Mean

Std. dev.

Skewness

Excess

Normality

(%)

(%)

Kurtosis

(p-value)

ADF

ARCH-LM

Panel A: Summary statistics

Colombia

20.50

25.19

−1.964

22.848

<0.001

<0.001

<0.001

Indonesia

18.34

26.24

−1.046

10.364

<0.001

<0.001

<0.001

Vietnam

0.22

31.60

−0.275

5.453

<0.001

<0.001

<0.001

Egypt

19.14

32.60

−0.666

5.910

<0.001

<0.001

<0.001

Turkey

14.39

33.03

−0.350

4.885

<0.001

<0.001

<0.001

South Africa

13.04

20.20

−0.298

5.672

<0.001

<0.001

<0.001

Panel B: Pairwise correlations

Colombia

Indonesia

Vietnam

Egypt

Turkey

South Africa

Colombia

1.000

Indonesia

0.426

1.000

Vietnam

0.143

0.227

1.000

Egypt

0.304

0.413

0.196

1.000

Turkey

0.373

0.432

0.186

0.340

1.000

South Africa

0.427

0.522

0.168

0.313

0.438

1.000