Summary statistics for CEE daily stock returns
| Countries | Hungary | Poland | Czech | Romania | Croatia |
|---|---|---|---|---|---|
| Mean | 0.0278 | 0.0218 | −0.0159 | 0.0163 | −0.0309 |
| Median | 0.0465 | 0.0554 | 0.0233 | 0.0504 | −0.0047 |
| Maximum | 22.016 | 8.4639 | 12.364 | 10.564 | 14.778 |
| Minimum | −14.985 | −8.2888 | −19.901 | −14.754 | −14.587 |
| SD | 1.7085 | 1.2903 | 1.5844 | 1.6108 | 1.2508 |
| Skewness | 0.3525 | −0.3405 | −1.2358 | −1.0197 | −0.6072 |
| Kurtosis | 23.391 | 9.5029 | 27.580 | 17.187 | 27.580 |
| Jarque–Bera | 36,825* | 3,781.7* | 53,986* | 18,174* | 75,053* |
| PP test | −45.349* | −42.929* | −44.718* | −44.696* | −43.424* |
| ADF test | −45.340* | −33.826* | −35.777* | −44.713* | −25.497* |
| ARCH test | 92.763* | 90.151* | 360.76* | 300.03* | 300.45* |
| Countries | Hungary | Poland | Czech | Romania | Croatia |
|---|---|---|---|---|---|
| Mean | 0.0278 | 0.0218 | −0.0159 | 0.0163 | −0.0309 |
| Median | 0.0465 | 0.0554 | 0.0233 | 0.0504 | −0.0047 |
| Maximum | 22.016 | 8.4639 | 12.364 | 10.564 | 14.778 |
| Minimum | −14.985 | −8.2888 | −19.901 | −14.754 | −14.587 |
| SD | 1.7085 | 1.2903 | 1.5844 | 1.6108 | 1.2508 |
| Skewness | 0.3525 | −0.3405 | −1.2358 | −1.0197 | −0.6072 |
| Kurtosis | 23.391 | 9.5029 | 27.580 | 17.187 | 27.580 |
| Jarque–Bera | 36,825* | 3,781.7* | 53,986* | 18,174* | 75,053* |
| PP test | −45.349* | −42.929* | −44.718* | −44.696* | −43.424* |
| ADF test | −45.340* | −33.826* | −35.777* | −44.713* | −25.497* |
| ARCH test | 92.763* | 90.151* | 360.76* | 300.03* | 300.45* |
Notes: All returns are expressed in percentages. ADF and PP test represent the Augmented Dickey and Fuller test and Phillips–Perron test of stationarity, respectively. ARCH test is employed to test the presence of ARCH effect in the data sets. *,**,***Significance at the 1, 5 and 10 percent levels, respectively
Source: Authors’ estimates; calculations of the authors