Summary statistics of stock market returns and economic variables
| KOSPI200 index returns | KOR growth of industrial production index | KOR growth of coincident economic activity index | S&P500 index returns | US growth of industrial production index | US growth of coincident economic activity index | |
|---|---|---|---|---|---|---|
| Mean (%) | 0.5994 | 0.2469 | −0.0070 | 0.5070 | 0.0705 | 0.1845 |
| Median (%) | 0.7208 | 0.2114 | 0.0000 | 1.0527 | 0.1565 | 0.2267 |
| Max | 0.1285 | 0.0496 | 0.0110 | 0.1023 | 0.0151 | 0.0051 |
| Min | −0.2352 | −0.0455 | −0.0121 | −0.1856 | −0.0443 | −0.0054 |
| SD | 0.0514 | 0.0138 | 0.0028 | 0.0390 | 0.0073 | 0.0018 |
| Skewness | −0.6684 | 0.0779 | −0.2207 | −1.0420 | −2.1001 | −2.0522 |
| Kurtosis | 5.4986 | 4.6120 | 5.9827 | 6.2937 | 12.5416 | 7.5751 |
| Jarque-Bera Statistic | 57.5494*** | 18.7968*** | 65.1541*** | 108.8728*** | 778.8994*** | 270.7439*** |
| ADF test | −12.5932*** | −17.5178*** | −8.6327*** | −10.9864*** | −10.0142*** | −2.5666** |
| KOSPI200 index returns | KOR | KOR | S&P500 index returns | US growth of industrial production index | US growth of coincident economic activity index | |
|---|---|---|---|---|---|---|
| Mean (%) | 0.5994 | 0.2469 | −0.0070 | 0.5070 | 0.0705 | 0.1845 |
| Median (%) | 0.7208 | 0.2114 | 0.0000 | 1.0527 | 0.1565 | 0.2267 |
| Max | 0.1285 | 0.0496 | 0.0110 | 0.1023 | 0.0151 | 0.0051 |
| Min | −0.2352 | −0.0455 | −0.0121 | −0.1856 | −0.0443 | −0.0054 |
| SD | 0.0514 | 0.0138 | 0.0028 | 0.0390 | 0.0073 | 0.0018 |
| Skewness | −0.6684 | 0.0779 | −0.2207 | −1.0420 | −2.1001 | −2.0522 |
| Kurtosis | 5.4986 | 4.6120 | 5.9827 | 6.2937 | 12.5416 | 7.5751 |
| Jarque-Bera Statistic | 57.5494 | 18.7968 | 65.1541 | 108.8728 | 778.8994 | 270.7439 |
| ADF test | −12.5932 | −17.5178 | −8.6327 | −10.9864 | −10.0142 | −2.5666 |
Notes:
The table reports summary statistics of monthly stock market returns and economic variables of Korea and the USA. KOSPI200 index returns and S&P500 index returns are log change in stock market index of Korea and the USA, respectively. Growth of industrial production index is log change in seasonally adjusted industrial production index. Growth of coincident economic activity index is log change in seasonally adjusted coincident economic activity index. Jarque-Bera Statistic verifies nonnormality and ADF (Augmented Dickey-Fuller) test is a t-statistic on β in the regression of each variable xt, xt = α + βxt-1 + δ1Δxt-1 +… + δp-1Δxt-p+1 + εt. Lag order p is selected by using Ng and Perron (1995)’s procedure. ** and *** represent significance at the 5 and 1% levels, respectively. All variables are monthlized. The sample period covers February 2004 to May 2018