ETFs and index | Period | Obs. | Means | Std. Dev. | Skew. | Kurt. | J-Bera | |
Precious metal ETFs | ||||||||
1 | SPDR gold shares (GLD)/ Gold price | 2004/11/18 - 2013/5/31 | 2098 2098 | 0.043 0.454 | 1.393 14.361 | −0.763 −0.881 | 11.183 12.579 | 6057.11*** 8292.92*** |
2 | Ishare silver trust (SLV)/ Silver price | 2006/04/21 - 2013/5/31 | 1759 1759 | 0.005 0.006 | 0.558 0.647 | −2.141 −1.099 | 24.222 22.021 | 34352.25*** 26870.9*** |
3 | Physical palladium shares (PALL)/ Palladium price index | 2010/01/08 - 2013/5/31 | 816 816 | 0.031 0.302 | 1.309 13.448 | −0.390 −0.451 | 4.090 4.256 | 61.08*** 81.366*** |
4 | E-TRACTS UBS long platinum ETN (PTM)/ Platinum price | 2008/05/08 - 2013/5/31 | 1243 1243 | −0.007 −0.439 | 0.393 23.327 | −0.418 −0.673 | 12.222 5.186 | 4440.53*** 340.59*** |
Base metal ETFs | ||||||||
1 | DJ-UBS copper total return sub-index ETN (JJC)/ Copper price | 2007/10/23 - 2013/5/31 | 1375 1375 | −0.007 −0.350 | 0.878 138.549 | −0.235 −0.120 | 4.023 3.952 | 72.78*** 55.23*** |
2 | DJ-UBS nickel total return sub-index ETN (JJN)/ Nickel price | 2007/10/23 - 2013/5/31 | 1379 1379 | −0.021 −11.92 | 0.771 507.022 | −0.301 −0.100 | 5.342 5.462 | 336.14*** 350.14*** |
3 | DJ-UBS tin total return sub-index ETN (JJT)/ Tin price | 2008/06/24 - 2013/5/31 | 1209 1209 | −0.001 −1.300 | 1.005 434.002 | −0.461 −0.283 | 6.613 5.045 | 700.36*** 226.46*** |
4 | DJ-UBS lead total return sub-index ETN (LD)/ Lead index | 2008/06/24 - 2013/5/31 | 1209 1209 | 0.006 0.196 | 1.391 51.858 | −0.283 −0.235 | 5.727 4.819 | 390.86*** 177.67*** |