Table 1.
Summary statistics.
| Full Sample | ||||||
| Symbol |
Mean |
Std. Dev. |
Skewness |
Kurtosis |
J-B |
|
| Canada | CAN | 0.022 | 1.373 | −0.673 | 18.903 | 33907.71*** |
| Finland | FIN | 0.004 | 1.877 | −0.276 | 7.882 | 3213.075*** |
| France | FRA | 0.011 | 1.553 | −0.364 | 10.747 | 8060.122*** |
| Germany | GER | 0.02 | 1.529 | −0.442 | 9.911 | 6462.917*** |
| India | IND | 0.074 | 1.846 | −0.087 | 10.241 | 6984.159*** |
| Italy | ITA | 0.011 | 1.828 | −0.769 | 12.733 | 12926.31*** |
| Japan | JAP | 0.019 | 1.333 | −0.134 | 6.87 | 2003.523*** |
| Korea | KOR | 0.03 | 1.664 | −0.239 | 7.556 | 2793.65*** |
| Netherlands | NET | 0.041 | 1.449 | −0.221 | 8.301 | 3766.197*** |
| Portugal | POR | −0.018 | 1.589 | −0.556 | 8.588 | 4321.624*** |
| Spain | SPN | −0.007 | 1.748 | −0.387 | 12.465 | 12005.23*** |
| Sweden | SWE | 0.029 | 2.007 | −0.155 | 8.549 | 4111.329*** |
| Taiwan | TAI | 0.068 | 1.407 | 0.045 | 5.933 | 1145.939*** |
| Thailand | THL | 0.04 | 1.609 | −0.047 | 9.074 | 4912.226*** |
| United Kingdom | UKD | 0.012 | 1.279 | −0.506 | 10.171 | 6981.255*** |
| United States |
USA |
0.052 |
1.173 |
−0.59 |
16.45 |
24267.87*** |
| Pre-COVID | ||||||
| Symbol |
Mean |
Std. Dev. |
Skewness |
Kurtosis |
J-B |
|
| Canada | CAN | 0.02 | 1.214 | −0.221 | 7.115 | 2064.486*** |
| Finland | FIN | −0.004 | 1.858 | −0.268 | 7.931 | 2965.528*** |
| France | FRA | 0.011 | 1.493 | −0.065 | 8.245 | 3317.957*** |
| Germany | GER | 0.015 | 1.451 | −0.158 | 6.578 | 1554.888*** |
| India | IND | 0.063 | 1.777 | −0.044 | 10.043 | 5980.667*** |
| Italy | ITA | 0.008 | 1.785 | −0.318 | 8.109 | 3195.041*** |
| Japan | JAP | 0.018 | 1.333 | −0.167 | 6.741 | 1700.595*** |
| Korea | KOR | 0.02 | 1.564 | −0.23 | 5.362 | 698.103*** |
| Netherlands | NET | 0.03 | 1.413 | −0.081 | 8.026 | 3048.109*** |
| Portugal | POR | −0.021 | 1.507 | −0.313 | 5.128 | 593.073*** |
| Spain | SPN | −0.007 | 1.689 | −0.099 | 10.565 | 6902.456*** |
| Sweden | SWE | 0.026 | 1.95 | −0.041 | 7.944 | 2946.811*** |
| Taiwan | TAI | 0.055 | 1.375 | −0.008 | 5.808 | 950.489*** |
| Thailand | THL | 0.044 | 1.552 | 0.248 | 7.028 | 1985.38*** |
| United Kingdom | UKD | 0.016 | 1.227 | −0.315 | 8.544 | 3752.75*** |
| United States |
USA |
0.049 |
1.036 |
−0.302 |
7.241 |
2211.591*** |
| Post-COVID | ||||||
| Symbol |
Mean |
Std. Dev. |
Skewness |
Kurtosis |
J-B |
|
| Canada | CAN | 0.037 | 2.419 | −1.054 | 16.571 | 2373.551*** |
| Finland | FIN | 0.08 | 2.049 | −0.349 | 7.376 | 247.055*** |
| France | FRA | 0.011 | 2.039 | −1.465 | 15.607 | 2108.162*** |
| Germany | GER | 0.061 | 2.142 | −1.268 | 14.145 | 1643.759*** |
| India | IND | 0.172 | 2.407 | −0.302 | 8.963 | 452.046*** |
| Italy | ITA | 0.046 | 2.198 | −3.08 | 31.015 | 10353.37*** |
| Japan | JAP | 0.034 | 1.332 | 0.183 | 8.102 | 329.202*** |
| Korea | KOR | 0.129 | 2.423 | −0.301 | 8.952 | 450.305*** |
| Netherlands | NET | 0.154 | 1.753 | −0.983 | 8.768 | 467.296*** |
| Portugal | POR | 0.012 | 2.233 | −1.224 | 13.264 | 1401.112*** |
| Spain | SPN | −0.006 | 2.236 | −1.553 | 16.375 | 2372.318*** |
| Sweden | SWE | 0.066 | 2.489 | −0.689 | 9.649 | 580.147*** |
| Taiwan | TAI | 0.196 | 1.685 | 0.245 | 5.813 | 102.559*** |
| Thailand | THL | 0.002 | 2.073 | −1.208 | 13.605 | 1488.611*** |
| United Kingdom | UKD | −0.022 | 1.698 | −1.123 | 12.271 | 1144.916*** |
| United States | USA | 0.075 | 2.074 | −0.8 | 13.632 | 1454.701*** |
Notes: J-B denotes the Jarque-Bera statistics for normality. *** indicates rejection of the null hypothesis at the 1% level. Full sample: January 1, 2009–March 30, 2021; pre-COVID: January 1, 2009–February 2, 2020; post-COVID: February 4, 2020–March 30, 2021.