Table 1.
Selected descriptive statistics. This table reports descriptive statistics (namely, mean, standard deviation (SD), maximum (Max.), minimum (Min.), Narayan and Popp (NP, 2010) structural break unit root test, skewness, the autoregressive conditional heteroskedasticity Lagrange multiplier (ARCH-LM) test for heteroskedasticity, and the Jarque–Bera (JB) test which examines the null hypothesis of normality (-values are reported). The variables are the Japanese Yen to US dollar (EXR) exchange rate, the log percentage returns of EXR (ER), the Nikkei stock average price index (SP), the log percentage returns of SP (SR), the crude spot price of oil (OIL) which we proxy using the West Texas Intermediate price, and the Nikkei stock average volatility index (SV). Three sub-samples of data are considered. Panel A results are based on a data covering the COVID-19 sample ( to ); statistics in Panel B cover the pre-COVID-19 sample (04/01/2010 to 30/12/2019); and statistics obtained in Panel C cover a corresponding pre-COVID-19 sample (31/12/2018 to 16/08/2019) that matches the number of observations in the COVID-19 sample (panel A). The NP test critical values are 4.67 (10%), 4.08 (5%), and 3.77 (5%). The trimming region of 10% is considered and the model uses a maximum of eight lags to control for serial correlation with the optimum lag length chosen using the Schwarz information criterion. The ARCH-LM test is based on running a 12 order autoregressive regression, estimated using ordinary least squares, and subjecting the residuals to the LM test with 12 lags. The resulting F-statistics, testing the null hypothesis of no ARCH effects, are reported.
| Panel A: COVID-19 sample, to | ||||||||
|---|---|---|---|---|---|---|---|---|
| Variables | Mean | SD | Max. | Min. | NP test | Skewness | ARCH-LM (12) | JB |
| EXR | 107.89 | 1.59 | 111.73 | 102.22 | −0.00 (−0.59) | −0.13 | 13.01⁎⁎⁎ | 0.24 |
| ER | −0.01 | 0.59 | 2.07 | −3.43 | −0.05⁎ (−3.96) | −0.86 | 3.39⁎⁎⁎ | 0.00 |
| SP | 21586 | 1938 | 24083 | 16552 | −0.02 (−2.71) | −0.76 | >100⁎⁎⁎ | 0.00 |
| SR | −0.01 | 1.87 | 7.73 | −6.27 | −0.09⁎⁎⁎ (−4.94) | 0.26 | 6.31⁎⁎⁎ | 0.00 |
| OIL | 37.97 | 14.25 | 63.29 | −37.63 | −0.02 (−1.90) | −0.93 | 1.22 | 0.00 |
| SV | 29.15 | 11.58 | 60.67 | 13.20 | −0.16 (−1.41) | 0.77 | 42.17 | 0.00 |
| Panel B: Pre-COVID-19 Sample A, to | ||||||||
| Variables | Mean | SD | Max. | Min. | NP test | Skewness | ARCH-LM (12) | JB |
| EXR | 101.23 | 14.06 | 125.22 | 75.84 | −0.29 (−2.94) | −0.39 | >100⁎⁎⁎ | 0.00 |
| ER | 0.01 | 0.56 | 3.84 | −2.74 | −0.98⁎⁎ (−4.40) | 0.24 | 6.20⁎⁎⁎ | 0.00 |
| SP | 15790 | 4926 | 24270 | 8160 | 0.10 (1.17) | −0.10 | >100⁎⁎⁎ | 0.00 |
| SR | 0.03 | 1.27 | 7.43 | −11.15 | −0.84⁎⁎ (−4.11) | −0.59 | 18.58⁎⁎⁎ | 0.00 |
| OIL | 72.45 | 21.95 | 113.93 | 26.21 | −0.35 (−3.71) | 0.03 | >100⁎⁎⁎ | 0.00 |
| SV | 22.24 | 6.07 | 69.88 | 12.19 | −0.09⁎⁎⁎ (−6.55) | 1.42 | >100⁎⁎⁎ | 0.00 |
| Panel C: Pre-COVID-19 Sample B, to | ||||||||
| Variables | Mean | SD | Max. | Min. | NP test | Skewness | ARCH-LM (12) | JB |
| EXR | 109.56 | 1.64 | 112.01 | 105.19 | −0.37 (−3.10) | −0.32 | 16.78⁎⁎⁎ | 0.05 |
| ER | −0.023 | 0.43 | 1.18 | −2.33 | −0.91⁎⁎ (−4.09) | −1.59 | 0.81 | 0.00 |
| SP | 21230 | 578 | 22307 | 19561 | −0.38 (−2.24) | −0.23 | 20.60⁎⁎⁎ | 0.31 |
| SR | 0.01 | 0.90 | 2.58 | −3.05 | −0.87 (−3.60) | −0.10 | 0.62 | 0.01 |
| OIL | 57.05 | 4.41 | 66.43 | 45.21 | −0.13 (−1.18) | −0.08 | 25.64⁎⁎⁎ | 0.68 |
| SV | 18.13 | 3.19 | 29.32 | 13.12 | −0.36⁎ (−3.68) | 1.40 | 19.13⁎⁎⁎ | 0.00 |
Denotes statistical significance at the 10% level.
Denotes statistical significance at the 5% level.
Denotes statistical significance at the 1% level.