| Panel A: Summary statistics |
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| Index | Mean Std. dev. | Skewness Kurtosis | J-B test ADF | Q-Stat ARCH−LM | Obs. | ||||
| FENY | 21.865 | 3.525 | 0.362 | 2.143 | <0.001 | <0.001 | <0.001 | <0.001 | 890 |
| FXN | 19.352 | 4.518 | −0.006 | 2.407 | <0.000 | <0.000 | <0.000 | <0.000 | 2497 |
| IEO | 62.059 | 13.229 | 0.302 | 2.879 | <0.000 | <0.000 | <0.000 | <0.000 | 2771 |
| IXC | 33.008 | 9.059 | −0.481 | 2.452 | <0.000 | <0.000 | <0.000 | <0.000 | 3860 |
| IYE | 32.258 | 11.737 | −0.157 | 1.907 | <0.000 | <0.000 | <0.000 | <0.000 | 4247 |
| NANR | 32.002 | 3.498 | −1.461 | 4.038 | <0.000 | <0.000 | <0.000 | <0.000 | 349 |
| OIH | 38.404 | 8.407 | 0.218 | 2.164 | <0.000 | <0.000 | <0.000 | <0.000 | 1352 |
| VDE | 94.992 | 20.325 | −0.027 | 2.529 | <0.000 | <0.000 | <0.000 | <0.000 | 3174 |
| XLE | 53.948 | 21.507 | 0.001 | 1.745 | <0.000 | <0.000 | <0.000 | <0.000 | 4623 |
| Panel B: Pair wise sector correlations |
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| Index | FENY | FXN | IEO | IXC | IYE | NANR | OIH | VDE XLE |
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| FXN | 0.957 | 1.000 |
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| IEO | 0.978 | 0.957 | 1.000 |
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| IXC | 0.989 | 0.933 | 0.965 | 1.000 |
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| IYE | 1.000 | 0.959 | 0.976 | 0.988 | 1.000 |
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| NANR | 0.904 | 0.830 | 0.839 | 0.921 | 0.906 | 1.000 |
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| OIH | 0.945 | 0.942 | 0.940 | 0.929 | 0.944 | 0.780 | 1.000 |
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| VDE | 1.000 | 0.956 | 0.980 | 0.990 | 0.999 | 0.905 | 0.946 | 1.000 |
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| XLE | 0.997 | 0.944 | 0.983 | 0.990 | 0.996 | 0.898 | 0.942 | 0.998 1.000 |
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