Table 1 Summary statistics BTM MKR POLY...

Table 1

Summary statistics

	BTM	MKR	POLY	PRO	SNX	ENERGY	AGRICULTURE	LIVESTOCK	METAL	SOFTS
Panel A: Descriptive statistics
Mean	0.057	0.215	0.235	0.506	0.552**	0.046	0.031	0.031	0.018	0.035
Variance	52.945	45.512	75.15	138.963	95.02	6.793	1.356	1.222	0.856	1.258
Skewness	1.112***	0.523***	2.244***	3.706***	1.518***	−0.724***	−0.046	−0.328***	−0.051	−0.022
Ex.Kurtosis	17.091***	8.309***	22.848***	28.510***	9.971***	17.156***	1.911***	3.240***	1.726***	0.440***
JB	16919.595***	3995.241***	30881.415***	49427.588***	6188.111***	16883.906***	208.491***	622.359***	170.322***	11.126***
ERS	−11.957***	−12.151***	−15.706***	−16.016***	−5.818***	−15.399***	−10.737***	−12.703***	−9.416***	−12.303***
Q(20)	16.293*	20.851**	15.851*	18.681**	24.048***	30.099***	19.330**	32.855***	14.514	12.329
Q2(20)	12.808	76.884***	3.833	19.471**	15.575*	396.417***	302.922***	1514.120***	100.700***	84.000***
Panel B: Correlation analysis
BTM	1.000***	0.350***	0.332***	0.250***	0.319***	−0.003	0.044**	0.064***	0.092***	0.058***
MKR	0.350***	1.000***	0.334***	0.247***	0.365***	0.032	0.063***	0.022	0.077***	0.055***
POLY	0.332***	0.334***	1.000***	0.221***	0.303***	0.043**	0.041**	0.046**	0.074***	0.074***
PRO	0.250***	0.247***	0.221***	1.000***	0.220***	0.006	0.028	0.017	0.069***	0.041**
SNX	0.319***	0.365***	0.303***	0.220***	1.000***	0.037**	0.070***	0.011	0.082***	0.063***
ENERGY	−0.003	0.032	0.043**	0.006	0.037**	1.000***	0.192***	0.056***	0.210***	0.212***
AGRICULTURE	0.044**	0.063***	0.041**	0.028	0.070***	0.192***	1.000***	0.072***	0.185***	0.374***
LIVESTOCK	0.064***	0.022	0.046**	0.017	0.011	0.056***	0.072***	1.000***	0.029	0.069***
METAL	0.092***	0.077***	0.074***	0.069***	0.082***	0.210***	0.185***	0.029	1.000***	0.214***
SOFTS	0.058***	0.055***	0.074***	0.041**	0.063***	0.212***	0.374***	0.069***	0.214***	1.000***

	BTM	MKR	POLY	PRO	SNX	ENERGY	AGRICULTURE	LIVESTOCK	METAL	SOFTS
Panel A: Descriptive statistics
Mean	0.057	0.215	0.235	0.506	0.552**	0.046	0.031	0.031	0.018	0.035
Variance	52.945	45.512	75.15	138.963	95.02	6.793	1.356	1.222	0.856	1.258
Skewness	1.112***	0.523***	2.244***	3.706***	1.518***	−0.724***	−0.046	−0.328***	−0.051	−0.022
Ex.Kurtosis	17.091***	8.309***	22.848***	28.510***	9.971***	17.156***	1.911***	3.240***	1.726***	0.440***
JB	16919.595***	3995.241***	30881.415***	49427.588***	6188.111***	16883.906***	208.491***	622.359***	170.322***	11.126***
ERS	−11.957***	−12.151***	−15.706***	−16.016***	−5.818***	−15.399***	−10.737***	−12.703***	−9.416***	−12.303***
Q(20)	16.293*	20.851**	15.851*	18.681**	24.048***	30.099***	19.330**	32.855***	14.514	12.329
Q2(20)	12.808	76.884***	3.833	19.471**	15.575*	396.417***	302.922***	1514.120***	100.700***	84.000***
Panel B: Correlation analysis
BTM	1.000***	0.350***	0.332***	0.250***	0.319***	−0.003	0.044**	0.064***	0.092***	0.058***
MKR	0.350***	1.000***	0.334***	0.247***	0.365***	0.032	0.063***	0.022	0.077***	0.055***
POLY	0.332***	0.334***	1.000***	0.221***	0.303***	0.043**	0.041**	0.046**	0.074***	0.074***
PRO	0.250***	0.247***	0.221***	1.000***	0.220***	0.006	0.028	0.017	0.069***	0.041**
SNX	0.319***	0.365***	0.303***	0.220***	1.000***	0.037**	0.070***	0.011	0.082***	0.063***
ENERGY	−0.003	0.032	0.043**	0.006	0.037**	1.000***	0.192***	0.056***	0.210***	0.212***
AGRICULTURE	0.044**	0.063***	0.041**	0.028	0.070***	0.192***	1.000***	0.072***	0.185***	0.374***
LIVESTOCK	0.064***	0.022	0.046**	0.017	0.011	0.056***	0.072***	1.000***	0.029	0.069***
METAL	0.092***	0.077***	0.074***	0.069***	0.082***	0.210***	0.185***	0.029	1.000***	0.214***
SOFTS	0.058***	0.055***	0.074***	0.041**	0.063***	0.212***	0.374***	0.069***	0.214***	1.000***

Note(s): Skewness: D'Agostino (1970) test; Kurtosis: Anscombe and Glynn (1983) test; JB: Jarque and Bera (1980) normality test; and ERS: Elliott, Rothenberg, and Stock (1996) unit-root test; ***,**,* denote significance at 1%, 5% and 10% significance level

Source(s): Table by authors

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