Table 3.
Summary statistics and correlation matrix.
| Panel A: Summary statistics | ||||||
|---|---|---|---|---|---|---|
| stats | Mean | Standard Deviation | Percentile Mean |
|||
| p25 | p50 | p75 | p95 | |||
| LDX | 8.5515 | 1.3457 | 7.3834 | 8.5869 | 9.2972 | 10.9485 |
| LGX | 1.6114 | 0.4515 | 1.3629 | 1.5457 | 1.7760 | 2.8221 |
| RET | −0.0003 | 0.0171 | −0.0056 | 0.0001 | 0.0068 | 0.0213 |
| LVO | 12.5034 | 2.8683 | 10.9516 | 12.1884 | 13.7328 | 18.9514 |
| LVX | 3.0428 | 0.4834 | 2.6203 | 2.8887 | 3.3820 | 3.9975 |
| RVX | 0.0015 | 0.0906 | −0.0541 | −0.0071 | 0.0363 | 0.1651 |
| RMW | 0.0003 | 0.0168 | −0.0037 | 0.0009 | 0.0061 | 0.0232 |
| RME | 0.0001 | 0.0139 | −0.0049 | 0.0006 | 0.0062 | 0.0184 |
| MPR | 2.2344 | 3.3537 | 0.0000 | 0.9000 | 3.7500 | 9.2500 |
| LOP | 3.7817 | 0.3724 | 3.6595 | 3.9691 | 4.0367 | 4.1097 |
| LGD | 5.5954 | 1.4127 | 4.5333 | 5.1880 | 6.3749 | 8.4725 |
| RES | 4.2159 | 0.3383 | 3.8895 | 4.3838 | 4.5017 | 4.5750 |
| CPS | 4.2256 | 0.1370 | 4.1558 | 4.2503 | 4.3202 | 4.4055 |
| COG | 4.2810 | 0.1904 | 4.1748 | 4.3192 | 4.4142 | 4.5801 |
| OIN | 4.2801 | 0.1511 | 4.1860 | 4.3122 | 4.3959 | 4.4443 |
| INQ | 4.3326 | 0.1893 | 4.1904 | 4.3668 | 4.5019 | 4.5689 |
| PRO | 3.2303 | 0.6428 | 2.7262 | 3.4398 | 3.6937 | 4.0508 |
| HEL | 4.3570 | 0.0848 | 4.3232 | 4.3830 | 4.4076 | 4.4597 |
| FID | 0.6490 | 0.1771 | 0.5160 | 0.6727 | 0.7912 | 0.8768 |
| FII | 0.6838 | 0.1731 | 0.5651 | 0.7013 | 0.8390 | 0.9400 |
| Panel B: Correlation Matrix | |||||||||||||
| CTC | CSC | CTD | CSD | RET | LVO | LVX | RMW | RME | RES | MPR | LOP | LGD | |
| CTC | 1.0000 | ||||||||||||
| CSC | 0.3802 | 1.0000 | |||||||||||
| CTD | 0.0898 | 0.1471 | 1.0000 | ||||||||||
| CSD | 0.0506 | 0.1363 | 0.8182 | 1.0000 | |||||||||
| RET | −0.0418 | −0.0750 | −0.1182 | −0.0669 | 1.0000 | ||||||||
| LVO | −0.0114 | 0.0056 | 0.0212 | 0.0284 | −0.0065 | 1.0000 | |||||||
| LVX | −0.0046 | 0.1012 | 0.1529 | 0.2014 | −0.1144 | 0.0762 | 1.0000 | ||||||
| RMW | −0.0211 | −0.0545 | −0.0873 | −0.0479 | 0.6424 | −0.0098 | −0.1197 | 1.0000 | |||||
| RME | −0.0834 | −0.1293 | −0.1222 | −0.0866 | 0.6545 | −0.0062 | −0.1236 | 0.6999 | 1.0000 | ||||
| RES | −0.0001 | 0.0004 | 0.0052 | 0.0031 | 0.0039 | −0.4801 | 0.0050 | −0.0030 | −0.0025 | 1.0000 | |||
| MPR | −0.0020 | −0.0055 | −0.0064 | −0.0072 | −0.0057 | 0.3190 | −0.0865 | −0.0057 | −0.0107 | −0.6763 | 1.0000 | ||
| LOP | 0.0058 | −0.1085 | −0.0861 | −0.1702 | −0.0089 | −0.0601 | −0.8343 | −0.0258 | −0.0056 | −0.0009 | 0.0861 | 1.0000 | |
| LGD | −0.0023 | −0.0090 | 0.0078 | 0.0133 | 0.0105 | 0.4870 | −0.0362 | −0.0018 | −0.0016 | 0.0977 | −0.0204 | 0.0390 | 1.0000 |
| Panel C: Developed versus Emerging Markets | |||||||
|---|---|---|---|---|---|---|---|
| Variables | Developed Markets |
Emerging Markets |
Comparison Tests |
Rank-Sum Tests | |||
| Mean | SD | Mean | SD | Mean | Variance | ||
| RES | 4.4927 | 0.0772 | 3.9391 | 0.2640 | −142.51*** | 6609.35*** | 83.16*** |
| CPS | 4.3032 | 0.0910 | 4.1481 | 0.1313 | −68.77*** | 655.77*** | 55.25*** |
| COG | 4.3653 | 0.1354 | 4.1967 | 0.1999 | −49.77*** | 684.64*** | 42.33*** |
| MPR | 0.3263 | 0.7379 | 4.1424 | 3.8302 | 69.28*** | 3529.95*** | −72.05*** |
| LGD | 5.9798 | 1.5022 | 5.2110 | 1.1910 | −28.32*** | 166.35*** | 26.85*** |
| OIN | 4.2625 | 0.1642 | 4.2967 | 0.1355 | 11.21*** | 219.94*** | −16.51*** |
| INQ | 4.4611 | 0.0985 | 4.2040 | 0.1701 | −95.98*** | 533.36*** | 68.75*** |
| PRO | 3.7074 | 0.2261 | 2.7531 | 0.5657 | −110.93*** | 4695.07*** | 78.36*** |
| HEL | 4.4061 | 0.0314 | 4.3079 | 0.0926 | −71.14*** | 3955.90*** | 69.66*** |
| FID | 0.7696 | 0.1011 | 0.5210 | 0.1482 | −97.16*** | 717.98*** | 69.11*** |
| FII | 0.7982 | 0.1112 | 0.5623 | 0.1414 | −91.75*** | 193.18*** | 67.85*** |
Note: In this table, we show the statistical difference in the macroeconomic characteristics between developed and emerging markets within our sample countries. We use the International Monetary Fund’s definitions to separate emerging markets from developed markets. We use a pairwise T-test, Levene (1960) robust F-test and the Wilcoxon rank-sun (Mann-Whitney) test to compare the mean, variance and median differences between the developed and emerging market groups.
***, ** and * indicates statistical significance at the 1%, 5% and 10% levels, respectively.