Country | Variables | Mean | Max. | Min. | SD | Kurtosis | Skewness | N | ADF |
American and Latin American Markets | |||||||||
Brazil | CSAD | 0.0153 | 0.1080 | 0.0056 | 0.0052 | 3.5671 | 40.0954 | 4517 | −9.2981* |
Rm | 0.0010 | 0.1413 | −0.0916 | 0.0148 | 0.0508 | 8.4284 | 4517 | −65.0513* | |
Canada | CSAD | 0.0150 | 0.0699 | 0.0052 | 0.0055 | 2.3535 | 12.3679 | 4394 | −4.9964* |
Rm | 0.0007 | 0.0785 | −0.0647 | 0.0087 | −0.4241 | 10.7640 | 4394 | −60.7506* | |
Chile | CSAD | 0.0133 | 0.0606 | 0.0048 | 0.0050 | 1.6479 | 8.2668 | 4270 | −9.0276* |
Rm | 0.0004 | 0.1563 | −0.1152 | 0.0150 | −0.1855 | 10.5676 | 4270 | −65.5883* | |
Mexico | CSAD | 0.0123 | 0.0870 | 0.0026 | 0.0053 | 3.0119 | 24.7001 | 4419 | −11.6347* |
Rm | 0.0008 | 0.1084 | −0.0605 | 0.0104 | −0.1195 | 9.4272 | 4419 | −58.6922* | |
United States | CSAD | 0.0153 | 0.0855 | 0.0040 | 0.0084 | 1.9221 | 7.7289 | 4399 | −5.0629* |
Rm | 0.0009 | 0.1102 | −0.0926 | 0.0159 | 0.1527 | 7.2469 | 4399 | −67.7702* | |
European Markets | |||||||||
Belgium | CSAD | 0.0107 | 0.0896 | 0.0008 | 0.0060 | 3.1794 | 21.5524 | 4364 | −6.4416* |
Rm | 0.0004 | 0.0988 | −0.0716 | 0.0117 | 0.0951 | 9.7564 | 4364 | −40.2054* | |
France | CSAD | 0.0111 | 0.0439 | 0.0030 | 0.0054 | 1.7398 | 6.8787 | 4365 | −5.5688* |
Rm | 0.0003 | 0.1105 | −0.0870 | 0.0142 | 0.0386 | 8.0858 | 4365 | −65.0504* | |
Germany | CSAD | 0.0158 | 0.1066 | 0.0026 | 0.0102 | 2.1732 | 9.9798 | 4251 | −4.0983* |
Rm | 0.0009 | 0.1247 | −0.0982 | 0.0182 | 0.0386 | 6.6848 | 4251 | −65.7873* | |
Greece | CSAD | 0.0181 | 2.0424 | 0.0063 | 0.0313 | 61.7241 | 3986.0340 | 4368 | −64.2865* |
Rm | 0.0003 | 1.0497 | −0.1128 | 0.0231 | 21.4679 | 980.7622 | 4368 | −62.5821* | |
Netherland | CSAD | 0.0124 | 0.0792 | 0.0030 | 0.0070 | 2.5444 | 14.4734 | 3734 | −5.6986* |
Rm | 0.0002 | 0.0859 | −0.0858 | 0.0138 | −0.1660 | 7.2037 | 3734 | −60.2646* | |
Portugal | CSAD | 0.0118 | 0.0453 | 0.0017 | 0.0051 | 1.1840 | 5.3883 | 4347 | −8.9953* |
Rm | 0.0003 | 0.1205 | −0.0851 | 0.0107 | −0.0701 | 10.8122 | 4347 | −59.6797* | |
Russia | CSAD | 0.0175 | 2.7226 | 0.0059 | 0.0428 | 61.5696 | 3888.0710 | 4092 | −62.2565* |
Rm | 0.0005 | 1.4032 | −0.1138 | 0.0280 | 30.6296 | 1535.6350 | 4092 | −60.7592* | |
Sweden | CSAD | 0.0116 | 0.0544 | 0.0028 | 0.0057 | 1.8020 | 8.0114 | 4302 | −6.6121* |
Rm | 0.0005 | 0.0967 | −0.0846 | 0.0141 | 0.1142 | 8.0014 | 4302 | −66.3752* | |
Switzerland | CSAD | 0.0097 | 0.0678 | 0.0022 | 0.0056 | 2.4300 | 13.1977 | 4310 | −6.0131* |
Rm | 0.0003 | 0.1098 | −0.0959 | 0.0130 | −0.0347 | 9.5940 | 4310 | −61.8773* | |
United Kingdom | CSAD | 0.0118 | 0.0627 | 0.0037 | 0.0053 | 2.3744 | 11.6243 | 4314 | −4.2095* |
Rm | 0.0005 | 0.0827 | −0.0792 | 0.0115 | −0.1298 | 8.3736 | 4314 | −31.2532* | |
Asian and Asia Pacific Markets | |||||||||
Australia | CSAD | 0.0195 | 0.0723 | 0.0108 | 0.0049 | 2.5997 | 15.7253 | 4446 | −5.6732* |
Rm | 0.0010 | 0.0572 | −0.0816 | 0.0075 | −1.2322 | 14.2363 | 4446 | −40.1632* | |
China | CSAD | 0.0153 | 0.0554 | 0.0046 | 0.0063 | 1.6862 | 7.6508 | 4281 | −7.2032* |
Rm | 0.0010 | 0.0973 | −0.0866 | 0.0168 | −0.3143 | 6.9555 | 4281 | −62.2724* | |
Hong Kong | CSAD | 0.0127 | 0.0798 | 0.0036 | 0.0054 | 2.6255 | 17.7104 | 4501 | −7.1868* |
Rm | 0.0008 | 0.1232 | −0.1223 | 0.0141 | −0.1411 | 9.3815 | 4501 | −64.0493* |