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. 2021 Dec 23;80:102005. doi: 10.1016/j.irfa.2021.102005

Table 1.

Descriptive statistics.

Mean Median Standard Deviation Sample Variance Kurtosis Skewness Range Minimum Maximum Sum Jarque - Bera Probability
Malaysia 1.843E-18 0.0003 0.0081 0.00007 13.481 −0.502 0.1203 −0.054 0.067 1.19E−15 0.00
Nigeria -1.049E-17 0.0003 0.0098 0.00010 6.022 −0.998 0.0875 −0.056 0.031 −6.75E-15 0.00
Hong Kong 9.857E-18 0.0004 0.0125 0.00016 2.459 −0.467 0.1065 −0.057 0.050 6.35E-15 0.00
Japan −3.052E-18 0.0000 0.0129 0.00017 5.899 −0.125 0.1400 −0.063 0.077 −1.97E-15 0.00
Vietnam 8.717E-18 0.0006 0.0123 0.00015 4.865 −1.011 0.1134 −0.065 0.049 5.61E-15 0.00
Taiwan 2.494E-18 0.0001 0.0103 0.00011 9.703 −1.058 0.1269 −0.065 0.062 1.61E-15 0.00
Mexico 5.980E-19 0.0004 0.0118 0.00014 4.834 −0.670 0.1138 −0.066 0.048 3.85E-16 0.00
Indonesia 1.100E-17 0.0004 0.0118 0.00014 11.327 0.068 0.1651 −0.068 0.097 7.08E-15 0.00
Pakistan 8.781E-18 0.0003 0.0130 0.00017 4.358 −0.612 0.1179 −0.071 0.047 5.66E-15 0.00
Singapore 4.690E-18 0.0004 0.0107 0.00011 10.345 −0.744 0.1353 −0.076 0.059 3.02E-15 0.00
New Zealand 7.723E-18 0.0001 0.0093 0.00009 16.475 −0.923 0.1483 −0.079 0.069 4.97E-15 0.00
China 3.121E-10 0.0002 0.0119 0.00014 5.705 −0.813 0.1349 −0.080 0.055 2.01E-07 0.00
Czech Republic −2.518E-18 0.0003 0.0105 0.00011 18.098 −1.474 0.1553 −0.081 0.074 −1.62E-15 0.00
Denmark 7.553E-18 −0.0002 0.0106 0.00011 8.043 −1.215 0.1238 −0.084 0.040 4.86E−15 0.00
Turkey -1.284E-17 0.0001 0.0144 0.00021 4.050 −0.785 0.1423 −0.084 0.058 −8.27E-15 0.00
South Korea −3.300E-18 0.0003 0.0123 0.00015 11.239 −0.230 0.1702 −0.087 0.083 −2.13E-15 0.00
Russia 3.138E-18 −0.0003 0.0147 0.00022 5.471 0.022 0.1772 −0.089 0.088 2.02E-15 0.00
Bangladesh 3.315E-18 0.0007 0.0103 0.00011 33.512 −0.219 0.1885 −0.090 0.099 2.13E−15 0.00
Norway -1.138E-18 0.0002 0.0127 0.00016 12.153 −1.616 0.1567 −0.098 0.058 −7.33E-16 0.00
Switzerland 7.852E-19 0.0001 0.0110 0.00012 15.805 −1.373 0.1691 −0.101 0.068 5.06E-16 0.00
Australia −9.712E-18 0.0006 0.0125 0.00016 16.045 −1.609 0.1697 −0.102 0.068 −6.25E-15 0.00
Portugal 1.131E-19 0.0003 0.0116 0.00013 18.651 −1.613 0.1780 −0.102 0.076 7.29E-17 0.00
South Africa 4.501E-18 0.0001 0.0142 0.00020 9.947 −0.929 0.1836 −0.104 0.079 2.90E-15 0.00
Finland 1.013E-17 0.0000 0.0130 0.00017 11.022 −1.094 0.1734 −0.107 0.067 6.52E-15 0.00
Ireland −8.844E-18 0.0003 0.0141 0.00020 11.163 −1.016 0.1829 −0.108 0.075 −5.70E-15 0.00
Peru 6.112E-18 0.0005 0.0104 0.00011 24.370 −2.493 0.1508 −0.110 0.041 3.94E−15 0.00
Sweden -1.082E-17 0.0003 0.0129 0.00017 11.272 −1.193 0.1802 −0.112 0.068 −6.97E-15 0.00
Netherlands −8.108E-19 0.0007 0.0124 0.00015 18.016 −1.451 0.1997 −0.114 0.086 −5.22E-16 0.00
Thailand 7.494E-18 0.0004 0.0120 0.00015 27.693 −2.417 0.1908 −0.114 0.077 4.83E-15 0.00
UK 1.206E-17 0.0005 0.0123 0.00015 19.031 −1.515 0.2018 −0.115 0.087 7.77E-15 0.00
Israel 7.151E-19 0.0000 0.0119 0.00014 21.876 −2.045 0.1876 −0.115 0.072 4.61E-16 0.00
Romania −8.271E-18 0.0003 0.0129 0.00017 21.909 −2.201 0.1871 −0.119 0.068 −5.33E-15 0.00
USA −2.795E-10 0.0004 0.0152 0.00023 16.664 −1.008 0.2173 −0.128 0.089 −1.80E-07 0.00
Germany −1.090E-18 0.0004 0.0142 0.00020 18.243 −1.114 0.2347 −0.130 0.104 −7.02E-16 0.00
France 5.681E-18 0.0007 0.0137 0.00019 18.679 −1.822 0.2115 −0.131 0.081 3.66E-15 0.00
Canada 3.446E-18 0.0006 0.0136 0.00019 37.380 −1.977 0.2447 −0.132 0.113 2.22E−15 0.00
Poland -1.388E-17 0.0004 0.0128 0.00016 22.495 −2.125 0.1916 −0.135 0.057 −8.94E-15 0.00
Chile −4.253E-18 0.0005 0.0133 0.00018 32.102 −2.528 0.2149 −0.138 0.077 −2.74E-15 0.00
UAE 8.009E-19 0.0000 0.0133 0.00018 31.120 −2.151 0.2200 −0.139 0.081 5.16E−16 0.00
India -1.541E-18 0.0000 0.0139 0.00019 25.083 −1.874 0.2270 −0.141 0.086 −9.92E−16 0.00
Philippines -1.137E-17 0.0005 0.0148 0.00022 20.138 −2.085 0.2149 −0.143 0.072 −7.32E−15 0.00
Greece -1.600E-17 0.0003 0.0181 0.00033 15.107 −1.672 0.2249 −0.143 0.081 −1.03E-14 0.00
Austria 5.121E-18 0.0006 0.0156 0.00024 22.008 −1.795 0.2488 −0.146 0.103 3.30E-15 0.00
Spain 8.297E-18 0.0006 0.0138 0.00019 27.936 −2.447 0.2268 −0.151 0.076 5.34E-15 0.00
Belgium −7.470E-18 0.0007 0.0141 0.00020 25.876 −2.508 0.2269 −0.153 0.074 −4.81E-15 0.00
Brazil −4.256E-19 −0.0002 0.0200 0.00040 18.845 −1.636 0.2902 −0.160 0.130 −2.74E-16 0.00
Colombia 5.382E-18 0.0004 0.0152 0.00023 41.631 −2.230 0.2876 −0.162 0.125 3.47E−15 0.00
Saudi Arabia -1.617E-18 0.0000 0.0129 0.00017 48.874 −3.840 0.2359 −0.168 0.068 −1.04E-15 0.00
Egypt 4.931E-18 0.0005 0.0149 0.00022 35.390 −3.177 0.2591 −0.171 0.088 3.18E-15 0.00
Italy −7.839E-19 0.0008 0.0158 0.00025 35.861 −3.115 0.2709 −0.185 0.086 −5.05E-16 0.00
Argentina 7.327E-19 −0.0005 0.0345 0.00119 58.223 −4.403 0.5747 −0.477 0.097 4.72E-16 0.00

Notes: The Indices for each economy are the following: USA -SPX Index, China -SHCOMP Index, Japan -NKY Index, Germany -DAX Index, India -SENSEX, Index, UK -UKX Index, France -CAC Index, Italy -FTSEMIB Index, Brazil -IBOV Index, Canada -SPTSX Index, Russia -MOEX RX Equity, South Korea -KOSPI Index, Spain -IBEX Index, Australia -AS51 Index, Mexico -MEXBOL Index, Indonesia -JCI Index, Netherlands -AEX Index, Saudi Arabia -SASEIDX Index, Turkey -XU100 Index, Switzerland -SMI Index, Taiwan -TWSE Index, Poland -WIG Index, Thailand -SET Index, Sweden -OMX Index, Belgium -BEL20 Index, Austria -ATX Index, Nigeria -NSEASI Index, Argentina -MERVAL Index, Norway -OSEAX Index, UAE -ADSMI Index, Israel -TA-125 Index, Ireland -ISEQ20P Index, Hong Kong -HSI Index, Malaysia -FBMKLCI Index, Singapore -STI Index, South Africa -TOP40 Index, Philippines -PCOMP Index, Denmark -OMXC25 Index, Colombia -COLCAP Index, Bangladesh -DSEX Index, Egypt -EGX30 Index, Chile -IGPA Index, Pakistan -KSE100 Index, Finland -HEX25 Index, Vietnam -VNINDEX Index, Czech Republic -PX Index, Romania -BET Index, Portugal -PSI20 Index, Peru -SPBLPGPP Index, Greece -ASE Index, New Zealand -NZSE50FG Index. Data obtained from Bloomberg.