Table 1.
Descriptive statistics of returns of China and other countries index futures contracts.
| Mean | Median | Std. | Skewness | Kurtosis | JB statistics | |
|---|---|---|---|---|---|---|
| CSI 300 | 0.0208 | 0.0414 | 1.5151 | −1.1746 | 17.5524 | 10,719.76⁎⁎⁎ |
| S&P 500 | 0.0393 | 0.0501 | 1.2397 | −0.8800 | 20.8515 | 15,874.23⁎⁎⁎ |
| Nikkei 225 | −0.3147 | −0.5059 | 4.1495 | 0.4934 | 12.7291 | 4614.20⁎⁎⁎ |
| KOSPI 200 | 0.018 | 0.067 | 1.173 | 0.022 | 15.001 | 7122.87⁎⁎⁎ |
| DAX 30 | 0.0134 | 0.0518 | 1.3166 | −0.6389 | 15.2691 | 7259.50⁎⁎⁎ |
| Nifty 50 | 0.022 | 0.041 | 1.229 | −1.711 | 27.553 | 29,473.69⁎⁎⁎ |
| AEX In. Fut. | 0.0103 | 0.0647 | 1.1930 | −0.9817 | 15.9356 | 8537.90⁎⁎⁎ |
| FTSE In. Fut. | −0.0092 | 0.0071 | 1.1621 | −0.8879 | 14.7273 | 7151.40⁎⁎⁎ |
| SGX In. Fut. | 0.0221 | 0.0660 | 1.2458 | −1.9278 | 30.7669 | 40,276⁎⁎⁎ |
| TAIEX | 0.0325 | 0.0545 | 1.1088 | −0.2788 | 8.7079 | 1681.60⁎⁎⁎ |
| MOEX In. Fut. | 0.0494 | 0.0615 | 1.1359 | −0.9576 | 12.6946 | 4850.1⁎⁎⁎ |
| SPI ASX 200 | 0.0046 | 0.0651 | 1.1829 | −1.1324 | 17.1787 | 10,411⁎⁎⁎ |
| TSX 60 | 0.0136 | 0.0713 | 1.1895 | −1.3842 | 44.8860 | 87,004⁎⁎⁎ |
| IBrX 50 | 0.0202 | 0.0412 | 2.5975 | −1.0133 | 19.5678 | 14,139⁎⁎⁎ |
| CAC 40 | 0.0063 | 0.0430 | 1.3000 | −1.3255 | 18.2284 | 11,917⁎⁎⁎ |
| SET 50 | −0.0039 | 0.0312 | 1.2836 | −1.7912 | 26.8045 | 27,719⁎⁎⁎ |
| FTSE MIB | −0.0056 | 0.0500 | 1.6159 | −4.2504 | 85.7363 | 34,184⁎⁎⁎ |
| IBEX 35 | −0.0310 | 0.0230 | 1.3762 | −1.6861 | 22.1543 | 18,866⁎⁎⁎ |
Note: The descriptive statistics values provided are reported only for the full sample period.
⁎⁎⁎
Indicate the significance level at 1%.