Table 2.1.

Summary statistics for the average log return of sectors in the S&P 500 index and for EPU. The Jarque-Bera test statistic tests the null hypothesis of normality of sample returns. † indicates a rejection of the null hypothesis at the 1% significance level.

Panel A: Average daily log return
Sectors	Obs.	Mean	Max.	Min.	Std.Dev.	Skewness	Kurtosis	Jarque-Bera
Communication Services	3,123	0.0003	0.1297	−0.1204	0.0149	−0.2868	9.2732	11252†
Consumer Discretionary	3,123	0.0004	0.0909	−0.1242	0.0151	−0.4343	7.2746	6996.9†
Consumer Staples	3,123	0.0002	0.0806	−0.0953	0.0098	−0.2579	11.9576	18670†
Energy	3,123	−0.0001	0.1738	−0.2931	0.0218	−1.1414	19.126	48349†
Financials	3,123	0.00005	0.1393	−0.165	0.0199	−0.4609	13.2482	22985†
Health Care	3,123	0.0004	0.1073	−0.1073	0.0129	−0.4606	7.589	7618.2†
Industrials	3,123	0.0003	0.1198	−0.1222	0.0157	−0.4893	8.245	8986.1†
Information Technology	3,123	0.0004	0.1024	−0.1396	0.0151	−0.371	8.2062	8849.9†
Materials	3,123	0.0002	0.1093	−0.1397	0.016	−0.6225	9.0555	10891†
Real Estate	3,123	0.0001	0.1567	−0.1989	0.0203	−0.4716	15.7917	32616†
Utilities	3,123	0.0001	0.119	−0.1208	0.0126	0.0931	16.6112	35965†
Panel B: EPU
Variable	Obs.	Mean	Max.	Min.	Std.Dev.	Skewness	Kurtosis	Jarque-Bera
EPU	149	110.2554	502.7976	46.3945	61.7756	3.3993	16.3893	2014.36†