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*** |