Descriptive statistics (Panel A)

NSE_Nifty

NSE_500

Mean

0.000385

0.000355

Median

0.000858

0.001263

Minimum

−0.13014

−0.11592

Maximum

0.16334

0.15034

Standard deviation

0.017648

0.016927

Skewness

0.076239

−0.13598

Ex. Kurtosis

8.164

7.7666

Normality tests (Panel B)

Doornik-Hansen test

1229.43 (0.000)

1145.16 (0.000)

Shapiro-Wilk

0.934552 (0.000)

0.92973 (0.000)

Lilliefors test

0.0685719 (0.000)

0.075981 (0.000)

Jarque-Bera test

4289.33 (0.000)

3885.31 (0.000)

Q(5)

10.0182 [0.075]

20.3623 [0.001]

Q(10)

26.7193 [0.003]

37.1365 [0.000]

Unit root and stationarity analysis (Panel C)

ADF (Constant)

−7.82721^* (0.000)

−7.72697^* (0.000)

ADF (Constant and Trend)

−7.84858^* (0.000)

−7.75198^* (0.000)