Table 1 Descriptive statistics of equity...

Table 1

Descriptive statistics of equity returns

ER	Mean	SD	SKW	KTS	JB	KPSS	TRS
DJAT	−0.0002	0.01	−1.09	10.44	5269.36**	0.06	6.70*
DJIME	0.0003	0.01	−1.11	15.07	13196.42**	0.07	12.92**
DJMENA	0.0002	0.01	−4.00	70.26	401789.60**	0.14	50.32**
DJSAP	0.0001	0.01	−0.20	8.12	2311.88**	0.04	7.54*
DJSE	0.0002	0.01	−1.26	16.09	15572.37**	0.03	14.85**
DJSEM	0.0001	0.01	−0.73	9.75	4171.62**	0.08	25.11**
DJSEZ	0.0002	0.01	−1.46	19.70	25167.70**	0.04	9.45**
DJSNA	0.0005	0.01	−1.05	26.35	48123.20**	0.06	101.88**
DJSUS	0.0005	0.01	−0.99	25.01	42787.88**	0.05	96.95**
DJSW	0.0003	0.01	−1.42	21.19	29678.92**	0.07	45.83**
DJSWD	0.0003	0.01	−1.39	21.28	29948.29**	0.06	46.32**
S.PAA	−0.0001	0.01	−0.79	9.12	3493.25**	0.04	6.34*
S.PBRICT	0.0001	0.01	−0.74	9.83	4278.79**	0.19	37.44**
S.PEA	0.0001	0.01	−0.74	9.31	3674.49**	0.07	0.80
S.PFBMIS	0.0003	0.01	−0.47	15.57	13919.09**	0.16	13.12**
S.PGBMI	0.0004	0.01	−1.58	24.72	42181.89**	0.11	54.10**
S.PLABMI	−0.0003	0.02	−1.17	15.59	14349.77**	0.05	81.01**
S.PNA	0.0000	0.01	−4.98	83.15	571353.00**	0.05	20.63**
S.PPAFS	−0.0001	0.01	−1.46	21.28	30017.39**	0.03	4.33
S.PSSA	−0.0004	0.01	−1.27	13.14	9560.10**	0.20	1.95
NAMERICAI	0.0005	0.01	−1.13	24.44	40723.38**	0.06	93.24**
NAREITs	0.0003	0.01	−2.37	41.74	133424.90**	0.03	27.88**
NASIAI	0.0002	0.01	−0.40	7.81	2083.30**	0.03	5.19
NBRICI	0.0001	0.01	−0.72	8.77	3099.72**	0.05	25.03**
NDMI	0.0004	0.01	−1.40	24.13	39801.01**	0.05	61.23**
NEMI	0.0001	0.01	−0.80	10.28	4867.94**	0.06	25.09**
NEUROPI	0.0002	0.01	−1.46	21.41	30425.21**	0.04	0.06
NEUROZI	0.0002	0.01	−1.50	19.81	25543.58**	0.04	7.08*
NGMCI	0.0007	0.02	−1.17	13.51	10147.28**	0.06	43.28**
NGVOLNDX	0.0008	0.75	−0.05	19.54	23967.01**	0.01	83.88**

ER	Mean	SD	SKW	KTS	JB	KPSS	TRS
DJAT	−0.0002	0.01	−1.09	10.44	5269.36**	0.06	6.70*
DJIME	0.0003	0.01	−1.11	15.07	13196.42**	0.07	12.92**
DJMENA	0.0002	0.01	−4.00	70.26	401789.60**	0.14	50.32**
DJSAP	0.0001	0.01	−0.20	8.12	2311.88**	0.04	7.54*
DJSE	0.0002	0.01	−1.26	16.09	15572.37**	0.03	14.85**
DJSEM	0.0001	0.01	−0.73	9.75	4171.62**	0.08	25.11**
DJSEZ	0.0002	0.01	−1.46	19.70	25167.70**	0.04	9.45**
DJSNA	0.0005	0.01	−1.05	26.35	48123.20**	0.06	101.88**
DJSUS	0.0005	0.01	−0.99	25.01	42787.88**	0.05	96.95**
DJSW	0.0003	0.01	−1.42	21.19	29678.92**	0.07	45.83**
DJSWD	0.0003	0.01	−1.39	21.28	29948.29**	0.06	46.32**
S.PAA	−0.0001	0.01	−0.79	9.12	3493.25**	0.04	6.34*
S.PBRICT	0.0001	0.01	−0.74	9.83	4278.79**	0.19	37.44**
S.PEA	0.0001	0.01	−0.74	9.31	3674.49**	0.07	0.80
S.PFBMIS	0.0003	0.01	−0.47	15.57	13919.09**	0.16	13.12**
S.PGBMI	0.0004	0.01	−1.58	24.72	42181.89**	0.11	54.10**
S.PLABMI	−0.0003	0.02	−1.17	15.59	14349.77**	0.05	81.01**
S.PNA	0.0000	0.01	−4.98	83.15	571353.00**	0.05	20.63**
S.PPAFS	−0.0001	0.01	−1.46	21.28	30017.39**	0.03	4.33
S.PSSA	−0.0004	0.01	−1.27	13.14	9560.10**	0.20	1.95
NAMERICAI	0.0005	0.01	−1.13	24.44	40723.38**	0.06	93.24**
NAREITs	0.0003	0.01	−2.37	41.74	133424.90**	0.03	27.88**
NASIAI	0.0002	0.01	−0.40	7.81	2083.30**	0.03	5.19
NBRICI	0.0001	0.01	−0.72	8.77	3099.72**	0.05	25.03**
NDMI	0.0004	0.01	−1.40	24.13	39801.01**	0.05	61.23**
NEMI	0.0001	0.01	−0.80	10.28	4867.94**	0.06	25.09**
NEUROPI	0.0002	0.01	−1.46	21.41	30425.21**	0.04	0.06
NEUROZI	0.0002	0.01	−1.50	19.81	25543.58**	0.04	7.08*
NGMCI	0.0007	0.02	−1.17	13.51	10147.28**	0.06	43.28**
NGVOLNDX	0.0008	0.75	−0.05	19.54	23967.01**	0.01	83.88**

Note(s): The mean values are specifically kept in four decimal points due to zero redundancy. [*; **] show significance levels at 5 and 1% respectively. SD, SKW, KTS, JB, KPSS and TRS, respectively, denote standard deviation, skewness, kurtosis, Jarque-Bera, Kwiatkowski–Phillips–Schmidt–Shin and Teraesvirta's neural network tests

Source(s): Table by authors

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