| Panel A. Return series |
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| Country | Mean | S.D. | Skewness | Kurtosis | Max | Min | J-B |
| France | −0.007 | 1.502 | 0.006 | 7.666 | 10.595 | −9.472 | 3639 |
| Germany | 0.010 | 1.550 | −0.015 | 7.248 | 10.797 | −8.875 | 3000 |
| Japan | 0.017 | 1.530 | −0.500 | 10.345 | 13.235 | −12.111 | 7423 |
| Netherlands | −0.011 | 1.480 | −0.092 | 9.242 | 10.028 | −9.590 | 6521 |
| Spain | −0.004 | 1.519 | 0.082 | 7.761 | 13.484 | −9.586 | 3762 |
| Switzerland | 0.005 | 1.214 | −0.168 | 9.915 | 10.788 | −9.070 | 7873 |
| UK | −0.002 | 1.230 | −0.157 | 9.161 | 9.384 | −9.266 | 6287 |
| USA | 0.009 | 1.190 | −0.064 | 10.942 | 10.508 | −8.201 | 10376 |
| China | 0.022 | 1.644 | −0.281 | 7.417 | 9.401 | −9.256 | 3137 |
| Colombia | 0.060 | 1.197 | −0.969 | 25.396 | 11.616 | −13.893 | 60365 |
| Hong Kong | 0.022 | 1.494 | 0.028 | 12.284 | 13.407 | −13.582 | 12331 |
| India | 0.041 | 1.552 | −0.291 | 11.092 | 16.334 | −13.054 | 10716 |
| Mexico | 0.046 | 1.354 | 0.031 | 7.929 | 10.441 | −8.267 | 3999 |
| South Korea | 0.016 | 1.614 | −0.558 | 8.931 | 11.284 | −12.805 | 5895 |
| Taiwan | −0.001 | 1.442 | −0.237 | 6.049 | 6.525 | −9.936 | 1542 |
| Turkey | 0.036 | 2.230 | −0.060 | 9.966 | 17.774 | −19.979 | 7908 |
| Panel B. Detrended log-volume series |
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| Country | Mean | S.D. | Skewness | Kurtosis | Max | Min | PP |
| France | 2.27E−14 | 0.365 | −0.677 | 6.442 | 1.319 | −2.496 | −31.00 |
| Germany | 3.88E−15 | 0.346 | 0.118 | 6.248 | 2.509 | −2.183 | −33.91 |
| Japan | 2.62E−14 | 0.284 | 0.493 | 4.143 | 1.353 | −1.270 | −21.26 |
| Netherlands | 1.08E−14 | 0.356 | −0.993 | 8.422 | 1.469 | −2.684 | −31.38 |
| Spain | −5.30E−15 | 0.316 | −0.192 | 3.945 | 1.244 | −1.691 | −32.65 |
| Switzerland | 2.43E−14 | 0.480 | 0.037 | 3.307 | 2.423 | −1.904 | −23.50 |
| UK | 6.35E−16 | 0.326 | −1.550 | 11.422 | 1.223 | −2.764 | −29.83 |
| USA | −1.07E−14 | 0.293 | 0.465 | 5.399 | 1.381 | −1.629 | −32.18 |
| China | 1.13E−14 | 0.615 | 0.214 | 2.258 | 1.956 | −1.841 | −11.73 |
| Colombia | 1.26E−03 | 0.939 | −0.777 | 15.515 | 4.392 | −12.171 | −26.36 |
| Hong Kong | −7.81E−16 | 0.512 | 0.336 | 3.406 | 2.641 | −1.548 | −19.74 |
| India | 1.34E−04 | 0.426 | −0.502 | 8.600 | 1.621 | −3.917 | −26.16 |
| Mexico | 3.38E−14 | 0.479 | −1.291 | 8.512 | 2.190 | −3.234 | −39.78 |
| South Korea | 1.64E−03 | 0.374 | 0.387 | 3.792 | 1.710 | −1.073 | −15.86 |
| Taiwan | 3.93E−15 | 0.354 | 0.128 | 3.062 | 1.198 | −1.447 | −18.60 |
| Turkey | −1.83E−14 | 0.411 | 0.037 | 4.003 | 1.841 | −2.335 | −24.44 |