S&P

FTSE

DAX

CAC

SMI

EURO

S&P_TSX

N225

KOSPI

HSI

BSESN

SSE

Left Tail

No. of Obs.

2670

2713

2695

2727

2656

2740

2659

2567

2604

2592

2607

2540

u

1.2657

1.2655

1.2709

1.2649

1.2489

1.2483

1.3653

1.3123

1.237

1.2689

1.1906

1.176

No. of Exceed.

267

272

270

273

266

274

266

257

261

260

261

254

$\xi$

−0.01147

−0.0590

0.00149

0.02926

0.06821

0.03189

−0.0257

0.0313

−0.1476

−0.0941

0.0500

−0.0343

(s.e)

(0.05305)

(0.04643)

(0.05714)

(0.02923)

(0.06821)

(0.03189)

(0.05504)

(0.04934)

(0.05165)

(0.05304)

(0.06573)

(0.07201)

$\beta$

0.72964

0.68182

0.64025

0.62709

0.60549

0.62645

0.63118

0.58458

0.77753

0.63272

0.60508

0.76105

(s.e)

(0.05909)

(0.05201)

(0.05345)

(0.05050)

(0.04818)

(0.05083)

(0.05199)

(0.04648)

(0.06228)

(0.05151)

(0.05460)

(0.07267)