ISE

DJIM

DAX

FTS

NIK

S & P

Panel A: Descriptive Statistics

Mean

0.0149

0.0899

0.1349

0.0913

−0.0685

0.0907

Std. Dev.

2.8360

2.6514

3.5790

2.6386

3.1874

2.6953

Skewness

0.1520

−0.7273

−0.3027

−0.6140

−0.7380

−0.5015

Kurtosis

14.823

9.0081

6.4929

11.463

8.6013

8.1367

Panel B: Diagnostic Tests

Jarque-Bera Stat.

3730.109***

(0.000)

1019.029***

(0.000)

335.123***

(0.000)

1949.999***

(0.000)

894.764***

(0.000)

730.445***

(0.000)

Ljung-Box

Q-Stat (1)

9.6162***

(0.002)

0.6515

(0.420)

0.3476

(0.555)

5.4986**

(0.019)

2.4609

(0.117)

5.1507**

(0.023)

Ljung-Box

Q-Stat (5)

42.706***

(0.000)

9.0218

(0.108)

12.573**

(0.028)

18.001***

(0.003)

10.446*

(0.064)

0.036***

(0.007)

Ljung-Box

Q-Stat (10)

61.170***

(0.000)

23.018**

(0.011)

27.782*** (0.002)

−0.001***

(0.001)

11.918

(0.291)

0.044***

(0.000)

Panel C: Correlations

DJIM

0.3744

DAX

0.2754

0.8073

FTS

0.2648

0.8186

0.8236

NIK

0.3134

0.5991

0.5190

0.5234

S & P

0.3013

0.9254

0.7744

0.7784

0.4972