Table 7 Summary statistics of CSSD ,...

Table 7

Summary statistics of CSSD, CSAD, and market return

Variables	N	Mean	SD	min	p25	p50	p75	max
CSSD	87	0.0267	0.0138	0.0094	0.0165	0.0227	0.0341	0.0774
CSAD	87	0.0236	0.0140	0.0072	0.0128	0.0198	0.0326	0.0756
$D_{L}$ (2.5%)	87	0.0345	0.1835	0.0000	0.0000	0.0000	0.0000	1.0000
$D_{L}$ (5%)	87	0.0575	0.2341	0.0000	0.0000	0.0000	0.0000	1.0000
$D_{U}$ (2.5%)	87	0.0345	0.1835	0.0000	0.0000	0.0000	0.0000	1.0000
$D_{U}$ (5%)	87	0.0575	0.2341	0.0000	0.0000	0.0000	0.0000	1.0000
$R_{M}$	87	0.0123	0.0466	−0.1671	−0.0056	0.0137	0.0331	0.1636
$R_{M}^{2}$	87	0.0023	0.0046	0.0000	0.0001	0.0008	0.0028	0.0279
$R_{M (U P)}$	57	0.0361	0.0313	0.0004	0.0139	0.0304	0.0530	0.1636
$R_{M (U P)}^{2}$	57	0.0023	0.0042	0.0000	0.0002	0.0009	0.0028	0.0268
$R_{M (D O W N)}$	30	0.0330	0.0363	0.0008	0.0054	0.0237	0.0527	0.1671
$R_{M (D O W N)}^{2}$	30	0.0024	0.0055	0.0000	0.0000	0.0006	0.0028	0.0279

Variables	N	Mean	SD	min	p25	p50	p75	max
CSSD	87	0.0267	0.0138	0.0094	0.0165	0.0227	0.0341	0.0774
CSAD	87	0.0236	0.0140	0.0072	0.0128	0.0198	0.0326	0.0756
$D_{L}$ (2.5%)	87	0.0345	0.1835	0.0000	0.0000	0.0000	0.0000	1.0000
$D_{L}$ (5%)	87	0.0575	0.2341	0.0000	0.0000	0.0000	0.0000	1.0000
$D_{U}$ (2.5%)	87	0.0345	0.1835	0.0000	0.0000	0.0000	0.0000	1.0000
$D_{U}$ (5%)	87	0.0575	0.2341	0.0000	0.0000	0.0000	0.0000	1.0000
$R_{M}$	87	0.0123	0.0466	−0.1671	−0.0056	0.0137	0.0331	0.1636
$R_{M}^{2}$	87	0.0023	0.0046	0.0000	0.0001	0.0008	0.0028	0.0279
$R_{M (U P)}$	57	0.0361	0.0313	0.0004	0.0139	0.0304	0.0530	0.1636
$R_{M (U P)}^{2}$	57	0.0023	0.0042	0.0000	0.0002	0.0009	0.0028	0.0268
$R_{M (D O W N)}$	30	0.0330	0.0363	0.0008	0.0054	0.0237	0.0527	0.1671
$R_{M (D O W N)}^{2}$	30	0.0024	0.0055	0.0000	0.0000	0.0006	0.0028	0.0279

Variables	Lag1	Lag2	Lag3	Lag4	Lag5	DF-test
CSSD	0.0227	0.0165	−0.0263	0.0617	−0.0480	−6.169***
CSAD	0.0289	0.0191	−0.0379	0.0501	−0.0610	−6.137***
$R_{M}$	−0.0572	−0.0008	0.0140	−0.0067	−0.0064	−6.586***

Variables	Lag1	Lag2	Lag3	Lag4	Lag5	DF-test
CSSD	0.0227	0.0165	−0.0263	0.0617	−0.0480	−6.169***
CSAD	0.0289	0.0191	−0.0379	0.0501	−0.0610	−6.137***
$R_{M}$	−0.0572	−0.0008	0.0140	−0.0067	−0.0064	−6.586***

Note(s): Table 7 shows the summary statistics of variables derived from time-series data composed of 87 months of fund’s return standard deviation, absolute deviation, market return, and dummy variables that capture the extreme market movements. We also report the serial correlation of CSSD, CSAD and $R_{M}$ along with the test statistics of the Dickey–Fuller Test. Detailed variables definitions are in Table 1. ***, ** and * denote significance at the 1, 5 and 10% level, respectively

Source(s): Authors' work

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