Table 1. Descriptive statistic and...

Table 1.

Descriptive statistic and diagnostic test

	Mean	Median	Maximum	Minimum	SD	Skewness	Kurtosis	Obs.
Panel A: Descriptive statistic
Sensex	0.0611	0.0803	15.9899	−33.0835	1.5920	−1.3949	39.281	6342
Nifty 50	0.0652	0.0811	0.1633	−0.1305	0.0150	0.0405	11.950	6222
Panel B: Diagnostic test
	Jarque–Bera	JB probability	ADF	KPSS	ARCH LM	Correlation test:	Q (20)	Q2 (20)
Sensex	17379.44	0.00	−14.77*	0.144	477.90*	50.52*	94.89*	3699.9
Nifty 50	20770.13	0.00	−14.92*	0.121	493.12*	89.375*	148.7*	3001.7

	Mean	Median	Maximum	Minimum	SD	Skewness	Kurtosis	Obs.
Panel A: Descriptive statistic
Sensex	0.0611	0.0803	15.9899	−33.0835	1.5920	−1.3949	39.281	6342
Nifty 50	0.0652	0.0811	0.1633	−0.1305	0.0150	0.0405	11.950	6222
Panel B: Diagnostic test
	Jarque–Bera	JB probability	ADF	KPSS	ARCH LM	Correlation test:	Q (20)	Q2 (20)
Sensex	17379.44	0.00	−14.77*	0.144	477.90*	50.52*	94.89*	3699.9
Nifty 50	20770.13	0.00	−14.92*	0.121	493.12*	89.375*	148.7*	3001.7

Notes: This table represents summary statistics of the daily returns of seven Asian stock indices (Dhaka stock exchange, Hong Kong stock exchange, Nepal stock exchange, Karachi stock exchange, Colombo stock exchange, Bombay stock exchange and National stock exchange). Panel B comprises a goodness of fitness test using JB test, tests for stationarity of augmented Dickey–Fuller (ADF) and Kwiatkowski Phillips Schmidt Shin (KPSS). A residual heteroscedasticity test with the ARCH LM test, a serial correlation test with the Breusch-Godfrey serial LM test, autocorrelation test of Ljung-Box Q-square statistics up to lag 20. *, ** and ***represent the value that is significant at 1, 5 and 10% levels, respectively

Source: Table created by authors

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