Table 1.
Descriptive statistics for EMV-ID and stock indices.
| EMV-ID | S&P 500 | CSI 300 | FTSE 100 | NIKKEI 225 | |
|---|---|---|---|---|---|
| Frequency | Monthly | Daily | Daily | Daily | Daily |
| Mean (%) | 1.9332 | 0.0237 | 0.0370 | 0.0064 | 0.0150 |
| Standard deviation (%) | 69.2293 | 1.2704 | 1.7274 | 1.1832 | 1.5006 |
| Skewness | 0.1137 | −0.7163*** | −0.5250*** | −0.5034*** | −0.5762*** |
| Excess kurtosis | 0.5611 | 16.9998*** | 3.8935*** | 11.9707*** | 9.3731*** |
| Jarque–Bera | 2.8109 | 45,160.6847*** | 2523.3587*** | 22,392.4308*** | 13,838.2657*** |
| Q (5) | 45.3251*** | 62.5455*** | 18.5580*** | 39.5701*** | 4.2850 |
| Q (10) | 53.5262*** | 85.9171*** | 38.0772*** | 65.3942*** | 17.505* |
| ADF | −22.5643*** | −69.2395*** | −59.5424*** | −26.7805*** | −61.9367*** |
| P-P | −23.5473*** | −69.2653*** | −59.5511*** | −62.3814*** | −61.9731*** |
Notes: The Jarque–Bera statistic tests for the null hypothesis of normality in sample returns distribution. Q(n) is the Ljung-Box statistics of the return series for up to nth order serial correlation. ADF and P-P are statistics of Augmented Dickey-Fuller and Phillips-Perron unit root test based on least AIC criterion respectively. ***, ** and * indicate rejection at the 1%, 5% and 10% significance level, respectively.