Market

Mean

Std.Dev.

Skewness

Kurtosis

JB Test

ADF Test

SHEA

0.049

0.023

0.557

−0.625

53.635***

−4.458***

GDEA

0.036

0.018

0.882

0.054

102.982***

−4.682**

LOF

0.024

0.005

0.251

−0.473

15.482***

−4.003***

GCA

0.022

0.004

0.903

0.810

129.895***

−5.067***

COM

0.028

0.016

1.091

0.021

157.352**

−2.702***

OIM

0.043

0.085

10.489

126.517

544162.447**

−8.083***

TRQ

0.036

0.039

2.179

6.051

1841.650***

−5.104***

YHQ

0.023

0.007

2.165

5.380

1579.561**

−7.768***