Table A.2.

Descriptive statistics on the daily return.

Country	Mean ($\text{\%}$)	S.D.	Skew.	Kurt.	J–B	LBQ	ARCH	ADF
Argentina	0.140	0.022	−2.072	21.015	11 148.934${}^{\ast \ast \ast }$	161.497${}^{\ast \ast \ast }$	296.016${}^{\ast \ast \ast }$	−17.316${}^{\ast \ast \ast }$
Brazil	0.034	0.012	−1.529	23.839	14 472.615${}^{\ast \ast \ast }$	154.685${}^{\ast \ast \ast }$	147.595${}^{\ast \ast \ast }$	−17.704${}^{\ast \ast \ast }$
China	0.043	0.009	−0.415	6.323	382.675${}^{\ast \ast \ast }$	201.955${}^{\ast \ast \ast }$	77.445${}^{\ast \ast \ast }$	−16.000${}^{\ast \ast \ast }$
Hungary	0.013	0.011	−1.921	16.165	6135.755${}^{\ast \ast \ast }$	230.709${}^{\ast \ast \ast }$	205.048${}^{\ast \ast \ast }$	−16.733${}^{\ast \ast \ast }$
India	0.061	0.010	−0.350	10.341	1774.144${}^{\ast \ast \ast }$	184.063${}^{\ast \ast \ast }$	320.093${}^{\ast \ast \ast }$	−16.777${}^{\ast \ast \ast }$
Indonesia	0.016	0.008	−0.023	15.740	5295.272${}^{\ast \ast \ast }$	225.226${}^{\ast \ast \ast }$	202.976${}^{\ast \ast \ast }$	−16.084${}^{\ast \ast \ast }$
Malaysia	−0.005	0.006	−1.103	13.476	3739.450${}^{\ast \ast \ast }$	241.839${}^{\ast \ast \ast }$	347.794${}^{\ast \ast \ast }$	−15.461${}^{\ast \ast \ast }$
Mexico	0.035	0.008	−0.403	6.067	328.001${}^{\ast \ast \ast }$	187.766${}^{\ast \ast \ast }$	170.765${}^{\ast \ast \ast }$	−16.435${}^{\ast \ast \ast }$
Portugal	0.027	0.009	−1.156	11.935	2778.894${}^{\ast \ast \ast }$	262.552${}^{\ast \ast \ast }$	283.569${}^{\ast \ast \ast }$	−14.918${}^{\ast \ast \ast }$
Russia	−0.033	0.018	−4.344	59.919	108 161.458${}^{\ast \ast \ast }$	160.075${}^{\ast \ast \ast }$	94.246${}^{\ast \ast \ast }$	−18.476${}^{\ast \ast \ast }$
Korea	0.040	0.009	−0.512	13.006	3300.931${}^{\ast \ast \ast }$	259.261${}^{\ast \ast \ast }$	239.182${}^{\ast \ast \ast }$	−14.911${}^{\ast \ast \ast }$
Thailand	0.009	0.008	−1.511	15.477	5376.313${}^{\ast \ast \ast }$	233.785${}^{\ast \ast \ast }$	293.578${}^{\ast \ast \ast }$	−16.293${}^{\ast \ast \ast }$
Turkey	0.115	0.011	−1.277	7.828	973.238${}^{\ast \ast \ast }$	273.434${}^{\ast \ast \ast }$	176.146${}^{\ast \ast \ast }$	−14.590${}^{\ast \ast \ast }$
Australia	0.039	0.008	−1.297	14.813	4772.040${}^{\ast \ast \ast }$	200.509${}^{\ast \ast \ast }$	222.092${}^{\ast \ast \ast }$	−17.178${}^{\ast \ast \ast }$
Austria	0.021	0.012	−1.068	13.105	3480.429${}^{\ast \ast \ast }$	368.805${}^{\ast \ast \ast }$	361.660${}^{\ast \ast \ast }$	−13.783${}^{\ast \ast \ast }$
France	0.044	0.010	−0.889	12.482	3036.167${}^{\ast \ast \ast }$	240.882${}^{\ast \ast \ast }$	299.363${}^{\ast \ast \ast }$	−15.520${}^{\ast \ast \ast }$
Germany	0.040	0.010	−0.689	11.568	2456.819${}^{\ast \ast \ast }$	232.136${}^{\ast \ast \ast }$	279.222${}^{\ast \ast \ast }$	−15.664${}^{\ast \ast \ast }$
Ireland	0.034	0.011	−0.724	7.736	800.181${}^{\ast \ast \ast }$	273.298${}^{\ast \ast \ast }$	309.980${}^{\ast \ast \ast }$	−14.818${}^{\ast \ast \ast }$
Italy	0.038	0.011	−1.991	17.896	7755.983${}^{\ast \ast \ast }$	272.432${}^{\ast \ast \ast }$	250.437${}^{\ast \ast \ast }$	−15.483${}^{\ast \ast \ast }$
Japan	0.043	0.009	0.105	11.399	2303.021${}^{\ast \ast \ast }$	236.617${}^{\ast \ast \ast }$	160.613${}^{\ast \ast \ast }$	−15.231${}^{\ast \ast \ast }$
Netherlands	0.052	0.009	−1.023	13.065	3441.510${}^{\ast \ast \ast }$	241.334${}^{\ast \ast \ast }$	282.458${}^{\ast \ast \ast }$	−15.504${}^{\ast \ast \ast }$
Norway	0.055	0.009	−1.323	12.578	3221.385${}^{\ast \ast \ast }$	185.175${}^{\ast \ast \ast }$	227.072${}^{\ast \ast \ast }$	−16.779${}^{\ast \ast \ast }$
Spain	−0.003	0.010	−0.949	13.142	3473.249${}^{\ast \ast \ast }$	256.553${}^{\ast \ast \ast }$	225.690${}^{\ast \ast \ast }$	−15.163${}^{\ast \ast \ast }$
Sweden	0.065	0.009	−0.995	11.932	2731.812${}^{\ast \ast \ast }$	230.958${}^{\ast \ast \ast }$	167.465${}^{\ast \ast \ast }$	−15.917${}^{\ast \ast \ast }$
United Kingdom	0.014	0.009	−0.780	15.079	4839.644${}^{\ast \ast \ast }$	193.769${}^{\ast \ast \ast }$	195.145${}^{\ast \ast \ast }$	−16.304${}^{\ast \ast \ast }$
United States	0.077	0.009	−1.068	15.202	5006.599${}^{\ast \ast \ast }$	167.993${}^{\ast \ast \ast }$	142.546${}^{\ast \ast \ast }$	−17.087${}^{\ast \ast \ast }$

Notes: S.D., Skew., and Kurt. refer to the standard deviation, skewness, and Kurtosis, respectively. J–B is the Jarque–Bera test for the normality of the time series. LBQ refers to the Ljung–Box Q test of autocorrelation at order five. The ARCH test is used to test heteroscedasticity at order five. ADF is the augmented Dickey–Fuller test for the stationarity of time series. *** indicates significance at the 1% level.