Table 2 Summary statistics and...

Table 2

Summary statistics and preliminary analyses

Country	Mean	CV	SK	KT	Unit root test	Conditional heteroscedasticity			Serial correlation						Persistence
Country	Mean	CV	SK	KT	ADF	ARCH(1)	ARCH(5)	ARCH(10)	Q(1)	Q(5)	Q(10)	Q²(1)	Q²(5)	Q²(10)	Persistence
Stock returns
Brazil	0.08	53.78	0.33	11.72	−59.46^***I(0)	160.27^***	56.83^***	30.40^***	0.04	2.91	20.31	152.34^***	413.70^***	550.79^***	−0.09^***
China	−0.04	−73.43	−0.01	8.80	−46.86^***I(0)	159.65^***	51.06^***	27.14^***	0.04	12.68^**	13.93	151.03^***	384.55^***	494.75^***	0.10^***
India	0.06	41.36	−0.11	9.54	−55.19^***I(0)	878.47^***	204.47^***	105.64^***	0.02	20.00^**	36.77^***	765.65^***	1416.50^***	1691.20^***	0.05^***
Indonesia	0.03	104.94	0.26	5.75	−50.66^***I(0)	22.64^***	17.81^***	26.37^***	0.00	7.73	16.61^*	22.50^***	167.70^***	279.17^***	0.03^*
Russia	0.00	1213.46	−1.10	31.64	−62.42^***I(0)	76.94^***	39.26^***	23.38^***	0.00	3.51	9.97	75.70^***	272.83^***	391.29^***	0.05^***
South Africa	0.06	40.97	0.04	7.04	−67.55^***I(0)	204.24^***	54.18^***	38.16^***	0.03	11.03^*	27.54^***	197.04^***	343.48^***	587.70^***	0.09^***
South Korea	0.00	493.06	0.66	12.08	−52.72^***I(0)	289.84^***	108.63^***	56.11^***	0.00	13.27^**	19.43^**	263.82^***	806.27^***	934.86^***	0.02
Turkey	0.09	34.15	0.13	7.55	−32.33^***I(0)	67.29^***	24.41^***	13.57^***	0.01	13.97^**	17.89^**	64.99^***	149.12^***	181.92^***	0.03^*
Vietnam	0.03	74.67	−0.90	15.94	−36.95^***I(0)	6.33^**	2.14^*	0.99	0.00	13.45^**	22.49^**	6.32^***	13.16^***	13.30	0.02
Stock market uncertainty
Brazil	17.17	1.11	3.49	17.65	−7.16^***I(0)	5.78^**	8.49^***	5.42^***	16.30^***	44.93^***	84.30^***	5.79^**	50.48^***	69.33^***	0.98^***
China	8.07	1.16	2.65	11.78	−9.41^***I(0)	1.53	0.56	0.29	19.21^***	21.41^***	32.61^***	1.54	2.95	3.11	0.94^***
India	6.07	1.03	4.58	33.74	−10.55^***I(0)	205.97^***	42.67^***	21.43^***	347.01^***	374.85^***	397.86^***	199.24^***	216.35^***	219.90^***	0.98^***
Indonesia	7.78	0.58	3.82	26.83	−11.59^***I(0)	2.34	26.06^***	14.62^***	8.92^***	31.17^***	40.36^***	2.34	127.34^***	166.25^***	0.89^***
Russia	5.53	1.62	4.84	29.95	−4.97^***I(0)	0.00	0.04	0.02	1.86	20.75^***	23.77^***	0.00	0.20	0.23	0.99^***
South Africa	6.17	0.69	3.79	25.81	−8.42^***I(0)	11.08^***	3.52^***	2.28^**	52.51^***	75.27^***	87.83^***	11.07^***	19.02^***	25.56^***	0.98^***
South Korea	5.77	0.93	4.27	30.75	−5.64^***I(0)	3.94^**	5.79^***	3.04^***	96.66^***	326.77^***	341.59^***	3.95^**	30.27^***	32.72^***	0.99^***
Turkey	9.08	0.70	3.41	21.43	−12.19^***I(0)	0.24	0.73	0.40	4.11^**	21.41^***	28.79^***	0.24	3.81	4.21	0.88^***
Vietnam	6.63	1.48	17.44	426.25	−22.09^***I(0)	0.00	0.00	0.00	0.00	0.54	0.84	0.00	0.01	0.02	0.49^***
Global oil uncertainty
WTI	7.69	2.90	12.91	203.33	−10.08^***I(0)	639.16^***	136.24^***	71.56^***	511.22^***	531.00^***	624.00^***	577.42^***	680.19^***	723.79^***	0.98^***
Brent	7.27	3.40	16.74	349.47	−9.37^***I(0)	1.12	0.27	0.24	108.36^***	158.32^***	203.60^***	1.13	1.42	2.46	0.96^***
Other global uncertainty measures
CIU	21.57	0.67	2.06	7.90	−15.54^***I(1)	10.42^***	4.40^***	1.67^*	14.65^***	23.79^***	26.64^***	10.32^***	23.61^***	23.70^***	0.95^***
GPR	113.57	0.61	4.51	38.10	−9.84^***I(0)	83.38^***	50.55^***	56.74^***	507.83^***	678.41^***	838.96^***	82.30^***	347.10^***	816.30^***	0.82^***

Country	Mean	CV	SK	KT	Unit root test	Conditional heteroscedasticity			Serial correlation						Persistence
Country	Mean	CV	SK	KT	ADF	ARCH(1)	ARCH(5)	ARCH(10)	Q(1)	Q(5)	Q(10)	Q²(1)	Q²(5)	Q²(10)	Persistence
Stock returns
Brazil	0.08	53.78	0.33	11.72	−59.46^***I(0)	160.27^***	56.83^***	30.40^***	0.04	2.91	20.31	152.34^***	413.70^***	550.79^***	−0.09^***
China	−0.04	−73.43	−0.01	8.80	−46.86^***I(0)	159.65^***	51.06^***	27.14^***	0.04	12.68^**	13.93	151.03^***	384.55^***	494.75^***	0.10^***
India	0.06	41.36	−0.11	9.54	−55.19^***I(0)	878.47^***	204.47^***	105.64^***	0.02	20.00^**	36.77^***	765.65^***	1416.50^***	1691.20^***	0.05^***
Indonesia	0.03	104.94	0.26	5.75	−50.66^***I(0)	22.64^***	17.81^***	26.37^***	0.00	7.73	16.61^*	22.50^***	167.70^***	279.17^***	0.03^*
Russia	0.00	1213.46	−1.10	31.64	−62.42^***I(0)	76.94^***	39.26^***	23.38^***	0.00	3.51	9.97	75.70^***	272.83^***	391.29^***	0.05^***
South Africa	0.06	40.97	0.04	7.04	−67.55^***I(0)	204.24^***	54.18^***	38.16^***	0.03	11.03^*	27.54^***	197.04^***	343.48^***	587.70^***	0.09^***
South Korea	0.00	493.06	0.66	12.08	−52.72^***I(0)	289.84^***	108.63^***	56.11^***	0.00	13.27^**	19.43^**	263.82^***	806.27^***	934.86^***	0.02
Turkey	0.09	34.15	0.13	7.55	−32.33^***I(0)	67.29^***	24.41^***	13.57^***	0.01	13.97^**	17.89^**	64.99^***	149.12^***	181.92^***	0.03^*
Vietnam	0.03	74.67	−0.90	15.94	−36.95^***I(0)	6.33^**	2.14^*	0.99	0.00	13.45^**	22.49^**	6.32^***	13.16^***	13.30	0.02
Stock market uncertainty
Brazil	17.17	1.11	3.49	17.65	−7.16^***I(0)	5.78^**	8.49^***	5.42^***	16.30^***	44.93^***	84.30^***	5.79^**	50.48^***	69.33^***	0.98^***
China	8.07	1.16	2.65	11.78	−9.41^***I(0)	1.53	0.56	0.29	19.21^***	21.41^***	32.61^***	1.54	2.95	3.11	0.94^***
India	6.07	1.03	4.58	33.74	−10.55^***I(0)	205.97^***	42.67^***	21.43^***	347.01^***	374.85^***	397.86^***	199.24^***	216.35^***	219.90^***	0.98^***
Indonesia	7.78	0.58	3.82	26.83	−11.59^***I(0)	2.34	26.06^***	14.62^***	8.92^***	31.17^***	40.36^***	2.34	127.34^***	166.25^***	0.89^***
Russia	5.53	1.62	4.84	29.95	−4.97^***I(0)	0.00	0.04	0.02	1.86	20.75^***	23.77^***	0.00	0.20	0.23	0.99^***
South Africa	6.17	0.69	3.79	25.81	−8.42^***I(0)	11.08^***	3.52^***	2.28^**	52.51^***	75.27^***	87.83^***	11.07^***	19.02^***	25.56^***	0.98^***
South Korea	5.77	0.93	4.27	30.75	−5.64^***I(0)	3.94^**	5.79^***	3.04^***	96.66^***	326.77^***	341.59^***	3.95^**	30.27^***	32.72^***	0.99^***
Turkey	9.08	0.70	3.41	21.43	−12.19^***I(0)	0.24	0.73	0.40	4.11^**	21.41^***	28.79^***	0.24	3.81	4.21	0.88^***
Vietnam	6.63	1.48	17.44	426.25	−22.09^***I(0)	0.00	0.00	0.00	0.00	0.54	0.84	0.00	0.01	0.02	0.49^***
Global oil uncertainty
WTI	7.69	2.90	12.91	203.33	−10.08^***I(0)	639.16^***	136.24^***	71.56^***	511.22^***	531.00^***	624.00^***	577.42^***	680.19^***	723.79^***	0.98^***
Brent	7.27	3.40	16.74	349.47	−9.37^***I(0)	1.12	0.27	0.24	108.36^***	158.32^***	203.60^***	1.13	1.42	2.46	0.96^***
Other global uncertainty measures
CIU	21.57	0.67	2.06	7.90	−15.54^***I(1)	10.42^***	4.40^***	1.67^*	14.65^***	23.79^***	26.64^***	10.32^***	23.61^***	23.70^***	0.95^***
GPR	113.57	0.61	4.51	38.10	−9.84^***I(0)	83.38^***	50.55^***	56.74^***	507.83^***	678.41^***	838.96^***	82.30^***	347.10^***	816.30^***	0.82^***

Note(s): CV – Coefficient of variation; SK – Skewness; KT – kurtosis; ADF – Augmented Dickey-Fuller; CIU – COVID induced uncertainty; GPR –Geo-political risk. The ***, ** and * denote statistical significance of the corresponding tests at 1%, 5% and 10%, respectively. The ADF statistic tests the null of unit root, where significance indicates that the series are stationary. Significant ARCH statistics indicates evidence of ARCH effect in the series; while the significant Q(.) and Q²(.) statistics show evidence of series correlation at the specified lag order

[ViewLarge]

Sharing Unavailable