Panel A: Pre Crisis Descriptive Statistics

Developed Countries

Countries

M.R.

S.D.

SKEWNESS

KURTOSIS

J.B. Stat.

Autocorrelations

L1

L2

L3

AUSTRIA

0.0017

0.1037

−0.8227

5.2972

22.2899

0.2760

0.1200

0.1550

AUSTRALIA

0.0102

0.0909

0.1403

4.3306

5.1627

0.0030

0.1320

0.0650

BELGIUM

−0.0018

0.0824

−1.7162

8.0887

105.1796

0.3860

−0.0010

0.1720

CANADA

0.0116

0.0729

−0.5937

5.2711

18.3350

0.1680

0.1600

0.0120

DENMARK

0.0114

0.0701

−1.0911

5.9947

38.3295

0.2750

0.0100

0.1910

FINLAND

0.0037

0.0847

−0.3431

3.7621

2.9361

0.2360

−0.0920

0.0800

FRANCE

0.0033

0.0709

−0.6595

3.6518

6.0422

0.1600

−0.1080

0.1810

GERMANY

0.0076

0.0749

−0.7523

3.8376

8.2791

0.1640

−0.1120

0.1740

HONG KONG

0.0096

0.0688

−0.3709

4.6568

9.1991

0.2430

0.1550

0.0530

IRELAND

−0.0144

0.0838

−0.9354

3.6854

11.0826

0.2950

0.1500

0.3780

ISRAEL

0.0084

0.0552

−0.8009

3.9593

9.7312

0.1850

0.0940

0.0870

JAPAN

0.0025

0.0502

−0.4614

3.8004

4.1658

0.3410

−0.0830

0.1000

NETHERLANDS

0.0052

0.0725

−0.8839

4.5881

15.7651

0.1880

−0.0680

0.2320

NEWZEALAND

−0.0016

0.0693

−0.7034

3.8138

7.3746

0.2130

0.0600

0.3020

SINGAPORE

0.0101

0.0739

−0.6530

7.0298

50.0952

0.2870

0.2030

0.0030

SPAIN

0.0049

0.0835

−0.6248

4.2446

8.6829

0.1460

−0.1160

0.1640

SWEDEN

0.0102

0.0805

−0.4908

4.8867

12.6274

0.2070

0.0190

0.2700

SWITZERLAND

0.0064

0.0515

−0.6629

3.3526

5.2546

0.2190

0.0000

0.2100

UNITED KINGDOM

0.0017

0.0583

−0.4693

4.3709

7.7065

0.3440

0.1140

0.2210

USA

0.0023

0.0492

−0.8728

4.3715

13.7573

0.2710

−0.0350

0.1670

NORWAY

0.0061

0.0775

−1.2151

4.9141

26.3157

0.1860

0.0910

0.0170

Emerging Countries

Countries

M.R.

S.D.

SKEWNESS

KURTOSIS

J.B. Stat.

Autocorrelations

L1

L2

L3

BRAZIL

0.0239

0.1030

−0.5133

4.0427

5.9776

0.2000

0.1830

0.0460

CHILE

0.0179

0.0638

−1.0874

6.9844

57.5241

0.2480

0.1710

−0.1820

CHINA

0.0189

0.0905

−0.6504

3.4160

5.2063

0.1650

0.1370

−0.0490

COLOMBIA

0.0277

0.0946

−0.6995

3.9078

7.7651

0.2450

−0.0360

−0.0380

CZECH REPUBLIC

0.0113

0.0886

−0.5739

4.2479

8.0251

0.2280

−0.0570

0.1480

EGYPT

0.0134

0.1023

−0.5061

3.9543

5.4029

0.2260

−0.0250

0.1730

GREECE

−0.0066

0.1081

−0.3088

4.6078

8.2812

0.2410

−0.0500

0.0910

HUNGARY

0.0076

0.1193

−0.7527

4.7722

15.0932

0.2690

0.0200

0.1170

INDIA

0.0211

0.1030

−0.1083

4.6121

7.3858

0.1760

0.0390

0.0290

INDONESIA

0.0238

0.1060

−0.6694

5.7197

25.6540

0.2520

−0.0270

0.1890