Table 1.
Summary statistics and stationary tests.
| Average | S.D. | Skewness | Kurtosis | S.R.training | S.R.covid | PADF | PKPSS | |
|---|---|---|---|---|---|---|---|---|
| MSCIUS | −0.08% | 2.26% | −1.0554 | 13.5176 | 0.0667 | −0.0707 | 0.00 | 0.64 |
| MSCIEU | −0.12% | 1.81% | −2.5971 | 26.2536 | 0.0454 | −0.1130 | 0.00 | 0.71 |
| MSCICN | −0.01% | 1.43% | −0.7272 | 6.2763 | 0.0255 | −0.0184 | 0.00 | 0.44 |
| Bitcoin | −0.27% | 4.78% | −0.7750 | 17.2506 | −0.0985 | −0.0264 | 0.00 | 0.55 |
| Gold | 0.08% | 1.09% | −0.4359 | 10.0930 | 0.0542 | 0.0846 | 0.00 | 0.45 |
| EUR-USD | −0.01% | 0.44% | −1.0511 | 12.8541 | −0.0185 | 0.0021 | 0.00 | 0.15 |
| CNY-USD | −0.01% | 0.30% | −1.5145 | 8.7359 | −0.0783 | −0.0231 | 0.00 | 0.19 |
| Oil | −0.57% | 4.56% | −1.6792 | 22.1491 | 0.0167 | −0.2009 | 0.00 | 0.49 |
| Soybean | 0.01% | 0.90% | 0.1766 | 4.8432 | 0.0079 | 0.0170 | 0.00 | 0.36 |
| T-Bill | 0.58% | 0.20% | −1.9455 | 5.9809 | – | – | 0.01 | 0.10 |
Note: Equity indices are available from the MSCI website, bitcoin data is available from Coindesk, Forex and T-Bill are from Yahoo Finance, and Gold and commodity futures are available from Reuters. S.R. refers to the sharp ratio, which is calculated by dividing the standard deviation from the average of returns. The sharp ratio of T-Bill is not computed as it is considered as a risk-free asset. PADF and PKPSS are p-values of the ADF and KPSS unit root tests, respectively.