Table 1 Summary statistics for the... | Emerald Publishing

Table 1

Summary statistics for the returns

	Mean	Median	Max	Min	SD	Skewness	Kurtosis	Jarque-Bera	Obs	ADF	PP
The COVID-19 crisis period
SET	−0.001	0.000	7.653	−11.428	1.298	−1.996	23.590	11,950.640***	652	−8.835***	−27.964***
SSEC	0.017	0.000	5.554	−8.039	1.115	−0.961	9.735	1332.497***	652	−25.790***	−25.822***
TOPIX	0.013	0.000	6.640	−5.769	1.196	−0.054	6.055	253.804***	652	−24.240***	−24.262***
NASDAQ	0.032	0.124	8.935	−13.149	1.839	−0.792	9.987	1394.280***	652	−17.965***	−31.672***
VIX	−0.009	0.000	12.685	−15.470	2.126	−0.778	13.775	3219.602***	652	−17.957***	−31.440***
WTI	0.087	0.183	42.583	−42.363	5.143	−0.248	28.694	17,941.770***	652	−12.789***	−26.625***
The cost-of-living crisis period
SET	−0.017	0.000	2.801	−3.176	0.679	−0.028	5.086	118.482***	653	−24.522***	−24.505***
SSEC	−0.002	0.000	7.755	−6.846	0.972	0.650	13.950	3308.587***	653	−15.414***	−25.948***
TOPIX	0.061	0.050	8.890	−13.050	1.153	−1.932	34.173	26,845.820***	653	−26.414***	−26.837***
NASDAQ	0.086	0.067	7.093	−5.297	1.273	0.012	5.030	112.181***	653	−25.311***	−25.379***
VIX	0.084	0.063	4.235	−5.712	1.280	−0.107	4.372	52.427***	653	−27.086***	−27.133***
WTI	−0.061	0.000	6.050	−8.265	2.121	−0.427	3.625	30.491***	653	−24.704***	−25.631***

	Mean	Median	Max	Min	SD	Skewness	Kurtosis	Jarque-Bera	Obs	ADF	PP
The COVID-19 crisis period
SET	−0.001	0.000	7.653	−11.428	1.298	−1.996	23.590	11,950.640***	652	−8.835***	−27.964***
SSEC	0.017	0.000	5.554	−8.039	1.115	−0.961	9.735	1332.497***	652	−25.790***	−25.822***
TOPIX	0.013	0.000	6.640	−5.769	1.196	−0.054	6.055	253.804***	652	−24.240***	−24.262***
NASDAQ	0.032	0.124	8.935	−13.149	1.839	−0.792	9.987	1394.280***	652	−17.965***	−31.672***
VIX	−0.009	0.000	12.685	−15.470	2.126	−0.778	13.775	3219.602***	652	−17.957***	−31.440***
WTI	0.087	0.183	42.583	−42.363	5.143	−0.248	28.694	17,941.770***	652	−12.789***	−26.625***
The cost-of-living crisis period
SET	−0.017	0.000	2.801	−3.176	0.679	−0.028	5.086	118.482***	653	−24.522***	−24.505***
SSEC	−0.002	0.000	7.755	−6.846	0.972	0.650	13.950	3308.587***	653	−15.414***	−25.948***
TOPIX	0.061	0.050	8.890	−13.050	1.153	−1.932	34.173	26,845.820***	653	−26.414***	−26.837***
NASDAQ	0.086	0.067	7.093	−5.297	1.273	0.012	5.030	112.181***	653	−25.311***	−25.379***
VIX	0.084	0.063	4.235	−5.712	1.280	−0.107	4.372	52.427***	653	−27.086***	−27.133***
WTI	−0.061	0.000	6.050	−8.265	2.121	−0.427	3.625	30.491***	653	−24.704***	−25.631***

Note(s): ADF and PP represent the augmented Dickey and Fuller (1979) and Phillips and Perron (1988), respectively. *** denotes significance at the 1% level