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 |