Table 1.
Descriptive statistics of the S&P 500 and CSI 300 daily data.
| S&P 500 | CSI 300 | |
|---|---|---|
| No. obs. | 2292 | 2292 |
| Min | −12.76522 | −9.15444 |
| Max | 8.96832 | 7.42630 |
| Range | 21.73354 | 16.58074 |
| Median | 0.06903 | 0.02373 |
| Mean | 0.04119 | 0.01703 |
| S.E. mean | 0.02360 | 0.03075 |
| Var. | 1.27646 | 2.16792 |
| Std. dev. | 1.12980 | 1.47239 |
| Coef. var. | 27.43135 | 86.48180 |
| JB | 31,000 | 2700 |
| Prob. | < 2e-16 | < 2e-16 |
| ARCH (12) | 910 | 260 |
| Prob. | < 2e-16 | < 2e-16 |
Note: S.E., Var, Coef. var., and Std. dev., stand for standard error, variance, coefficient of variance, and standard deviation. JB is the Jarque-Bera test with the null hypothesis of normality. ARCH is the autoregressive heteroskedasticity test. < 2e-16 indicates small p-values and the rejection of a null hypothesis at the 1% significance level.