.0001 | −0.0001 | −0.0002 | 0.0000 | 0.0002 |
| Std Dev | 0.0060 | 0.0030 | 0.0049 | 0.0031 | 0.0037 | 0.0040 | 0.0072 | 0.0022 | 0.0067 |
| Minimum | −0.0511 | −0.0228 | −0.0588 | −0.0718 | −0.0750 | −0.0615 | −0.0666 | −0.0209 | −0.0530 |
| Maximum | 0.0402 | 0.0294 | 0.0294 | 0.0129 | 0.0248 | 0.0295 | 0.0724 | 0.0175 | 0.0428 |
| Variance | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0001 | 0.0000 | 0.0000 |
| Skewness | −0.6542 | −0.1889 | −1.9568 | −11.6273 | −6.9313 | −3.8890 | 0.3583 | −0.9857 | −0.1866 |
| Kurtosis | 15.3899 | 25.5440 | 27.9893 | 271.3470 | 151.0273 | 72.4226 | 28.6361 | 14.7752 | 7.6318 |
Note: Hourly data is presented to the period 11 March 2019 and 10 March 2020, where the period denoted as both pre- and post-COVID-19 pandemic is denoted to be before and after 31 December 2019.