Descriptive statistics (April 2011–November 2023, n = 152)
| Monthly ETF returns | Mean (%) | Std. Dev. (%) | Mean/SD (%) | Skewness | Kurtosis | Jarque-Bera |
|---|---|---|---|---|---|---|
| VT | 0.449 | 4.39 | 0.102 | −0.56 | 4.21 | 17.3 |
| FXI | −0.381 | 7.00 | −0.054 | 0.06 | 5.08 | 27.5 |
| GXC | −0.084 | 6.73 | −0.012 | −0.12 | 4.41 | 13.0 |
| CQQQ | 0.137 | 8.25 | 0.017 | −0.30 | 3.30 | 2.8 |
| MCHI | −0.141 | 6.87 | −0.020 | −0.01 | 4.51 | 14.3 |
| EPU index | 422 | 265 | 1.596 | 0.36 | 1.88 | 11.3 |
| Monthly ETF returns | Mean (%) | Std. Dev. (%) | Mean/SD (%) | Skewness | Kurtosis | Jarque-Bera |
|---|---|---|---|---|---|---|
| VT | 0.449 | 4.39 | 0.102 | −0.56 | 4.21 | 17.3 |
| FXI | −0.381 | 7.00 | −0.054 | 0.06 | 5.08 | 27.5 |
| GXC | −0.084 | 6.73 | −0.012 | −0.12 | 4.41 | 13.0 |
| CQQQ | 0.137 | 8.25 | 0.017 | −0.30 | 3.30 | 2.8 |
| MCHI | −0.141 | 6.87 | −0.020 | −0.01 | 4.51 | 14.3 |
| EPU index | 422 | 265 | 1.596 | 0.36 | 1.88 | 11.3 |
Note(s): This table shows that while VT has a positive mean return and superior risk-adjusted returns, all Chinese ETFs except CQQQ have negative mean returns. CQQQ exhibits the highest volatility, with VT having the highest risk-adjusted return. Return series are mostly negatively skewed and exhibit high kurtosis, indicating frequent extreme returns. All series, including the EPU index, deviate significantly from normality, as confirmed by the Jarque-Bera test
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